Experiment ID:
dsp_kalman_trend· Market:BTCUSDT(1d, 390 bars, 2025-09-26 → 2026-10-20) · Mathematical Mode:DSP
Hypothesis & Mathematical Architecture
Enters when state-space Kalman(0.22) holds above Ehlers SuperSmoother(25) under Inverse Fisher(14) > -0.1 confirmation, riding trends with ATR and Breakeven stops.
- Studio Rule Specification: Build a DSP trend strategy on BTCUSDT 1d using Kalman(0.22) above Ehlers SuperSmoother(25), gated by Inverse Fisher(14) > -0.1, with 3.2x ATR stop and 1.8x ATR breakeven ratchet.
- Friction Assumptions: 0.06% taker fee + 5 bps slippage per leg.
Measured Backtest & 70/30 Out-of-Sample (OOS) Audit
| Metric | Full Sample (390 bars) | In-Sample (70% IS) | Out-of-Sample (30% OOS) |
|---|---|---|---|
| Net Return | +4.69% | +0.12% | +3.51% |
| Sharpe Ratio | 0.46 | 0.06 | 0.90 |
| Sortino Ratio | 0.76 | 0.09 | 1.77 |
| Profit Factor | 1.98 | 1.03 | 2.99 |
| Win Rate | 37.5% | 25.0% | 25.0% |
| Max Drawdown | -6.81% | -6.81% | -3.12% |
| Total Trades | 8 | 4 | 4 |
Indicator Information Coefficient (Spearman IC) Audit (dsp_spread)
| Horizon (Bars) | Spearman IC | t-stat | Sample (n) |
|---|---|---|---|
| +1 bar | 0.0105 | 0.20 | 360 |
| +3 bar | 0.0539 | 0.77 | 358 |
| +5 bar | 0.0957 | 1.20 | 356 |
| +10 bar | 0.1000 | 1.05 | 351 |
| +20 bar | 0.0539 | 0.47 | 341 |
| +40 bar | 0.0943 | 0.66 | 321 |
Reproducible formula.js Script
// DSP Kalman & SuperSmoother Trend Signal
kf = kalman(close, 0.22)
ss = supersmoother(close, 25)
ifish = ifisher(close, 14)
plot dsp_spread = zscore(kf - ss, 30)
plot entry_long = crossover(kf, ss) and ifish > -0.1Verify & Fork in One Click
- Open in Strategy Studio — Modify rules, run 4-fold Walk-Forward or 2,000-path Monte Carlo simulations.
- Open in Indicator Lab — Adjust filter parameters and inspect IC decay and quintile monotonicity.
- Academy Cookbook — Browse all verified quantitative blueprints.
Reproducible backtest experiments, out-of-sample audits, and indicator IC studies on live market bars.