Kalman Auction Ribbon

The Kalman Auction Ribbon indicator provides a six-layer adaptive ribbon built from a zero-lag source and Kalman-style velocity smoothing to visualize trend alignment and deviation zones. It aims to identify auction behavior by tracking trend strength, slope, and price retests within a single responsive overlay.

Usage

The Usage section highlights how to interpret the ribbon and its associated zones for market analysis:

• Ribbon Alignment: A strongly stacked ribbon (layers ordered sequentially) with consistent slope indicates high directional conviction. The "Dashboard Power" value reflects this alignment score.
• Deviation Zones: Supply and demand boxes are automatically generated when price rejects an ATR-based envelope (the Upper/Lower Deviation levels). These represent areas where price became overextended and returned to the ribbon midpoint.
• Retest Signals: Small dots labeled "BUY" or "SELL" appear when price interacts with a live zone or the ribbon while the broader trend state remains directional.
• Trend-State Candles: Optional bar coloring allows users to quickly distinguish between bullish (green), bearish (red), and neutral (blue) market environments based on the ribbon's internal score.

Details

The script utilizes several advanced quantitative concepts to ensure responsiveness and accuracy:

• Zero-Lag Preprocessing: The source input is adjusted by comparing current price with a historical value offset by half the base length, creating a more reactive input for the smoothing layers.
• Kalman-Style Velocity Smoothing: Each of the six ribbon layers uses a velocity estimate that includes a "speed" component. This allows the indicator to adjust its responsiveness based on directional momentum without requiring look-ahead bias.
• Trend Scoring: A composite score ranging from -100 to +100 is calculated by combining layer alignment (is K1 > K2, etc.), slope direction, and the spread between the fastest and slowest layers.
• Dynamic Overlap Suppression: To maintain chart cleanliness, the script prevents the stacking of redundant supply or demand boxes if a new rejection occurs within a pre-existing active zone.

Settings

Core

• Source: The price input used for calculations (default is Close).
• Base Length: The primary period used to derive the lengths of all six ribbon layers.
• Velocity Weight: Controls how aggressively the Kalman smoother responds to price changes.
• Deviation ATR Length: The lookback period for the Average True Range used in calculating deviation envelopes.
• Deviation Width: An ATR multiplier that determines the distance of the deviation levels from the ribbon midpoint.

Zones

• Show Deviation Zones: Toggles the visibility of supply and demand boxes.
• Zone Extension Bars: Defines how many bars into the future an active box will extend.
• Maximum Zones Per Side: Limits the number of active supply and demand objects kept on the chart.

Signals

• Show Confirmed Buy/Sell: Enables or disables the retest signal markers.
• Signal Spacing Bars: Sets the minimum number of bars required between consecutive signals to prevent clutter.

Visual

• Show Ribbon: Toggles the six Kalman layers and their background fill.
• Trend-State Candles: Enables candle coloring based on the calculated trend score.
• Dashboard: Displays an on-screen panel with trend state, power, and distance metrics.

FAQ

How do I interpret the Dashboard Power reading?
The Power reading represents the trend score (-100 to +100). Values near 100 indicate a perfectly aligned bullish trend, while values near -100 indicate a perfectly aligned bearish trend.

Why do some supply or demand zones disappear?
Zones are designed to fade or remove themselves once price invalidates the level or when the "Maximum Zones Per Side" limit is reached to optimize performance and chart clarity.

How can I access the Kalman Auction Ribbon?
You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.