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Indicator · Pine Script v6 · On the chart
Wiener Filter (WIENER)
This indicator plots a Wiener filter of a chosen price source on the price chart.
GitHub stars99on the repository
Pine versionv6current
Lines of code40
Settings3inputs
LicenceApache-2.0
Last update4 weeks ago27 Sep 2026
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
40 lines of Pine Script v6 from lib/filters/wiener/wiener.pine, published under Apache-2.0. Keep the author's credit and licence lines when you reuse it.
// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Wiener Filter (WIENER)", "WIENER", overlay=true)
//@function Calculates Wiener Filter that minimizes mean square error
//@param src Series to filter
//@param length Window size for noise estimation
//@param smooth_len Length for signal power estimation
//@returns Wiener filtered value
//@optimized Uses adaptive noise estimation with O(n) complexity per bar
wiener(series float src, simple int length, simple int smooth_len = 10) =>
var array<float> diffs = array.new_float(0)
array.clear(diffs)
for i = 0 to length - 2
float diff = src[i] - src[i + 1]
array.push(diffs, diff * diff)
float noise_var = 0.0
float sum_diffs = array.sum(diffs)
int num_diffs = array.size(diffs)
if num_diffs > 0
noise_var := sum_diffs / (2.0 * float(num_diffs))
float signal_plus_noise = ta.sma(math.pow(src - ta.sma(src, smooth_len), 2.0), smooth_len)
float signal_var = math.max(signal_plus_noise - noise_var, 0.0)
float k = signal_var / (signal_var + noise_var)
float mean = ta.sma(src, smooth_len)
mean + k * (src - mean)
// ---------- Main loop ----------
// Inputs
i_length = input.int(20, "Length", minval=5, maxval=500)
i_smooth = input.int(10, "Smoothing", minval=2, maxval=100)
i_source = input.source(close, "Source")
// Calculation
wiener_val = wiener(i_source, i_length, i_smooth)
// Plot
plot(wiener_val, "Wiener", color=color.yellow, linewidth=2)
Overview
Wiener Filter (WIENER) estimates noise from squared differences over a lookback window, estimates signal power from a smoothed mean of squared deviations, and blends the source toward that mean with a Wiener gain. Length sets the noise window and smoothing sets the signal-power window. It does not generate entries, exits, or alerts, and it does not use higher-timeframe lookahead.
- Adaptive noise variance from consecutive differences
- Signal power from smoothed squared deviations
- Wiener gain blending source toward the mean
- Length and smoothing inputs
- Yellow overlay of the filtered series
Details
Published by
mihakralj on GitHub
Type
Indicator, Pine Script v6
Draws
On the price chart
Category
Trend, Moving averages
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.
Topics
algorithmic-tradingcsharpdotnetpinescriptpythonquantitative-financesimdta-libtechnical-analysistechnical-indicators
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| Length | int | 20 | i_length |
| Smoothing | int | 10 | i_smooth |
| Source | source | close | i_source |
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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