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Joint-state Kalman Filter (Linear / Extended / Unscented)

Joint-state Kalman Filter (Linear / Extended / Unscented) · JS Kalman

A joint-state price filter — not a typical 1D random-walk smoother. It estimates coupled [level, velocity] (and optionally acceleration) in one shared covariance, so trend tracking and reversal behaviour move together.

Filter types

Linear — kinematic Kalman; less lag on trends, can overshoot at sharp reversals (more with C.Accel).
Extended — same layout with velocity damping v' = v × (1 − damping × |v|); analytic Jacobian.
Unscented — same nonlinearity via sigma points (falls back to Extended if the covariance square root fails).

State models

C.Veloc — constant velocity: [level, velocity]
C.Accel — constant acceleration: [level, velocity, acceleration] (default)

Switching filter type reuses the same internal state (you may see a one-bar discontinuity).

On the chart

Filtered price — teal while rising, red while falling (optional).
Candle paint — same trend colours on the bars (optional).

Settings at a glance

Model — filter type, state model, source, velocity damping (Extended / Unscented).
Noise — process noise per component and measurement noise.
Unscented — alpha, beta, kappa (Unscented only).
UI — show filtered line, paint candles.

Licence

Indicator and library © igor_sinkovec — Mozilla Public License 2.0.

릴리즈 노트

UI improvements

Ability to choose plot and candle colors.

igor_sinkovec

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