OPEN-SOURCE SCRIPT
Kalman Trend State [forexobroker]
Kalman Trend State applies a recursive Kalman filter to price, treating the unobserved trend as a hidden state with two components: instantaneous price level and per-bar velocity. Unlike a moving average, the filter's smoothing gain updates bar-by-bar from the residuals (innovation), so it adapts to volatility automatically without any length knob.
🔶 ALGORITHM
1. State [px, vx] tracks price and velocity. Transition F = [[1,1],[0,1]] (constant-velocity model).
2. Process noise Q is ATR-adaptive: Q = q_base + q_scale * (ATR / close). Higher volatility = larger Q = faster adaptation.
3. Measurement noise R is fixed (user input). Higher R = filter trusts the model more, smoother output.
4. At each bar: predict (px, P) -> measure close -> update gain K = P_pred * H' / S where S = P_pred[0,0] + R -> correct (px, vx, P).
5. The innovation z-score (close - prediction) / sigma quantifies how well the filter is tracking.
🔶 SIGNAL LOGIC
- Buy: velocity > k * ATR AND |innovation z| <= sigma gate AND close crosses Kalman line up AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: mirror with velocity < -k * ATR.
- Position-lock state machine prevents same-side over-firing.
🔶 INPUTS
- Process Noise Base Q (default 0.001)
- Q ATR-Pct Scale (default 0.01)
- Measurement Noise R (default 1.0)
- Velocity Threshold x ATR (default 0.10)
- Innovation Sigma Gate (default 1.0)
- Cooldown Bars (default 4)
- Visual: 3-layer glow toggle, Kalman line toggle, dashboard toggle, buy / sell colors
🔶 ALERTS
KTS Buy, KTS Sell, KTS Any Signal, KTS Trend Up Start, KTS Trend Down Start, KTS Clean Fit, KTS Cross Up, KTS Cross Down, KTS Webhook JSON.
🔶 LIMITATIONS
- Kalman is optimal under linear-Gaussian assumptions; price is heavy-tailed, so the filter occasionally lags during regime breaks.
- Warm-up: about 14 bars (ATR seed). Earlier bars have NaN-guarded fallbacks but signals stay flat.
- Defaults tuned for liquid majors and indices on 5m-1H. Re-tune R for tick-driven micro-instruments.
- Velocity threshold scales with ATR but the filter itself does not change shape; for highly seasonal assets, a session-aware variant may help.
🔶 ALGORITHM
1. State [px, vx] tracks price and velocity. Transition F = [[1,1],[0,1]] (constant-velocity model).
2. Process noise Q is ATR-adaptive: Q = q_base + q_scale * (ATR / close). Higher volatility = larger Q = faster adaptation.
3. Measurement noise R is fixed (user input). Higher R = filter trusts the model more, smoother output.
4. At each bar: predict (px, P) -> measure close -> update gain K = P_pred * H' / S where S = P_pred[0,0] + R -> correct (px, vx, P).
5. The innovation z-score (close - prediction) / sigma quantifies how well the filter is tracking.
🔶 SIGNAL LOGIC
- Buy: velocity > k * ATR AND |innovation z| <= sigma gate AND close crosses Kalman line up AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: mirror with velocity < -k * ATR.
- Position-lock state machine prevents same-side over-firing.
🔶 INPUTS
- Process Noise Base Q (default 0.001)
- Q ATR-Pct Scale (default 0.01)
- Measurement Noise R (default 1.0)
- Velocity Threshold x ATR (default 0.10)
- Innovation Sigma Gate (default 1.0)
- Cooldown Bars (default 4)
- Visual: 3-layer glow toggle, Kalman line toggle, dashboard toggle, buy / sell colors
🔶 ALERTS
KTS Buy, KTS Sell, KTS Any Signal, KTS Trend Up Start, KTS Trend Down Start, KTS Clean Fit, KTS Cross Up, KTS Cross Down, KTS Webhook JSON.
🔶 LIMITATIONS
- Kalman is optimal under linear-Gaussian assumptions; price is heavy-tailed, so the filter occasionally lags during regime breaks.
- Warm-up: about 14 bars (ATR seed). Earlier bars have NaN-guarded fallbacks but signals stay flat.
- Defaults tuned for liquid majors and indices on 5m-1H. Re-tune R for tick-driven micro-instruments.
- Velocity threshold scales with ATR but the filter itself does not change shape; for highly seasonal assets, a session-aware variant may help.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
🔵Gain access to our powerful tools : kestutisbalciunas.com/tradingview/
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
🔵Gain access to our powerful tools : kestutisbalciunas.com/tradingview/
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.