Kalman Filter MT5 Indicator

The indicator has three input parameters:

• K – Kalman factor;
• Sharpness – factor for calculating the error minimization;
• Applied price – price used for calculations.

Kalman[i] = Error + Velocity[i]

Error = Kalman[i-1] + Distance * ShK
Velocity[i] = Velocity[i-1] + Distance * K / 100
Distance = Price[i] - Kalman[i-1]
ShK = sqrt(Sharpness * K / 100)

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