StockSharp.Strategies.0328_Bollinger_Kalman_Filter.py

Bollinger Kalman Filter (Python Version)

The Bollinger Kalman Filter strategy is built around Bollinger Kalman Filter.

Signals trigger when Bollinger confirms filtered entries on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like BollingerLength, BollingerDeviation. Adjust these defaults to balance risk and reward.

Details

• Entry Criteria: see implementation for indicator conditions.
• Long/Short: Both directions.
• Exit Criteria: opposite signal or stop logic.
• Stops: Yes, using indicator-based calculations.
• Default Values:
  • BollingerLength = 20
  • BollingerDeviation = 2.0m
  • KalmanQ = 0.01m
  • KalmanR = 0.1m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Trend following
  • Direction: Both
  • Indicators: Bollinger
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday (5m)
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium