Nonlinear Kalman filter – floating levels – indicator MetaTrader 5

Theory :

John Ehlers describes what he calls the nonlinear Kalman filter in the following way :

• Take EMA of price (better, a 3 Pole filter).
• Take the difference (delta) between Price and its EMA.
• Take an EMA of delta (or a 3 Pole filter):
  • Smoothing will help reduce whipsaws.
  • Ideally, smoothing introduces no major trend mode lag because delta is detrended.
• Add the smoothed delta to EMA for a zero lag curve.
• Add 2*(smoothed delta) to EMA for a smoother predictive line.

In order to add signals other than simple slope direction change, in this version you can chose 3 types of color changes :

• color change on slope
• color change on outer (floating) levels cross
• color change on middle (floating) level (sort of a “zero line”) cross