Kalman Hull RSI

The Kalman Hull RSI indicator is an adaptive momentum oscillator that combines Kalman filtering with Hull Moving Average logic to provide a responsive and noise-reduced Relative Strength Index. By processing price data through a Kalman filter before applying the HMA calculation, this tool aims to offer traders a clearer view of trend momentum with significantly reduced lag compared to standard RSI implementations.

Usage

The Kalman Hull RSI can be used similarly to a traditional RSI but with a focus on trend-following and rapid response to price shifts.

• Trend Identification: The oscillator uses a center line at 50. Values above 50 indicate a bullish bias, while values below 50 indicate a bearish bias. The histogram bars change intensity based on the distance from the midpoint, providing a visual representation of momentum strength.
• Overbought and Oversold Conditions: Static thresholds are set at 80 (Overbought) and 20 (Oversold). Traders can monitor these zones for potential exhaustion or trend reversals.
• Candle Coloring: Users can enable the option to paint candles based on the current trend (bullish/bearish) dictated by the RSI position relative to the 50 level.
• Volatility Adaptation: Because it utilizes a Kalman filter, the indicator is particularly effective in volatile markets where standard moving averages might produce excessive "whipsaw" signals.

Details

This indicator leverages two primary signal processing concepts:

1. Kalman Filter: An algorithm that estimates the state of a system by minimizing the mean squared error. In this script, it is used to filter "noise" from price data while attempting to keep the signal as close to current price action as possible.
2. Hull Moving Average (HMA) Logic: The HMA is known for its ability to reduce lag while maintaining smoothness. In this specific implementation, the traditional Weighted Moving Average (WMA) components of the HMA formula are replaced with Kalman Filter estimates.

The resulting "Kalman Hull" price is then used as the source for the standard RSI calculation. This dual-layered filtering process ensures that the momentum oscillator reacts swiftly to genuine price movements while ignoring minor fluctuations.

Settings

Calculation

• Kalman Price Source: The price series used for the initial Kalman filtering (e.g., Close, HL2).
• Measurement Noise: Adjusts the sensitivity of the Kalman filter. Higher values result in more smoothing, while lower values make the indicator more responsive to price changes.
• Process Noise: A parameter for the internal state estimation of the Kalman algorithm.
• RSI Period: The lookback period for the final Relative Strength Index calculation.

UI Settings

• Show Oscillator: Toggles the visibility of the histogram oscillator.
• Paint candles according to Trend: When enabled, candles on the main chart will be colored green or red based on the RSI value.
• Show Static High and Low Levels: Toggles the visibility of the 80/20 Overbought and Oversold threshold zones.

FAQ

How does the Kalman Hull RSI differ from the standard RSI?

The standard RSI uses a simple or exponential moving average of price gains and losses. This version uses a Kalman-filtered Hull Moving Average as the source, which significantly reduces lag and smooths out noise in the oscillator's output.

Can I use this for alert notifications?

Yes, the script includes built-in alert conditions for 50-level crossovers/crossunders as well as entries and exits from the 80/20 overbought and oversold zones.

How can I access the Kalman Hull RSI?

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