Kalman filtered RSI oscillator – from Tradingview

• 12/15/2024 at 12:58 AM #241430
  JoshPhoenix

  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

  

  JoshPhoenix

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

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

  Kalman 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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  // 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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  Iván, JoshPhoenix

  

  JS

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  12/18/2024 at 12:03 AM #241528
  JoshPhoenix

  Perfect, thank you 🙂

  1 user thanked author for this post.

  JS

  

  JoshPhoenix

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