👨‍🔬 Cagliostro's MT5 Laboratory

Cagliostro wrote: Wed Mar 11, 2026 12:29 am VECTOR CONSENSUS DIVERGENCE (VCD)

• VCD Pro for MT5
• VCD Pro for MT4

Cagliostro wrote: Wed Mar 11, 2026 12:29 am VECTOR CONSENSUS DIVERGENCE (VCD)
A new slope-based divergence concept under testing in the latest version of The Oracle

We are currently testing a new concept in the latest version of The Oracle called VCD = Vector Consensus Divergence.
image_2026-03-10_135629988.png

In short, VCD is an attempt to rethink classical divergence in a more structural way.

Instead of comparing:

• price pivots
• vs a single oscillator pivot

VCD compares:

• the slope of price
• against the slope of internal consensus

So rather than asking whether one oscillator confirmed the last pivot, the model asks whether price is still extending while the underlying directional consensus is already deteriorating.

This is interesting because classical divergence is structurally tied to pivot confirmation, which always requires future bars.
That usually means a trade-off between:

• more confirmation = more lag
• less confirmation = more repaint risk

VCD tries to approach the same problem using closed-bar slope analysis, which is more causal and less dependent on discretionary pivot detection. To be clear, we do not view VCD as a magical reversal predictor.

A better description would be:
an early warning of trend fatigue / consensus erosion.

There is a substantial amount of scientific and quantitative research behind this concept, and for anyone interested in the theoretical side, a whitepaper is attached below for deeper reading. At the moment this is only being tested in the newest Oracle build.

Question for you guys:
Would there be interest in exploring the same VCD logic on more standard tools as well, such as RSI, MACD, CCI, or Stochastic?

For example, one possible extension would be to apply the same logic to a multi-period RSI stack rather than a single RSI line:
RSI(5), RSI(14), RSI(21), RSI(34)

In that case, divergence would no longer mean simply:
"price makes a higher high while RSI makes a lower high"

It could instead mean:
"price is still extending, while the internal RSI slope consensus is already weakening across multiple speeds"

That would make the concept more structural and less dependent on a single lookback setting.
If there is interest, we can share more charts and research notes.

+C+

Cagliostro wrote: Wed Mar 18, 2026 3:35 am ADAPTIVE KALMAN FILTER


image_2026-03-17_154958918.png


Origin: post1295580938.html#p1295580938

An interesting story - I was in the middle of a huge testing of all the best trend indicator codes I know, when @SonOfTheLivermore shared this persistent version of the Kalman Trend by Zeiierman, a well known pinescript coder. Unusual code, with some strange (weird) math that I've found while converting it.

I respected the original code without "fixing" it and put in on a chart to check if visually the conversion was aligned with the original TV script. It was ok so shared it, but it looked good, too good on chart, so added it to the list of the tested indicators.

The test ended few hours ago.

Contestants:
• McGinley ATR Band (proprietary)
• SuperTrend
• Kalman Trend
• ATR Stepped PDFMA
• Meridian Trend (proprietary)
• Meridian F3 (proprietary)
• HA Smoothed
• Parabolic Sar
• Half Trend
• SSL Channel
• Magic Trend
• Adaptive Kalman Filter (this guy)

Methodology
• OOS walk-forward: 5 folds, 10% embargo between IS/OOS splits
• Data: Tickstory M1 bars, 2021–2026, 96.6M rows across 66 symbols (proprietary synthetic library)
• Delta = average improvement of filtered vs unfiltered direction across 5/10/20/40 bar horizons
• All indicators tested with default/recommended parameters — no curve-fitting
• Universe: 28 FX pairs, 12 indices, 4 metals, 3 energy, 2 crypto, 10 equities
• Asset class buckets use natural timeframes: FX on M5/M15, Indices/Metals/Equities on H1

Goals
• Validate Meridian Trend as the best universal trend indicator core
• Find the best trend indicator per asset (without curve fitting)

Results:
• The two meridian engines resulted the best overall trend indicators (so, finally we've got a new trend engine backed by strong math and testing).
• Surprisingly we have this Adaptive Kalman Filter (Zeiierman Kalman) scoring an excellent third place with absolute dominance over the crypto space on any TF. It looked good, did not realize so good.
• Below you can find a summary picture with the most relevant results.

image_2026-03-17_155530115.png

RodrigoRT7 wrote: Wed Mar 18, 2026 9:22 am @kvak I believe our friend Cagilostro was successful. I also tried converting to MT4, but the result so far is far from what TradingView shows. I'm still trying to convert to MT4 too

Cagliostro wrote: Wed Mar 18, 2026 3:35 am ADAPTIVE KALMAN FILTER

• BTCUSD H1: +174.5 × 10⁻⁶
• ETHUSD H1: +182.5 × 10⁻⁶

• Brent is moderately trendable on H1
• Natural Gas is violently mean-reverting — the worst symbol in the entire 66-symbol universe for trend followers
• Light Crude sits in between

GASCMDUSD H1 — All indicators ranked:
─────────────────────────────────────────────
Parabolic SAR        	 +34.5 × 10⁻⁶  (keep 99% = barely filters)
SSL Channel         		 +0.0          (keep 100% = does nothing)
Magic Trend           	 +0.0          (keep 100% = does nothing)
Half Trend             	 -5.5
SuperTrend           	 -33.6
HA Smoothed           	 -89.2
Zeiierman Kalman    	 -161.0
ATR Stepped PDFMA    -217.2
Meridian Trend      	 -289.2
Kalman Trend         	 -1207.0     (keep 60% = most aggressive → worst loss)

• Meridian Trend: +56.0 × 10⁻⁶ (strong positive)
• Zeiierman Kalman: -21.6 × 10⁻⁶ (negative)

• Meridian wins big on Brent, limits damage on Gas/Light → net positive on Energy
• Zeiierman loses on all three Energy symbols → deep negative

BeatlemaniaSA wrote: Wed Mar 18, 2026 4:58 pm Hi Cagliostro, if you don't mind, when you have time away from your hectic schedule, could you explain the highlighted sections from the test results image?

image_2026-03-17_155530115.png

Much appreciated.

Beatle

Cagliostro wrote: Wed Mar 18, 2026 8:45 pm Why Zeiierman Kalman crashes on Energy but explodes on Crypto
Hi Beatle, great question — and it goes deeper than it looks.