Adaptive Kalman Filter Strategy by morzns
By morzns
Performance Metrics
- Author: morzns
- Symbol: BYBIT:SOLUSDT.P
- Timeframe: 4 hours
- Win Rate: 18.9%
- Profit Factor: 1.092
Description
The algorithm behind this strategy is based on the concept of the “Kalman filter,” which is a digital signal processing method used to filter out noise and estimate the values of a signal or time series.Of course, this is an approximation, given the limitations of the PineScript language itself, but it aims to be as close as possible to the original physical concept.Additionally, since the window should not be fixed but rather recalibrated with each new input value, the Kaufman binary efficiency ratio was used.