OPEN-SOURCE SCRIPT
Trend filter [Jamallo]
(2025)
This is a trend qualification and filtering tool.
Breakdown:
Signal Line — Vervoort ATR Trailing Stop
The signal line is an implementation of the ATR Trailing Stop developed by Sylvain Vervoort, first published in Technical Analysis of Stocks & Commodities, Volume 27, Issue 6 (June 2009), in his article "Average True Range Trailing Stops" .
The stop uses a modified ATR calculated on the average price (O+H+L+C)/4 rather than the plain close.
Baseline — Kalman Filter
The baseline is derived from the Kalman Filter, a recursive algorithm developed in 1960 by Rudolf E. Kálmán, a Hungarian-American engineer and mathematician. Originally developed for aerospace applications in the early 1960s — including guidance of the Apollo spacecraft.
In this indicator, the Kalman Filter acts as a smooth, low-lag trend estimate. Rather than applying fixed weights to historical data like conventional moving averages, it dynamically adjusts its trust between the predicted trend and observed prices.
Bands — Volatility Channels
Two pairs of bands (inner and outer) are built around the Kalman baseline using a 200-bar WMA.
This is a trend qualification and filtering tool.
Breakdown:
Signal Line — Vervoort ATR Trailing Stop
The signal line is an implementation of the ATR Trailing Stop developed by Sylvain Vervoort, first published in Technical Analysis of Stocks & Commodities, Volume 27, Issue 6 (June 2009), in his article "Average True Range Trailing Stops" .
The stop uses a modified ATR calculated on the average price (O+H+L+C)/4 rather than the plain close.
Baseline — Kalman Filter
The baseline is derived from the Kalman Filter, a recursive algorithm developed in 1960 by Rudolf E. Kálmán, a Hungarian-American engineer and mathematician. Originally developed for aerospace applications in the early 1960s — including guidance of the Apollo spacecraft.
In this indicator, the Kalman Filter acts as a smooth, low-lag trend estimate. Rather than applying fixed weights to historical data like conventional moving averages, it dynamically adjusts its trust between the predicted trend and observed prices.
Bands — Volatility Channels
Two pairs of bands (inner and outer) are built around the Kalman baseline using a 200-bar WMA.
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
Join the Growing (Econophysics Trading) Community! ⚛️
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
Join the Growing (Econophysics Trading) Community! ⚛️
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。