Thanks. I will definitely review that. One area that I am looking at now is the parameter optimization. I noticed that:
addParam(FAST_ERROR, 0, 20, 1, 0); has 0 as the last parameter. I understand the significance of the first four parameters for a search algorithm. I am not sure what the last parameter, value, signifies within the optimization algorithm context. What is it, Eugene? The other area where the problem may lie is in the optimization step. I would expect the measurement_noise values to be somewhere between 0 and 1. For fast_error it may be 0.01 and for slow_error perhaps ten times that, 0.1. However, if the minimum step is 1, then those values can not be found by optimization. It would be very interesting to see the graph of slow kalman, fast kalman and the actual price to make sure that the optimization did not come up with some unrealistic parameters. ________________________________ From: Eugene Kononov <[email protected]> To: JBookTrader <[email protected]> Sent: Mon, November 29, 2010 6:52:42 PM Subject: Re: [JBookTrader] Re: Status of Kalman filter? Ok, here it is attached, the indicator and the strategy. It takes much longer to optimize (because of those matrix manipulations), so I don't have the complete results yet, but it does not look good so far compared with the filters based on the exponential moving averages. Perhaps I didn't set it up quite right with respect to the error matrix. Astor, it's all yours now for review. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
