//+------------------------------------------------------------------+
//|                                                Kalman filter.mq4 |
//|                              Copyright © 2006, iziogas@mail.com. |
//+------------------------------------------------------------------+
#property copyright "iziogas@mail.com"
//----
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Turquoise
#property indicator_color2 Orange
//---- indicator parameters
//Mode description
// 0: Close
// 1: Open
// 2: High
// 3: Low
// 4: Median   (H+L/2)
// 5: Typical  (H+L+C/3)
// 6: Weighted (H+L+C+C/4)
extern int Mode=6;
extern double K=1;
extern double Sharpness=1;
extern int    draw_begin=500;
//---- indicator buffers
double ExtMapBufferUp[];
double ExtMapBufferDown[];
//----
int ExtCountedBars=0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
//---- drawing settings
   SetIndexStyle(0,DRAW_LINE);
   SetIndexStyle(1,DRAW_LINE);
   IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
   SetIndexDrawBegin(0,draw_begin);
   SetIndexDrawBegin(1,draw_begin);
//---- indicator buffers mapping
   SetIndexBuffer(0,ExtMapBufferUp);
   SetIndexBuffer(1,ExtMapBufferDown);
//---- initialization done
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
  double iValue(int mode, int shift)
  {
     switch(mode) 
     {
         case 0:
            return(iClose(NULL,0,shift));
         case 1:
            return(iOpen(NULL,0,shift));
         case 2:
            return(iHigh(NULL,0,shift));
         case 3:
            return(iLow(NULL,0,shift));
         case 4:
            return((iHigh(NULL,0,shift)+iLow(NULL,0,shift))/2);
         case 5:
            return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift))/3);
         case 6:
            return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift)+iClose(NULL,0,shift))/4);
         default:
            return(0);
        }
     }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
         int start()
           {
            if(Bars<=draw_begin) return(0);
//----
            int i;
//----
            double Velocity=0;
            double Distance=0;
            double Error=0;
            double value=iValue(Mode,draw_begin+1);
//----
              for(i=draw_begin;i>=0;i--) 
              {
               Distance=iValue(Mode,i) - value;
               Error=value + Distance * MathSqrt(Sharpness*K/100);
               Velocity=Velocity + Distance*K/100;
               value=Error+Velocity;
               //color lines
                 if (Velocity>0) 
                 {
                  ExtMapBufferUp[i]=value;
                  //ExtMapBufferUp[i] = S; 
                  ExtMapBufferDown[i]=EMPTY_VALUE;
//----
                  if (ExtMapBufferUp[i+1]==EMPTY_VALUE) ExtMapBufferUp[i+1]=ExtMapBufferDown[i+1];
                  }
                   else 
                  {
                  ExtMapBufferUp[i]=EMPTY_VALUE;
                  ExtMapBufferDown[i]=value;
                  //ExtMapBufferDown[i] = S;
                  if (ExtMapBufferDown[i+1]==EMPTY_VALUE) ExtMapBufferDown[i+1]=ExtMapBufferUp[i+1];
                 }
              }
         //---- done
            return(0);
           }
//+------------------------------------------------------------------+