I see, Thanks. You may find this link interesting: http://intelligenttradingtech.blogspot.com/2010/05/kalman-filter-for-financial-time-series.html
________________________________ From: nonlinear5 <[email protected]> To: [email protected] Sent: Sun, December 19, 2010 10:34:40 AM Subject: Re: [JBookTrader] Re: Status of Kalman filter? No, the parameters don't need to be rescaled in the call to super(). The intent of passing parameters to the super() is to calculate a key which uniquely identifies an indicator and its parameters. This allows the indicator manager to reuse indicators during optimization, instead of creating new instances all the time. Here is the relevant code which calculates the key: protected Indicator(int... parameters) { name = getClass().getSimpleName(); if (parameters.length == 0) { throw new RuntimeException("No parameters passed from the constructor of indicator " + name); } StringBuilder sb = new StringBuilder(); sb.append(name); for (int parameter : parameters) { sb.append("/").append(parameter); } key = sb.toString(); } On Sunday, December 19, 2010 12:32:11 AM UTC-5, Alexana wrote: >Eugene, in the TensionKalman.java your are re-scaling the fastNoise and >slowNoise: > >kalmanFastPrice = getInstance(fastNoise / 100.0); >kalmanSlowPrice = getInstance(slowNoise / 100.0); > >yet, in super( ), it is not re-scaled: > >super(fastNoise, slowNoise); > >Should the parameters be re-scaled here as well? > > ________________________________ From: Eugene Kononov <[email protected]> >To: [email protected] >Sent: Tue, November 30, 2010 6:41:08 AM >Subject: Re: [JBookTrader] Re: Status of Kalman filter? > > > >In the constructor in TensionKalman, it has >> super(fastNoise, fastNoise); >>should it not be: >>super(fastNoise, slowNoise); ? >> >Yes, that was a typo. > > >>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. > >The first three values, "min", "max", and "step" are used by the optimizers. >The >last value is the actual parameter value used when the strategy is running in >the back testing, forward testing, and trading modes. > > > >>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. > >I didn't realize the error should scale between 0 and 1. I've made >modifications >in the attached version to reflect it. > > > >-- >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 jbooktrader...@googlegroups. com. >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. -- 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.
