Table of Contents

Class KalmanFilter

Namespace
StockSharp.Algo.Indicators
Assembly
StockSharp.Algo.dll

Kalman Filter indicator.

[Display(ResourceType = typeof(LocalizedStrings), Name = "KalmanFilter", Description = "KalmanFilterDesc")]
[IndicatorIn(typeof(DecimalIndicatorValue))]
public class KalmanFilter : LengthIndicator<decimal>, IIndicator, IPersistable, ICloneable<IIndicator>, ICloneable
Inheritance
KalmanFilter
Implements
Inherited Members
Extension Methods

Remarks

Adaptive filter for price smoothing and trend detection.

Constructors

KalmanFilter()

Initializes a new instance of the KalmanFilter class.

public KalmanFilter()

Properties

MeasurementNoise

Measurement noise coefficient (R).

[Display(ResourceType = typeof(LocalizedStrings), Name = "MeasurementNoise", Description = "MeasurementNoiseDesc", GroupName = "General")]
public decimal MeasurementNoise { get; set; }

Property Value

decimal

ProcessNoise

Process noise coefficient (Q).

[Display(ResourceType = typeof(LocalizedStrings), Name = "ProcessNoise", Description = "ProcessNoiseDesc", GroupName = "General")]
public decimal ProcessNoise { get; set; }

Property Value

decimal

Methods

Load(SettingsStorage)

Load settings.

public override void Load(SettingsStorage storage)

Parameters

storage SettingsStorage

Settings storage.

OnProcessDecimal(IIndicatorValue)

To handle the input value.

protected override decimal? OnProcessDecimal(IIndicatorValue input)

Parameters

input IIndicatorValue

The input value.

Returns

decimal?

The new value of the indicator.

Reset()

To reset the indicator status to initial. The method is called each time when initial settings are changed (for example, the length of period).

public override void Reset()

Save(SettingsStorage)

Save settings.

public override void Save(SettingsStorage storage)

Parameters

storage SettingsStorage

Settings storage.

ToString() 

public override string ToString()

Returns

string