Home > Articles > Volume 44 (2026) > Chapter 6 (June 2026) > Stocks & Commodities V. 44:06 (44–47): The Kalman Filter Vs. The Alpha-Beta Filter by John F. Ehlers

Stocks & Commodities V. 44:06 (44–47): The Kalman Filter Vs. The Alpha-Beta Filter by John F. Ehlers

Stocks & Commodities V. 44:06 (44–47): The Kalman Filter Vs. The Alpha-Beta Filter by John F. Ehlers
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The Kalman Filter Vs. The Alpha-Beta Filter by John F. Ehlers

These two filters more closely model price action than an exponential moving average and have less lag than adaptive moving averages. Is either filter a good choice for your trading needs? Here’s a look at both filters to help you decide.

The purpose of this article is to dispel some of the mysteries surrounding the Kalman filter and alpha-beta filters. Both are recursive filters that are extensions of the exponential moving average (EMA). Both have been used extensively in ballistics ...




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