Fractal Chaos & Kalman Trajectory

Overview: The Fractal Chaos & Kalman Trajectory is a professional-grade market regime detection tool designed to distinguish between efficient trends and random market noise. Unlike traditional moving averages that suffer from significant lag, this script utilizes a Kalman Filter to estimate the price's true trajectory in real-time.

Core Methodology:

Kalman Filter Engine: An iterative mathematical process that minimizes the mean square error of the price data, providing a smooth line that reacts faster than EMA/SMA.

Hurst Exponent (Fractal Dynamics): This script calculates the fractal dimension of the market.

H > 0.5 (Trend): Indicates persistent market memory; the trend is likely to continue.

H < 0.5 (Mean Reversion): Indicates anti-persistent behavior; the price is likely to revert to the mean.

H = 0.5 (Chaos): Represents Brownian motion; the market is purely random.

How to Use:

AWAKE Signals: Occur when the market breaks out of a chaotic state (Hurst > 0.5) and aligns with the Kalman Trajectory.

Trend Zones: Highlighted backgrounds indicate high-conviction trend environments.

Bar Coloring: Grey bars indicate a "Wait" zone where the market is either random or mean-reverting.

This script is closed-source to protect the proprietary integration of these two quantitative methods.

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