Kalman-Filtered Hull Supertrend with ATR Reversal Bands

Summary

This indicator combines a recursive Kalman filter, a Hull-style moving average, and Supertrend logic. It filters the selected price input through multiple Kalman states, uses those estimates to form a smoother baseline, then places volatility bands around that baseline using Average True Range. The bands trail as conditions change, and a close beyond a band changes the indicated trend direction. The indicator plots directional reversal markers and presents the filtered Hull line as a possible independent trend-bias reference.

The document gives example settings for measurement and process noise, ATR lookback, and the band multiplier, explaining that smoother filtering and wider bands can reduce responsiveness or signal frequency. It includes platform-specific indicator code, but offers no chart examples, backtest, or performance evidence. Claims that filtering reduces whipsaws or preserves responsiveness are presented as rationale, not demonstrated results; users would need to validate behavior and settings on their own data and account for lag and false signals.

Key ideas

• A recursive Kalman filter is used to smooth the price input before trend calculations.
• A Hull-style calculation built from filtered estimates serves as the indicator baseline.
• ATR-scaled bands around that baseline define trailing levels for trend changes.
• The band multiplier and filter noise settings affect smoothness, responsiveness, and signal frequency.
• The document provides implementation details but no empirical performance test.

Tags

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