Kalman Exponential SuperTrend: Free TradingView Indicator (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.

Source Code

114 lines of Pine Script v6 from src/kalman-exponential-supertrend-original.pine, published under MIT. Keep the author's credit and licence lines when you reuse it.

kalman-exponential-supertrend-original.pine

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © MisinkoMaster

//@version=6
indicator("Kalman Exponential SuperTrend", "KEST | MisinkoMaster", overlay = true)
///////////////////////////////////////////////////////////////////////////////
//Get User Defined Inputs
len = input.int(13, title = "ATR Length", group = "SuperTrend | MisinkoMaster",
      minval = 2, step = 1)
mul = input.float(defval = 1.75, title = "Factor", group = "SuperTrend | MisinkoMaster",
      minval = 0.01, step = 0.01)
pricesource = input.source(close, "Kalman Price Source", group = "Kalman Filter | MisinkoMaster")
processNoise = input.float(0.01, title="Process Noise", step = 0.001, group = "Kalman Filter | MisinkoMaster")
measurementNoise = input.float(3.0, title="Measurement Noise", group = "Kalman Filter | MisinkoMaster", step = 0.1)
N = input.int(5, title="Filter Order", minval=1, group = "Kalman Filter | MisinkoMaster", step = 1)
//Plot Input (Removable)
style = input.string(defval = "Dragonic", title = "Plotting Style",
     options = ["Dragonic", "Medieval", "Modern", "Retro", "Futuristic", "Tropical", "OG"],
     group = "Style Settings")
///////////////////////////////////////////////////////////////////////////////
//Calculations
//Kalman Filter
src = pricesource
var float[] stateEstimate = array.new_float(N, na)
var float[] errorCovariance = array.new_float(N, 100.0)
f_init(series float pricesource) =>
    if na(array.get(stateEstimate, 0))
        for i = 0 to N-1
            array.set(stateEstimate, i, pricesource)
            array.set(errorCovariance, i, 1.0)
f_kalman(series float pricesource) =>
    predictedStateEstimate = array.new_float(N)
    predictedErrorCovariance = array.new_float(N)
    for i = 0 to N-1
        array.set(predictedStateEstimate, i, array.get(stateEstimate, i)) // Simplified prediction
        array.set(predictedErrorCovariance, i, array.get(errorCovariance, i) + processNoise)    
    kalmanGain = array.new_float(N)
    for i = 0 to N-1
        kg = array.get(predictedErrorCovariance, i) / (array.get(predictedErrorCovariance, i) + measurementNoise)
        array.set(kalmanGain, i, kg)
        array.set(stateEstimate, i, array.get(predictedStateEstimate, i) + kg * (pricesource - array.get(predictedStateEstimate, i)))
        array.set(errorCovariance, i, (1 - kg) * array.get(predictedErrorCovariance, i))
    array.get(stateEstimate, 0)
f_init(pricesource)
kalmanFilteredPrice = f_kalman(pricesource)
//Exponential SuperTrend
a = 2/(1+len)
atr = ta.atr(len)
UpperBand = kalmanFilteredPrice + atr*mul
LowerBand = kalmanFilteredPrice - atr*mul

Upper = UpperBand[1]*(1-a)+UpperBand*a
Lower = LowerBand[1]*(1-a)+UpperBand*a

///////////////////////////////////////////////////////////////////////////////
//Trend Logic
var trend = 0

L = ta.crossover(src, Upper)
S = ta.crossunder(src, Lower)

if L and not S
    trend := 1
if S
    trend := -1
///////////////////////////////////////////////////////////////////////////////
//Plotting
bullcol = switch style
    "Dragonic" => color.rgb(0, 255, 155, 10)
    "Medieval" => color.rgb(200, 255, 255, 10)
    "Modern" => color.rgb(0, 255, 255, 10)
    "Retro" => color.rgb(103, 194, 203)
    "Futuristic" => color.rgb(16, 255, 215)
    "Tropical" => color.rgb(251, 255, 14)
    "OG" => color.rgb(0, 255, 0)
bearcol = switch style
    "Dragonic" => color.rgb(255, 0, 155, 10)
    "Medieval" => color.rgb(24, 2, 3, 10)
    "Modern" => color.rgb(255, 0, 255, 10)
    "Retro" => color.rgb(212, 175, 55)
    "Futuristic" => color.rgb(255, 72, 72)
    "Tropical" => color.rgb(243, 142, 11)
    "OG" => color.rgb(255, 0, 0)
bullcolT = switch style
    "Dragonic" => color.rgb(0, 255, 155, 60)
    "Medieval" => color.rgb(200, 255, 255, 60)
    "Modern" => color.rgb(0, 255, 255, 60)
    "Retro" => color.rgb(103, 194, 203, 60)
    "Futuristic" => color.rgb(16, 255, 215, 60)
    "Tropical" => color.rgb(251, 255, 14, 45)
    "OG" => color.rgb(0, 255, 0, 60)
bearcolT = switch style
    "Dragonic" => color.rgb(255, 0, 155, 60)
    "Medieval" => color.rgb(24, 2, 3, 60)
    "Modern" => color.rgb(255, 0, 255, 60)
    "Retro" => color.rgb(212, 175, 55, 60)
    "Futuristic" => color.rgb(255, 72, 72, 60)
    "Tropical" => color.rgb(243, 142, 11, 45)
    "OG" => color.rgb(255, 0, 0, 60)

var col = color.rgb(255, 255, 255, 100)
var colT = color.rgb(255, 255, 255, 100)
if trend == 1
    col := bullcol
    colT := bullcolT
if trend == -1
    col := bearcol
    colT := bearcolT

ap = plot(src, color = colT)
lp = plot(trend == 1 ? Lower : na, title = "Lower Band", color = col, linewidth = 2, style = plot.style_linebr)
up = plot(trend == -1 ? Upper : na, title = "Upper Band", color = col, linewidth = 2, style = plot.style_linebr)
fill(lp, ap, color = colT, fillgaps = false)
fill(up, ap, color = colT, fillgaps = false)

Overview

The trend turns bullish when price crosses above the upper band and bearish when it crosses below the lower band, and the active band is drawn as the SuperTrend line. Settings cover ATR length, factor, process noise, measurement noise, filter order and a colour style. It is a visual tool with no order logic.

Kalman filtered price
Exponential SuperTrend bands
Crossover-based trend flips
Tunable noise and filter order
Selectable colour styles

Details

Published by

kratos-stack on GitHub

Code credit

MisinkoMaster, as written in the script's header

Type

Indicator, Pine Script v6

Draws

On the price chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

src/kalman-exponential-supertrend-original.pine

Repository

github.com/kratos-stack/kalman-exponential-supertrend-multi-timeframe. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
ATR Length	`int`	`13`	`len`
Factor	`float`	`1.75`	`mul`
Kalman Price Source	`source`	`close`	`pricesource`
Process Noise	`float`	`0.01`	`processNoise`
Measurement Noise	`float`	`3.0`	`measurementNoise`
Filter Order	`int`	`5`	`N`
Plotting Style	`string`	`Dragonic`	`style`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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