An Innovation-Gated Kalman Hull Supertrend for Adaptive Trailing Stops

Summary

This indicator combines a manually constructed Hull moving average, an adaptive Kalman filter, and ATR-based Supertrend bands. It measures the gap between each new Hull value and the filter’s prior estimate, scales that innovation by volatility, and passes the score through a logistic gate. A high gate makes the filter respond more strongly to new data; a low gate smooths the estimate and expands the bands to reduce sensitivity to ordinary range movement. Closing price determines band locks and trend flips.

The description explains its stages, warm-up handling, tunable parameters, chart signals, and suggested use as a trailing stop or direction filter alongside higher-timeframe trend or momentum confirmation. It gives implementation details and tuning guidance, but no backtest or quantified performance evidence. The author cautions that signals should be assessed at bar close, that initial bars are withheld during warm-up, and that behavior should be checked on the intended instrument and timeframe. It is not presented as a standalone entry system.

Key ideas

• The indicator uses a Hull moving average as the input to an adaptive Kalman estimate.
• A volatility-normalized innovation controls both filter responsiveness and ATR band width.
• Price closing values govern band locking and direction changes.
• The indicator is framed as a trailing stop and trend filter, with additional confirmation recommended.
• The description provides tuning and warm-up guidance but no performance test results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.