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Kalman Trend Levels [BigBeluga]

The document describes a TradingView Pine Script indicator called 'Kalman Trend Levels' created by BigBeluga. It utilizes a Kalman filter to determine short and long trend levels based on user-defined lengths and provides options for retest signals and candle coloring. The script includes calculations for trend direction and visual elements such as labels and boxes to indicate trend changes on the chart.

Uploaded by

Ali Thaer Mutlaq
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as TXT, PDF, TXT or read online on Scribd
101 views2 pages

Kalman Trend Levels [BigBeluga]

The document describes a TradingView Pine Script indicator called 'Kalman Trend Levels' created by BigBeluga. It utilizes a Kalman filter to determine short and long trend levels based on user-defined lengths and provides options for retest signals and candle coloring. The script includes calculations for trend direction and visual elements such as labels and boxes to indicate trend changes on the chart.

Uploaded by

Ali Thaer Mutlaq
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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// This work is licensed under Creative Commons Attribution-NonCommercial-

ShareAlike 4.0 International


// https://creativecommons.org/licenses/by-nc-sa/4.0/
// © BigBeluga

//@version=5
indicator("Kalman Trend Levels [BigBeluga]", overlay = true, max_labels_count =
500, max_boxes_count = 500)

// ＩＮＰＵＴＳ
――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――
――――――――――――――――――――――{
int short_len = input.int(50)
int long_len = input.int(150)
bool retest_sig = input.bool(false, "Retest Signals")
bool candle_color = input.bool(true, "Candle Color")

color upper_col = input.color(#13bd6e, "up", inline = "colors")


color lower_col = input.color(#af0d4b, "dn", inline = "colors")

// }

// ＣＡＬＣＵＬＡＴＩＯＮ
Ｓ――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――
――――――――――――{
float atr = ta.atr(200) *0.5

var lower_box = box(na)


var upper_box = box(na)

// Kalman filter function


kalman_filter(src, length, R = 0.01, Q = 0.1) =>
// Initialize variables
var float estimate = na
var float error_est = 1.0
var float error_meas = R * (length)
var float kalman_gain = 0.0
var float prediction = na

// Initialize the estimate with the first value of the source


if na(estimate)
estimate := src[1]

// Prediction step
prediction := estimate

// Update Kalman gain


kalman_gain := error_est / (error_est + error_meas)

// Update estimate with measurement correction


estimate := prediction + kalman_gain * (src - prediction)

// Update error estimates


error_est := (1 - kalman_gain) * error_est + Q / (length) // Adjust process
noise based on length

estimate
float short_kalman = kalman_filter(close, short_len)
float long_kalman = kalman_filter(close, long_len)

bool trend_up = short_kalman > long_kalman

color trend_col = trend_up ? upper_col : lower_col


color trend_col1 = short_kalman > short_kalman[2] ? upper_col : lower_col
color candle_col = candle_color ? (trend_up and short_kalman > short_kalman[2] ?
upper_col : not trend_up and short_kalman < short_kalman[2] ? lower_col :
color.gray) : na

// }

// ＰＬＯＴ
――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――――
――――――――――――――――――――――――――{
if trend_up and not trend_up[1]
label.new(bar_index, short_kalman, "🡹\n" + str.tostring(math.round(close,1)),
color = color(na), textcolor = upper_col, style = label.style_label_up, size =
size.normal)
lower_box := box.new(bar_index, low+atr, bar_index, low, border_color = na,
bgcolor = color.new(upper_col, 60))

if not ta.change(trend_up)
lower_box.set_right(bar_index)

if trend_up[1] and not trend_up


label.new(bar_index, short_kalman, str.tostring(math.round(close,1))+"\n🢃",
color = color(na), textcolor = lower_col, style = label.style_label_down, size =
size.normal)
upper_box := box.new(bar_index, high, bar_index, high-atr, border_color = na,
bgcolor = color.new(lower_col, 60))

if not ta.change(trend_up)
upper_box.set_right(bar_index)

if retest_sig
if high < upper_box.get_bottom() and high[1]>= upper_box.get_bottom() //or high
< lower_box.get_bottom() and high[1]>= lower_box.get_bottom()
label.new(bar_index-1, high[1], "x", color = color(na), textcolor =
lower_col, style = label.style_label_down, size = size.normal)

if low > lower_box.get_top() and low[1]<= lower_box.get_top()


label.new(bar_index-1, low[1], "+", color = color(na), textcolor =
upper_col, style = label.style_label_up, size = size.normal)

p1 = plot(short_kalman, "Short Kalman", color = trend_col1)


p2 = plot(long_kalman, "Long Kalman", linewidth = 2, color = trend_col)

fill(p1, p2, short_kalman, long_kalman, na, color.new(trend_col, 80))

plotcandle(open, high, low, close, title='Title', color = candle_col,


wickcolor=candle_col, bordercolor = candle_col)
// }

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