Kalman Filter EA

Kalman Filter EA is an automated strategy for MetaTrader 5 that looks for the start of a new directional move. It smooths price with a Kalman filter, turns that into a blended momentum line and enters when the line changes direction on a closed candle.

How it works

The EA builds its signal in several stages. Each stage is calculated on completed bars, so a candle that is still forming does not trigger an order.

1. A Kalman filter smooths the price series to reduce short-term noise and produces a filtered price along with a velocity estimate.
2. A rate of change (ROC) is taken on the filtered price over a fixed look-back.
3. A stochastic oscillator is calculated, and its smoothed %D line is averaged with the ROC to form a blended line.
4. A triple exponential moving average (TEMA) is applied to the blended line to cut lag and false turns.
5. When the TEMA value moves above or below its previous value at the bar close, the EA treats it as a signal and sends an order.

Because the filter needs history to settle, the EA back-fills its internal data when it starts. Confirm in the Strategy Tester that the order direction matches what you expect for each turn of the line.

Trade management

Every order is sent with a fixed stop loss and take profit measured in points. The EA does not close a position when an opposite signal appears and does not track open trades. It does not use martingale or grid averaging. Before going live, check how it behaves when several signals appear in a row, since this affects total exposure.

Markets and timeframes

The logic was designed with the H1 and H4 charts in mind. It can be applied to major forex pairs, indices and commodities with moderate volatility. Trending conditions give the filter and momentum parts more to work with, while sideways markets may produce fewer or weaker signals. Test any other symbol or timeframe on your broker data first.

Settings

The Kalman parameters, ROC length, stochastic periods and TEMA length are fixed in the code and cannot be edited. Point values depend on the symbol and the number of digits your broker quotes, so check what 300 or 600 points means on each instrument. Spread limits may need adjusting for indices and commodities.

Risk

Installation

1. In MetaTrader 5, choose File, then Open Data Folder.
2. Open MQL5, then Experts, and place the downloaded file there.
3. Restart the terminal or refresh the Navigator panel.
4. Drag Kalman Filter EA onto a chart of your chosen symbol and timeframe.
5. Enable Algo Trading, review the inputs and confirm the lot size before you allow live trading.

For continuous operation, many traders run the terminal on a VPS. Check your broker's minimum lot, stop level and spread conditions, as these vary between accounts.