OPEN-SOURCE SCRIPT
Trend filter v2 [Jamallo]
Intro
Trend Filter v2 is the evolution of the original Trend Filter, replacing the Kalman Filter baseline and WMA-scaled bands with a kernel-smoothed Vervoort Stop and percentile-ranked deviation bands. It also draws conceptual lineage from the ENW Kernel Bands indicator, inheriting the composite kernel and dual-Vervoort architecture — but rethinking both what the kernel is applied to and how bands are sized.
Breakdown
A Line — Vervoort Stop
A classic trailing stop built on Heikin Ashi smoothed price and ATR. Color-coded by a trend state machine: bullish when price is above a rising A line, bearish when below a falling one, neutral otherwise. This is the signal line.
K Line — Kernel-Smoothed Vervoort Stop
Unlike ENW where the composite kernel is applied directly to raw price, v2 feeds a second Vervoort Stop output into the kernel. This means the K line is trend-filtered before smoothing even begins, producing a slower, more structurally stable baseline that is less reactive to noise.
Signal Line — Independent Vervoort Stop
A third Vervoort Stop with its own ATR settings, used as an additional trend reference.
Percentile Bands
The key structural departure from both v1 and ENW. Instead of scaling bands by smoothed volatility × a fixed multiplier, v2 ranks upside and downside deviations from K separately using `percentile_nearest_rank` over a configurable lookback.
END
v2 replaces the Kalman with a kernel-smoothed Vervoort Stop and swaps fixed-deviation bands for percentile-ranked asymmetric bands — a fundamental rethink of both the baseline and the band sizing at every level.
Trend Filter v2 is the evolution of the original Trend Filter, replacing the Kalman Filter baseline and WMA-scaled bands with a kernel-smoothed Vervoort Stop and percentile-ranked deviation bands. It also draws conceptual lineage from the ENW Kernel Bands indicator, inheriting the composite kernel and dual-Vervoort architecture — but rethinking both what the kernel is applied to and how bands are sized.
Breakdown
A Line — Vervoort Stop
A classic trailing stop built on Heikin Ashi smoothed price and ATR. Color-coded by a trend state machine: bullish when price is above a rising A line, bearish when below a falling one, neutral otherwise. This is the signal line.
K Line — Kernel-Smoothed Vervoort Stop
Unlike ENW where the composite kernel is applied directly to raw price, v2 feeds a second Vervoort Stop output into the kernel. This means the K line is trend-filtered before smoothing even begins, producing a slower, more structurally stable baseline that is less reactive to noise.
Signal Line — Independent Vervoort Stop
A third Vervoort Stop with its own ATR settings, used as an additional trend reference.
Percentile Bands
The key structural departure from both v1 and ENW. Instead of scaling bands by smoothed volatility × a fixed multiplier, v2 ranks upside and downside deviations from K separately using `percentile_nearest_rank` over a configurable lookback.
END
v2 replaces the Kalman with a kernel-smoothed Vervoort Stop and swaps fixed-deviation bands for percentile-ranked asymmetric bands — a fundamental rethink of both the baseline and the band sizing at every level.
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Join the Growing (Econophysics Trading) Community! ⚛️
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Trade the physics of price.
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
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這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
Join the Growing (Econophysics Trading) Community! ⚛️
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
discord.com/invite/qb4RKFdwYJ
Trade the physics of price.
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。