StockSharp.Strategies.0225_Kalman_Filter_Trend.py 5.0.1

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dotnet add package StockSharp.Strategies.0225_Kalman_Filter_Trend.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0225_Kalman_Filter_Trend.py -Version 5.0.1

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0225_Kalman_Filter_Trend.py" Version="5.0.1" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0225_Kalman_Filter_Trend.py" Version="5.0.1" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0225_Kalman_Filter_Trend.py" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0225_Kalman_Filter_Trend.py --version 5.0.1

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#r "nuget: StockSharp.Strategies.0225_Kalman_Filter_Trend.py, 5.0.1"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0225_Kalman_Filter_Trend.py@5.0.1

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0225_Kalman_Filter_Trend.py&version=5.0.1
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0225_Kalman_Filter_Trend.py&version=5.0.1
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Kalman Filter Trend Strategy (Python Version)

This trend-following method uses a Kalman filter to smooth price fluctuations and estimate the underlying direction. The filter dynamically adapts to market noise, offering a refined view of trend strength compared to standard moving averages.

Testing indicates an average annual return of about 112%. It performs best in the forex market.

A long position is opened when the closing price rises above the Kalman filter estimate. Conversely, a short position is taken when the close drops below the filter value. Because the filter updates on every bar, trades flip whenever price crosses the line, providing continuous participation in trending markets.

Traders who prefer systematic approaches may find the Kalman filter useful for reducing whipsaws. A protective stop based on ATR keeps risk limited in case the trend rapidly reverses.

Details

Entry Criteria:
- Long: Close > Kalman Filter
- Short: Close < Kalman Filter
Long/Short: Both sides.
Exit Criteria:
- Long: Exit on close < Kalman Filter
- Short: Exit on close > Kalman Filter
Stops: Yes, ATR-based stop-loss.
Default Values:
- ProcessNoise = 0.01m
- MeasurementNoise = 0.1m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Trend
- Direction: Both
- Indicators: Kalman Filter
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: No
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.1	218	8/7/2025
5.0.0	298	7/20/2025

Move state resets to OnReseted for strategies 224-227