Kalman Filter Line: Blue
EMA: Green
SMA: Gold
The Kalman Filter Line is a NinjaTrader indicator that applies a 1D Kalman filter to smooth price data, dynamically adjusting its responsiveness using autocorrelation of recent prices and ATR-based volatility scaling, offering a more adaptive alternative to traditional moving averages.
This forces the indicator to calculate OnBarClose, even if the user selects a different option. This is to prevent the filter to be overly sensitive to the current price.
Base Q (Process Noise): turn it up to make the line react faster to new price moves; turn it down to damp whipsaws.
Base R (Measurement Noise): turn it up to get a smoother, more stable line; turn it down to let raw price data influence the filter more strongly.