In the constructor in TensionKalman, it has super(fastNoise, fastNoise);
should it not be: super(fastNoise, slowNoise); ? ________________________________ 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.
