Kinetic Kalman Breakout — Strategy by egoigor1976
By egoigor1976
Performance Metrics
- Author: egoigor1976
- Symbol: BINANCE:ETHUSDT.P
- Timeframe: 15 minutes
- Net P&L: +749.69 USDT (+7.49%)
- Win Rate: 47.1%
- Profit Factor: 1.58
- Max Drawdown: 222.28 USDT (2.16%)
- Total Trades: 87
Description
🚀 Kinetic Kalman Breakout Kinetic Kalman Breakout (KKB) is a high-tech trend-following strategy powered by an Adaptive Kalman Filter. Unlike traditional moving averages that suffer from fixed lag, this algorithm utilizes a state-space mathematical model to predict price movement, effectively filtering out market noise while reacting instantly to genuine trend shifts.🧠 How It WorksThe core of the strategy is the Kalman Filter, which dynamically estimates the "true" price of the asset by separating random volatility from the underlying trend. Adaptive volatility bands are then constructed around this line based on the Mean Absolute Error (MAE).LONG Entry: Triggered when the price closes above the upper band (Volatility Breakout).SHORT Entry: Triggered when the price closes below the lower band.The Logic: The strategy operates on an "Always-in-the-Market" principle, flipping the position whenever the trend phase changes. This approach ensures you capture the full meat of large price swings without exiting prematurely.💎 Optimized for ETH/USDTThis version comes with hard-coded parameters specifically tuned for Ethereum on the 15-minute timeframe. These settings are the result of an extensive backtest covering over 200,000 candles (6+ years of data):Timeframe: 15 minProcess Noise Settings: Calibrated to capture ETH’s medium-term momentum.Band Lookback (200): Ensures smooth boundaries and provides a robust shield against "fakeouts."🛡️ Money ManagementInitial Capital: $10,000Order Size: $1,000 (fixed cash volume for consistent growth).Commission: 0.05% (pre-calculated for realistic performance metrics).