Kalman Volume Filter [ChartPrime]
The "Kalman Volume Filter", aims to provide insights into market volume dynamics by filtering out noise and identifying potential overbought or oversold conditions. Let's break down its components and functionality:
Settings:
Volume Zone Oscillator (VZO):
Kalman Filter:
Volume Visualization:
Overbought and Oversold Zones:
Marks overbought and oversold levels on the chart to assist in identifying potential reversal points.
Plotting:
This indicator provides traders with a comprehensive view of volume dynamics, trend direction, and potential market turning points, aiding in informed decision-making during trading activities.
Settings:
- Users can adjust various parameters to customize the indicator according to their preferences:
- Volume Length: Defines the length of the volume period used in calculations.
- Stabilization Coefficient (k): Determines the level of noise reduction in the signals.
- Signal Line Length: Sets the length of the signal line used for identifying trends.
- Overbought & Oversold Zone Level: Specifies the threshold levels for identifying overbought and oversold conditions.
- Source: Allows users to select the price source for volume calculations.
Volume Zone Oscillator (VZO):
- Calculates a volume-based oscillator indicating the direction and intensity of volume movements.
- Utilizes a volume direction measurement over a specified period to compute the oscillator value.
- Normalizes the oscillator value to improve comparability across different securities or timeframes.
// VOLUME ZONE OSCILLATOR
VZO(get_src, length) =>
Volume_Direction = get_src > get_src[2] ? volume : -volume
VZO_volume = ta.hma(Volume_Direction, length)
Total_volume = ta.hma(volume, length)
VZO = VZO_volume / (Total_volume)
VZO := (VZO - 0) / ta.stdev(VZO, 200)
VZOKalman Filter:
- Applies a Kalman filter to smooth out the VZO values and reduce noise.
- Utilizes a stabilization coefficient (k) to control the degree of smoothing.
- Generates a filtered output representing the underlying volume trend.
// KALMAN FILTER
series float M_n = 0.0 // - the resulting value of the current calculation
series float A_n = VZO // - the initial value of the current measurement
series float M_n_1 = nz(M_n[1]) // - the resulting value of the previous calculation
float k = input.float(0.06) // - stabilization coefficient
// Kalman Filter Formula
kalm(k)=>
k * A_n + (1 - k) * M_n_1Volume Visualization:
- Displays the volume histogram, with color intensity indicating the strength of volume movements.
- Adjusts bar colors based on volume bursts to highlight significant changes in volume.
Overbought and Oversold Zones:
Marks overbought and oversold levels on the chart to assist in identifying potential reversal points.
Plotting:
- Plots the Kalman Volume Filter line and a signal line for visual analysis.
- Utilizes different colors and fills to distinguish between rising and falling trends.
- Highlights specific events such as local buy or sell signals, as well as overbought or oversold conditions.
This indicator provides traders with a comprehensive view of volume dynamics, trend direction, and potential market turning points, aiding in informed decision-making during trading activities.