Indicator designed to implement a trading indicator combining a Hull Moving Average (HMA) with a Kahlman filter, used to identify trends and potential buy/sell signals in a financial market. Let’s break it down into simpler terms:
Overview
- Purpose: The script creates a custom trend-following indicator.
- Key Components: It uses a Hull Moving Average (HMA), a variation of the moving average designed to reduce lag and improve smoothness, and a Kalman filter, which is used to estimate the state of a system from noisy data.
How it Works
- Setting Up Variables:
length,showcross,gain,k,nonrepaintingare variables that can be adjusted to modify how the indicator behaves.srcrepresents the source data, typically the closing price of a trading instrument.
- Calculating the Hull Moving Average (HMA):
- The script calculates the HMA and a modified version, referred to as
hma3, based on the closing price (close). These calculations use weighted averages over different periods to reduce lag and increase responsiveness.
- The script calculates the HMA and a modified version, referred to as
- Kalman Filter Implementation:
- The script initializes variables for the Kalman filter:
Pred,Velo,Smooth. - The Kalman filter is applied in a loop, modifying the values of these variables to estimate the “true” state of the market price (
kf) from the noisy input data (src).
- The script initializes variables for the Kalman filter:
- Applying the Filter to the HMA:
- The script calculates two versions of the indicator: one using the raw closing price (
aandbwithout Kalman filter) and another using the Kalman-filtered price (aandbwith Kalman filter).
- The script calculates two versions of the indicator: one using the raw closing price (
- Cross Signals:
- If
showcrossis true, the script looks for crossover points betweenaandb— these are points where the two lines cross each other. - When
acrosses overb, it’s marked as a “sell” signal (S), and whenacrosses underb, it’s marked as a “buy” signal (B). - The script can optionally mark these signals on the chart using text and points, with an additional option for “non-repainting” mode, which affects how and where these signals are displayed.
- If
- Drawing on the Chart:
- The script uses drawing functions (
DRAWTEXT,DRAWPOINT) to visually represent buy and sell signals on the chart for easier interpretation.
- The script uses drawing functions (
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//variables length=24 showcross=1 nonrepainting=0 src=customclose length =length showcross = showcross gain = gain k = k hma= WeightedAverage[ROUND(SQRT(length))](2 * WeightedAverage[ROUND(length / 2)](src) - WeightedAverage[length](src)) // Calcul des composants de l'indicateur HMA3 p=(length/2) wma1 = WeightedAverage[round(p/3)](close) wma2 = WeightedAverage[round(p/2)](close) wma3 = WeightedAverage[round(p)](close) // Calcul de l'indicateur HMA3 ga=3*wma1-wma2-wma3 hma3 = WeightedAverage[round(p)](ga) // Initialisation des variables du filtre de Kalman ONCE Pred = src ONCE Velo = 0 ONCE Smooth = src kf = src // Boucle de calcul pour le filtre de Kalman IF BarIndex > 0 THEN Smooth = Pred + (src-Pred)*SQRT((gain/10000)*2) Velo=Velo+((gain/10000)*(src-Pred)) Pred=Smooth+Velo kf=Pred ENDIF wma1f = WeightedAverage[round(p/3)](kf) wma2f = WeightedAverage[round(p/2)](kf) wma3f = WeightedAverage[round(p)](kf) // Calcul du filtrage de b gaf=3*wma1f-wma2f-wma3f if k then a =WeightedAverage[ROUND(SQRT(length))](2 * WeightedAverage[ROUND(length / 2)](kf) - WeightedAverage[length](kf)) b =WeightedAverage[round(p)](gaf) endif if not k then a = hma b = hma3 endif if showcross then crossdn =a crosses over b atrh = averagetruerange[10](close)*0.5 if nonrepainting=0 then if crossdn then DRAWTEXT("S", barindex-1,high[1]+atrh,dialog,bold,14)coloured(155,0,0) DRAWPOINT(barindex-1,high[1]+atrh,4)coloured(255,255,255,100)bordercolor(0,155,0,250) endif crossup = a crosses under b if crossup then DRAWTEXT("B", barindex-1,b[1]-atrh,dialog,bold,14)coloured(0,155,0) DRAWPOINT(barindex-1,b[1]-atrh,4)coloured(255,255,255,100)bordercolor(155,0,0,250) endif endif if nonrepainting=1 then if crossdn then DRAWTEXT("S", barindex,high+atrh,dialog,bold,14)coloured(155,0,0) DRAWPOINT(barindex,high+atrh,4)coloured(255,255,255,100)bordercolor(0,155,0,250) endif crossup = a crosses under b if crossup then DRAWTEXT("B", barindex,b-atrh,dialog,bold,14)coloured(0,155,0) DRAWPOINT(barindex,b-atrh,4)coloured(255,255,255,100)bordercolor(155,0,0,250) endif endif endif return a as "hull",b as "hull3" |
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There’s a typo in the title. It is not Kahlman but the Kalman filter. Drop the letter h in the name.
Merci Jacques d’avoir répondu à une demande du forum 🙂
bonjour
Petit soucis avec src , dans l’original src = hl/2 soit (high+low)/2
Un idée ?
/@version=4
study(“Hull Trend with Kahlman”, shorttitle=”HMA-Kahlman Trend”, overlay=true)
src = input(hl2, “Price Data”)
length = input(24, “Lookback”)
showcross = input(true, “Show cross over/under”)
gain = input(10000, “Gain”)
k = input(true, “Use Kahlman”)
Bonjour
non pas de soucis car src=customclose donc dans le menu configuration/propriété menu déroulant choisir médian (h+b)/2 ou alors si vous voulez figer cette variable dans le probuilder remplacer src=customclose par src=Median Price
Merci Jacques , indic tres utile. J’ai un indic à programmer avec du price action. es tu dispo pour m’aider à le faire?
ok pour regarder …