Invictus Trading - Adaptive Kalman Trend - indicateur pour MetaTrader 5

Invictus Trading - Adaptive Kalman Trend

Overview
A trend-following indicator based on Kalman filtering theory, which recursively estimates the position and velocity of price, with process noise that adapts to current market volatility.

Main Features

• Kalman filter using a constant-velocity model (2-state)
• Process noise (Q) dynamically scaled by the current ATR / average ATR ratio
• Trend line color-coded by the sign of the estimated velocity
• Exposed velocity buffer for use in EAs/scripts

How It Works
On each bar, the indicator predicts the next position from the previous state, computes a volatility ratio (ATR(14) / average ATR over 100 bars, bounded between 0.25 and 4), scales Q accordingly, then updates the estimate using the observed closing price.

Input Parameters

• InpAtrPeriod (14) — ATR period for instantaneous volatility
• InpAtrNormPeriod (100) — reference period for normalization
• InpBaseProcessNoise (0.0025) — base Q
• InpMeasurementNoise (0.35) — R, controls overall smoothing
• InpMinVolRatio / InpMaxVolRatio (0.25 / 4.0) — safety bounds for the ratio

How to Use
Attach to the chart. Adjust InpMeasurementNoise for more or less smoothing depending on trading style (scalping vs. swing).

Use Cases
Trend following on H1/H4, confirmation filter combined with another signal, base for a trend-following EA.

Important Notes
This indicator does not guarantee any trading result. It is a statistical estimation tool, not a standalone buy/sell signal.

Version Information
v1.00, initial release.

D. Keywords and Category

• Primary: kalman filter, adaptive trend, trend indicator MT5
• Secondary: volatility adjusted, ATR scaling, signal processing, DSP indicator
• Suggested category: Trend Indicators
• Tags: kalman, trend, adaptive, volatility, filter

E. Screenshot Guide

Screenshot 1 — Objective: show the line during a strong trend vs. a range

Caption: "Adaptive response to volatility: faster tracking in trends, smoother in ranges."

Screenshot 2 — Objective: show the input parameters panel.

Caption: "Fully configurable Kalman parameters."

F. Usage Example
Scenario: EURUSD H4 trader. Configuration: default parameters. Expected Behavior: the blue line (positive velocity) tracks bullish phases, turns orange as soon as estimated velocity goes negative, with stronger smoothing in ranging conditions than an equivalent-period EMA.

G. Changelog
Version 1.00 — Initial release. Adaptive Kalman filtering with ATR-scaled process noise. Color-coded trend line.

9. Strategic Evaluation