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Showing posts with label Kalman. Show all posts
Showing posts with label Kalman. Show all posts
Monday, 30 December 2024

A "New" Way to Smooth Price

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Below is code for an  Octave compiled C++ .oct function to smooth price data. #include "octave oct.h" #include "octave dcolv...
2 comments:
Saturday, 11 May 2024

End of Initial Tests of Trading Forex News Announcements

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Following on from my  previous post I have completed the same tests as outlined in that post on other currencies and the summary results ar...
2 comments:
Tuesday, 9 April 2024

A "New" Use for Kalman Filter on Price Time Series?

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During the course of writing this blog I have visited the idea of using Kalman filters several times, most recently in this February 2023 p...
Tuesday, 30 May 2023

Quick Update on Kalman Filter and Sensor Fusion

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Managed to code it up and get it working, but at the end of the day I couldn't see any value added over just averaging the output of the...
Tuesday, 28 February 2023

Kalman Filter and Sensor Fusion.

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In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the  Kalman Filter , which readers can access via the...
Friday, 21 June 2019

Process Noise Covariance Matrix Q for a Kalman Filter

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Since my last post I have been working on the process noise covariance matrix Q, with a view to optimising both the Q and R matrices for an ...
2 comments:
Thursday, 6 June 2019

Determining the Noise Covariance Matrix R for a Kalman Filter

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An important part of getting a Kalman filter to work well is tuning the process noise covariance matrix Q and the measurement noise covaria...
Friday, 31 May 2019

Extended Kalman Filter, Alternative Version

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Below is alternative code for an  Extended Kalman filter for a sine wave, which has 4 states: the sine wave value, the phase, the angular f...
Monday, 27 May 2019

Extended Kalman Filter

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In the code box below I provide code for an Extended Kalman filter to model a sine wave. This is a mashup of code from a couple of toolboxe...
Friday, 5 April 2019

Tests of Constant and Variable Acceleration Model Kalman Filters

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In my  last post I said that this next post would report the results of tests on a  Constant Acceleration model Kalman filter , and the re...
1 comment:
Monday, 1 April 2019

Test of Constant Velocity Model Kalman Filter

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Following on from my previous post , this post is a more detailed description of the testing methodology to test kinematic motion models on...
Wednesday, 20 March 2019

Revisiting the Kalman Filter

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Some time ago ( here , here and here ) I posted about the Kalman filter and recently I have been looking at Kalman filters again because ...
Thursday, 12 July 2012

Brute Force Classifier in Action

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As an update to my recent post, here is a short video of the brute force similarity search classifier in action. Non-embedded view here. ...
Wednesday, 6 June 2012

Creation of a Simple Benchmark Suite

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For some time now I have been toying with the idea of creating a simple benchmark suite to compare my own back test system performance with ...