Combining Hull Moving Averages with a Kalman Filter for Trend Signals

Summary

This document describes a trend indicator that combines a Hull Moving Average (HMA), a modified HMA variant, and an optional Kalman-style filter. The filter updates a smoothed price estimate and velocity from the input series; the indicator then calculates two lines from either raw or filtered prices. Crossovers between the lines are marked as buy or sell signals, with signal placement controlled by a setting that shifts labels to the prior bar or uses the current bar.

The explanation and code provide implementation details, including a default length of 24 and an average true range offset for chart labels. They do not provide backtests, performance measurements, or guidance on choosing parameters. The text’s description associates crossing over with a sell and crossing under with a buy, so users should check the intended signal convention in their implementation. Filtering may smooth noisy prices, but the document does not establish that it improves trading results or prevents repainting in all contexts.

Key ideas

• The indicator compares a Hull Moving Average with a modified Hull-style line to identify crossovers.
• An optional Kalman-style update estimates a smoother price series using prediction, velocity, and gain terms.
• The filtered or unfiltered price series can be selected as the basis for both indicator lines.
• A setting changes whether crossover labels are placed on the prior bar or the current bar.
• The document gives code and parameter examples but no evidence of predictive performance.

Tags

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