Proximal Range Filter — Futures 30M
L1 soft-threshold noise filter that detects trend direction changes. Pure trend-following with ATR-based risk management.
FREE
Equity Curve
BACKTEST+$6,751.25
Net P&L over 697 trades
Performance Metrics
1.20
Profitable
51.1%
356 winning trades
+$6,751.25
Avg: $9.69/trade
1.12
Moderate
$2,927.50
Peak to trough
697
Avg $9.69 per trade
Jan 1, 2024 — Feb 15, 2026
MES • 30M
Strategy Description
The Proximal Range Filter applies L1 soft-thresholding (Lasso-style regularization) to price data, creating a smooth trend signal that adapts to volatility.
Key Features: - Noise-filtered trend detection using L1 regularization - ATR-based stop losses that widen in volatile markets - No indicator lag — uses forward-looking filter design - 697 trades across 2+ years with consistent edge
Best suited for trending instruments like ES/MES futures on 30-minute charts.
Testing Details
Platform Support
TradingView
Pine Script v6
Tags
Pine Script Preview
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Live TradesLINKED
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Arbitrader
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