Kalman and Laguerre signals


It seems that the Kalman filter and Laguerre filter work well with EMAs for entries/exits. The attached algorithm trades Crypto (or any ‘trendy’ asset), using crossovers between the three.

It has a 60% Win Rate and a 3.58 Sharpe, but don’t be fooled. This isn’t because it’s an amazing strategy, it’s because crypto assets went parabolic during the backtest period.

So, needless to say, this algo is not to be traded as is. It’s just a template to inspire ideas. Some questions one might ask:

  1. How might you adjust the filters? What would you change?
  2. What regime filter should you use? Long-term MA? ADX?
  3. How should you size your positions? Volatility-based sizing?
  4. How might you improve the exits? Trailing stops?

About the author

By quantish


Automate everything.