Kulman Trend Filter
- Indicators
-
Maros Petrik
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I have partnered with the best brokers to offer you better trading conditions: tighter spreads, lower commissions and faster trade execution. These improvements allow my expert advisors to perform at their best and increase your profits. - Version: 1.0
Kalman Trend Filter – Professional Adaptive Trend Smoother
The most accurate and mathematically optimal trend estimator for MetaTrader 5.
Built on the classic Kalman Filter (optimal state estimator used in aerospace, robotics and quantitative finance), this indicator delivers a clean, adaptive trend line that reacts intelligently to market noise.
Why Kalman Filter?
- Unlike moving averages or standard smoothers, the Kalman filter continuously estimates the “true” trend while automatically adjusting its responsiveness.
- It is non-repainting and strictly causal — historical values never change.
- Provides statistically meaningful confidence bands (1-sigma ≈ 68 %, 2-sigma ≈ 95 %).
Key Features
- Real-time color-coded trend line (DodgerBlue = bullish, OrangeRed = bearish)
- Upper & Lower confidence bands (adjustable width)
- Optional Kalman Gain plot for advanced users / debugging
- Full support for all applied prices (Close, Median, Typical, Weighted, etc.)
- Extremely fast calculation — works perfectly even on tick charts and M1
- Clean, professional look with customizable colors and styles
Easy Tuning
Only three intuitive parameters:
- Q (Process Noise) — lower = smoother & slower reaction
higher = more responsive but noisier - R (Measurement Noise) — controls how much the filter trusts raw price
- Band Multiplier — width of the confidence bands (default 2.0 = ~95 % confidence)
Perfect For
- Trend-following strategies
- Dynamic support & resistance
- Filtering entries in combination with any other indicator
- Scalping, day trading and swing trading on any timeframe and symbol
Non-repainting • No lag in real-time • Mathematically optimal
Ideal for both beginners who want a clean trend and advanced traders who appreciate the power of Kalman filtering.
Indicator name on chart: Kalman(Q=0.0100 R=1.00 B=2.0)
