Rolling VWAP with Optional Kalman Filter

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This script provides an advanced and customizable Rolling VWAP (Volume-Weighted Average Price) indicator, designed for traders who want to refine their trend analysis and improve decision-making. With a unique option to apply a Kalman Filter, you can smooth out VWAP values to reduce noise in volatile markets, making it easier to identify actionable trends.

Key Features:
Dynamic Rolling VWAP:

Choose the rolling window size (number of bars) to match your trading style, whether you’re an intraday scalper or a swing trader.

Kalman Filter Toggle:

Enable the Kalman filter to smooth VWAP values and eliminate market noise.
Adjustable Kalman Gain to control the level of smoothing, making it suitable for both fast and slow markets.

Price Source Flexibility:

Use the Typical Price ((H+L+C)/3) or the Close Price as the basis for VWAP calculation.

Visual Enhancements:

Background shading highlights whether the price is above (bullish) or below (bearish) the VWAP, helping traders make quick visual assessments.
A legend dynamically updates the current VWAP value.

Dual View Option:

Compare the raw Rolling VWAP and the Kalman-filtered VWAP when the filter is enabled, giving you deeper insight into market trends.

Use Cases:
Intraday Traders: Identify key price levels for re-entry or exits using a short rolling window and responsive filtering.

Swing Traders: Analyze broader trends with a longer rolling window and smoother VWAP output.

Volatile Markets: Use the Kalman filter to reduce noise and avoid false signals during high market volatility.

How to Use:

Adjust the Rolling Window to set the number of bars for VWAP calculation.
Toggle Kalman Filter on/off depending on your preference for raw or smoothed VWAP values.
Fine-tune the Kalman Gain for the desired level of smoothing.
Use the shading to quickly assess whether the price is trading above or below the VWAP for potential entry/exit signals.