Trend Impulse Filter: Donchian Extremes with Exponential Smoothing

Summary

The Trend Impulse Filter is a direction indicator built from rolling highs and lows and an exponential filter. It forms a midpoint from the highest high and lowest low over a lookback, then checks whether that midpoint has moved relative to its earlier value. When the condition indicates a new directional extreme, the filter updates using the current midpoint; otherwise it carries forward the prior filtered value. A center parameter controls smoothing, while the lookback affects responsiveness. Color changes and arrows mark direction shifts.

The author notes that its directional signals are equivalent to changes in Donchian channel extremes, so the indicator can serve as a trend filter rather than a distinct predictive signal. The document gives code and default settings but no market, timeframe, backtest, or performance evidence. It therefore explains the calculation and display logic, not proof that the indicator forecasts prices reliably. Its usefulness depends on parameter choices and validation against the intended instrument and trading costs.

Key ideas

• The indicator derives a midpoint from lookback highs and lows and smooths it exponentially.
• A directional update occurs when the midpoint moves relative to its earlier value.
• The center setting controls smoothing while the lookback influences responsiveness.
• Its direction changes correspond to Donchian channel extreme changes.
• The document provides no evidence of profitability or predictive accuracy.

Tags

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