트레이팅 뷰 지표입니다.

사용가능 하도록 수정 부탁 드립니다.

//@version=6

indicator(

 title="Kalman Adjusted Average True Range [BackQuant]",

 shorttitle = "Kalman ATR [BackQuant]",

 overlay=true)

// Define User Inputs

const string      tooltip1                = "If T3 is selected as the moving average this will be the volume factor, if ALMA is selected it will be the sigma, ELSE it is nothing"

simple bool       showAtr                 =        input.bool(true, "Plot Kalman Atr on Chart?")

series float      pricesource             =        input.source(close, "Kalman Price Source", group = "Calculation")

simple float      processNoise            =        input.float(0.01, title="Process Noise", step = 0.01, group = "Calculation")

simple float      measurementNoise        =        input.float(3.0, title="Measurement Noise", group = "Calculation")

simple int        N                       =        input.int(5, title="Filter Order", minval=1, group = "Calculation")

simple int        periodAtr               =        input.int(5, "Period", group = "Kalman Atr")

simple float      factorAtr               =        input.float(0.5, "Factor", step = 0.01, group = "Kalman Atr")

simple bool       paintCandles            =        input.bool(false, "Paint Candles According to trend?")

simple bool       showMA                  =        input.bool(false, "Show Atr Moving Average as Confluence?",group = "Confluence")

string            movingAverageType       =        input.string("Ema", title="MA Type", options=["SMA", "Hull", "Ema", "Wma", "Dema", "RMA", "LINREG", "ALMA"],group = "Confluence")

simple float      vfsig                   =        input.float(0.7, "Volume Factor if T3, Sigma if ALMA", group = "Confluence", tooltip = "If T3 is selected as the moving average this will be the volume factor, if ALMA is selected it will be the sigma, ELSE it is nothing")

simple int        movingAveragePeriod     =        input.int(50, "Moving Average Period", group = "Confluence")

simple color      longColour              =        input.color(#00ff00, "Long Colour", group = "Colors")

simple color      shortColour             =        input.color(#ff0000, "Short Color", group = "Colors")

/////////////////////////////////////////////////////////////// © BackQuant ///////////////////////////////////////////////////////////////

// Function

var float[] stateEstimate = array.new_float(N, na)

var float[] errorCovariance = array.new_float(N, 100.0)

f_init(series float pricesource) =>

    if na(array.get(stateEstimate, 0))

        for i = 0 to N-1

            array.set(stateEstimate, i, pricesource)

            array.set(errorCovariance, i, 1.0)

f_kalman(series float pricesource) =>

    // Prediction Step

    predictedStateEstimate = array.new_float(N)

    predictedErrorCovariance = array.new_float(N)

    for i = 0 to N-1

        array.set(predictedStateEstimate, i, array.get(stateEstimate, i)) // Simplified prediction

        array.set(predictedErrorCovariance, i, array.get(errorCovariance, i) + processNoise)

    kalmanGain = array.new_float(N)

    for i = 0 to N-1

        kg = array.get(predictedErrorCovariance, i) / (array.get(predictedErrorCovariance, i) + measurementNoise)

        array.set(kalmanGain, i, kg)

        array.set(stateEstimate, i, array.get(predictedStateEstimate, i) + kg * (pricesource - array.get(predictedStateEstimate, i)))

        array.set(errorCovariance, i, (1 - kg) * array.get(predictedErrorCovariance, i))

    array.get(stateEstimate, 0)

KalmanAtrWithBands(pricesource, lookback, atrFactor)=>

    f_init(pricesource)

    kalmanFilteredPrice = f_kalman(pricesource)

    atr = ta.atr(lookback)

    trueRange = atr * atrFactor

    kalmanatr = kalmanFilteredPrice

    kalmanatr := nz(kalmanatr[1], kalmanatr)

    trueRangeUpper = kalmanFilteredPrice + trueRange

    trueRangeLower  = kalmanFilteredPrice - trueRange

    if trueRangeLower > kalmanatr

        kalmanatr := trueRangeLower

    if trueRangeUpper < kalmanatr

        kalmanatr := trueRangeUpper

    kalmanatr

// Function Out

kalmanatr = KalmanAtrWithBands(pricesource, periodAtr, factorAtr)

/////////////////////////////////////////////////////////////// © BackQuant ///////////////////////////////////////////////////////////////

// Moving Average Switch Type

movingAverage(source, length, type, vfsig) =>

    switch type

        "SMA" => ta.sma(source, length)

        "Hull" => ta.hma(source, length)

        "Ema" => ta.ema(source, length)

        "Wma" => ta.wma(source, length)

        "Dema" => ta.dema(source, length)

        "RMA" => ta.rma(source, length)

        "LINREG" => ta.linreg(source, length, 0)

        "ALMA" => ta.alma(source, length, 0, vfsig)

maOut = movingAverage(kalmanatr, movingAveragePeriod, movingAverageType, vfsig)

/////////////////////////////////////////////////////////////// © BackQuant ///////////////////////////////////////////////////////////////

// Conditions

kalmanatrLong = ta.crossover(kalmanatr, kalmanatr[1])

kalmanatrShort = ta.crossunder(kalmanatr, kalmanatr[1])

// Colour Condtions

var color Trend = #ffffff

if kalmanatrLong

    Trend := longColour

if kalmanatrShort

    Trend := shortColour

// Plotting

plot(

 showAtr ? kalmanatr : na,

 "ATR",

 color=Trend,

 linewidth = 2

 )

barcolor(paintCandles ? Trend : na)

plot(showMA ? maOut : na, "Moving Average", color.white, 2, plot.style_line)

/////////////////////////////////////////////////////////////// © BackQuant ///////////////////////////////////////////////////////////////

// Alerts

alertcondition(

 kalmanatrLong,

 title="Kalman ATR Trend Up",

 message="Kalman ATR Trend Up - {{ticker}} - {{interval}}"

 )

alertcondition(

 kalmanatrShort,

 title="Kalman ATR Trend Down",

 message="Kalman ATR Trend Down - {{ticker}} - {{interval}}"

 )