Kalman Trend
A Kalman filter for price: two noise settings instead of one period, an uncertainty band, and levels left at every turn.
About this indicator
A moving average has one parameter. A Kalman filter has two, and they trade off: - process noise: how much you believe price actually moved - measurement noise: how much of the tick you treat as spread Raise the ratio and it tracks fast moves. Lower it and it ignores most of them. The band is the filter's own uncertainty. It widens after a surprise and narrows when price behaves. Each confirmed turn leaves a horizontal level, the price the estimator treated as a pivot. Both noise terms scale with the instrument's price, so one set of parameters behaves the same on EURUSD and on an index.
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