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Using Kalman Filter Standard Deviation to Classify Trend Strength

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Summary

This indicator adds a three-level trend-strength display to a Kalman-filter moving average. It calculates the filter’s standard deviation and compares it with two adjustable thresholds. When the value falls between the thresholds, a small dot appears in the color of the current trend; when it exceeds the higher threshold, the dot grows. No dot represents the weakest level.

The document explains the visual rules and provides example threshold settings, but does not present performance tests or a trading system for acting on the signals. The dots indicate trend direction and relative strength according to this specific standard-deviation calculation; they do not establish that a trend will continue or that the thresholds work across markets and timeframes.

Key ideas

  • The indicator uses standard deviation to estimate the strength of a Kalman-filter trend.
  • A small dot marks a reading between the two thresholds, with color showing trend direction.
  • A larger dot marks a reading above the higher threshold.
  • No dot denotes the weakest trend-strength category.
  • The document provides no backtest or evidence of predictive performance.

Tags

Technical indicatorsStatisticsTrend following

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