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...
Kalman and Laguerre signals
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