Kalman filtered RSI oscillator – from Tradingview

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12/15/2024 at 12:58 AM #241430 quote

Participant

New

https://www.tradingview.com/script/0YrX18dJ-Kalman-Filtered-RSI-Oscillator-BackQuant/ Is anyone able to convert this indicator to PRC? It appears to be useful as a strategy, as outlined here: https://substack.com/home/post/p-152967438?source=queue&autoPlay=false

kalman-rsi.jpg

12/17/2024 at 9:37 PM #241523 quote

Participant

Master

Hi, I can’t translate the Pine code, but this is the ‘normal’ Kalman filter combined with the RSI…

// K = 1000 ({1...2000})
K = 6

ONCE Pred = Close
Series=Close

IF BarIndex = 0 THEN
Kalman = Close
ELSE
Smooth = Pred + (Series - Pred) * SQRT((K / 10000) * 2)
Velo = Velo + ((K / 10000) * (Series - Pred))
Pred = Smooth + Velo
Kalman = Pred
ENDIF

// Kalman RSI
KalmanRSI=RSI[14](Kalman)

// NormalizedRSI
LowestRSI=Lowest[100](KalmanRSI)
HighestRSI=Highest[100](KalmanRSI)

normalizedRSI=(KalmanRSI-LowestRSI)/(HighestRSI-LowestRSI)-0.5

// Color Logic for Trend
IF normalizedRSI > 0 AND normalizedRSI > normalizedRSI[1] THEN
trendColorR = 0   //Bright Green
trendColorG = 255
trendColorB = 8 
ELSIF normalizedRSI > 0 AND normalizedRSI < normalizedRSI[1] THEN
trendColorR = 0   //Light Blue
trendColorG = 187
trendColorB = 212 
ELSIF normalizedRSI < 0 AND normalizedRSI < normalizedRSI[1] THEN
trendColorR = 255 //Red
trendColorG = 0
trendColorB = 0
ELSIF normalizedRSI < 0 AND normalizedRSI > normalizedRSI[1] THEN
trendColorR = 119  //Dark Red
trendColorG = 21
trendColorB = 21 
ENDIF

// Plot NormalizedRSI
Return normalizedRSI Coloured(trendColorR,trendColorG,trendColorB) Style(Histogram)

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