Kalman Filter Expert
- Experts
- Lakshya Pandey
- Versione: 1.0
Experience a new level of precision with the Kalman Filter Expert, a high-frequency trading algorithm designed to filter out market noise and identify the "true" state of the price.
Unlike standard lagging indicators (like Moving Averages), the Kalman Filter is a dynamic recursive algorithm. It uses historical data and real-time measurements to estimate the underlying value of an asset, balancing mathematical rigor with the extreme responsiveness required for live execution.
Why Choose Kalman Filter?
Most indicators react to what has already happened. The Kalman Filter "predicts" by adjusting its internal state based on the error of its previous estimation. In volatile markets, it identifies when a price move is simply "noise" (to be ignored) or a genuine shift in the price state (to be traded).
Key Features
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Dynamic Noise Reduction: Utilizes Process Noise (Q) and Measurement Noise (R) parameters to adapt to changing market conditions.
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Dual Risk Management: Supports both traditional Point-based Stop Loss/Take Profit and modern Percentage-based (%) risk management.
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Netting Account Friendly: Includes specialized volume-limit protection logic to ensure compatibility with brokers that enforce strict position limits.
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Smart Reversal Logic: The EA automatically monitors signal strength and can close positions early if the market state reverses, protecting your capital.
Recommendations
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Main Symbol: EURUSD
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Timeframe: M1 (Preferred) or M5
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Account Type: ECN or Low-Spread accounts are highly recommended for the best results.
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Optimization: The EA is fully customizable. We recommend running a "Symbol-specific" optimization for the Process and Measurement noise parameters if trading exotic pairs or indices.
Input Parameters
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LotSize: Fixed trading volume per position.
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KalmanPeriod: The lookback period for state initialization.
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ProcessNoise (Q): Represents the "trust" in the model's movement. Lower values make the filter smoother.
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MeasurementNoise (R): Represents the "trust" in price data. Higher values filter more noise.
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SignalThreshold: The deviation required from the "true state" to trigger a trade.
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StopLoss/TakeProfit: Available in both points and percentages.
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MaxTotalPositions: Safety cap on the number of concurrent open positions.
Disclaimer
Past performance is not indicative of future results. Trading involves risk. Please test on a demo account before moving to live execution.
