Simple backtest for Kalman Filter found here: What this backtest includes: -Longs and shorts -Customization of inputs for Kalman Filter calculation -Take profit 1 (TP1), and Stop-loss (SL), calculated using standard RMA-smoothed ATR -Activation of TP1 after entry candle closes Happy trading!
This strategy is an advanced version of the Loft Strategy V1, I shared earlier. (Loft Strategy V1 consists of a kalman filter (by alexgrover ) and a "stop and reverse" line which is following and the kalman filter. If the price goes in the same direction as the position side, the "stop and reverse" line approaches the kalman filter as set on the "Approach...
This strategy consists of a kalman filter (by alexgrover ) and a "stop and reverse" line which is following the kalman filter. If the price goes in the same direction as the position side, the "stop and reverse" line approaches the kalman filter as set on the "Approach Decrease Step" parameter.