Kalman Trailing Stop (KTS)

5 gün önce

█ OVERVIEW

The Kalman Trailing Stop (KTS) is an advanced, math-driven trend-following system designed to keep you in winning trades longer while dynamically filtering out market noise.

Instead of relying on static moving averages or basic ATR multipliers, KTS utilizes a 2D Kalman Filter combined with Statistical Digital Signal Processing (DSP) and Williams Market Structure. It adapts to volatility and volume in real-time, effectively distinguishing between genuine trend shifts and temporary liquidity sweeps.

█ CORE MECHANICS

1. 2D Kalman Adaptive Trailing Stop

At the heart of the indicator is a robust 2D Kalman filter that tracks both price level and velocity.

Volume-Weighted Variance: The trailing stop becomes highly responsive during high-volume pushes (high trust) and flattens out during low-volume consolidation (low trust), preventing premature stop-outs.
Sigmoid Smoothing & Structural Anchoring: Instead of jagged, abrupt jumps, the stop uses sigmoid transitions to smoothly glide to new structural floors/ceilings derived from recent Intermediate-Term Highs and Lows (ITH/ITL).
Slope Confirmation: The trailing stop will only flip its directional bias if the underlying Kalman baseline slope confirms the reversal, neutralizing fake-outs.

2. Statistical Plunger Logic (Liquidity Sweeps)

Markets frequently sweep liquidity beyond technical levels before reversing. The "Plunger" logic mathematically identifies these traps.

Dynamic Sweep Multiplier: By tracking the kurtosis (fat-tail distribution) of price returns, the script dynamically expands its sweep threshold during periods of wild volatility.
Wick Filtering: It detects deep wicks that pierce the Kalman bands and close strongly back within the bar's range, highlighting statistically validated exhaustion points.

3. Algorithmic Pyramiding & Volatility Warnings

Scale-In Detection: KTS monitors volume footprints to identify safe zones to add to your position. It looks for a sequence of volume "dry-up" during a pullback, followed by a volume-backed breakout past recent market structure.
Livermore Ejector Concept: The indicator flags abnormal, massive range expansions that occur against the prevailing trend, acting as an early warning system for sudden momentum shifts.

4. Built-in Risk & Performance Engine

Dynamic Position Sizing: Automatically calculates raw position and pyramid sizes based on your account equity, risk percentage, and maximum leverage.
Live Performance Dashboard: A built-in HUD tracks both the Global and Recent Profit Factor (PF) of the main trend signals, alongside the real-time distance to your trailing stop.

█ VISUAL GUIDE

Colored Gradient Band: The main Kalman Trailing Stop. Green indicates an active long trend; Red indicates an active short trend.
Large Diamonds (♦️): Main Trend Entries. Triggered when price breaks the Kalman Stop with slope confirmation.
Small Triangles (🔼/🔽): Bullish and Bearish Plunger signals. These indicate deep liquidity sweeps and wick rejections at statistical extremes.
Small Crosses (➕): Algorithmic Pyramid signals. Opportunities to scale into the current trend based on volume dry-ups and structural breakouts.
Yellow X-Crosses (❌): Abnormal Reaction Warnings. Signals a massive volatility spike moving against your active position.

█ SETTINGS

Kalman Trailing Stop Settings

Kalman Responsiveness: Adjusts how quickly the system reacts to price changes (1-100).
Trailing Stop Distance (SD): Sets the baseline width of the trailing stop from the Kalman-smoothed price, measured in standard deviations of the True Range. A higher value (e.g., 3.0) gives the trade more breathing room, while a lower value tightens the stop.

Disclaimer

This script is designed for educational and informational purposes only. Trading involves significant risk. The built-in performance table is an un-optimized raw calculation and should not be used as a guarantee of future system profitability.

3 gün önce

Sürüm Notları

Add a new 'Enable 3D Oscillator State' toggle. This implements Benhamou's Model 4 (a 3D Kalman state) to dynamically tighten the trailing stop when price is overextended.

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fdx101

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Feragatname

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Açık kaynak kodlu komut dosyası

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