The target state filter is an important module in the traditional target tracking framework. In order to get satisfactory tracking results, traditional Bayesian methods usually need accurate motion models, which require the complicated prior information and parameter estimation. Therefore, the modeling process has a key impact on traditional Bayesian filters for target tracking. However, when encountering unknown prior information or the complicated environment, traditional Bayesian filters have the limitation of greatly reduced accuracy. In this paper, we propose a supervised learning based online tracking filter(SLF). First, a complete tracking filter framework based on supervised learning is established, which is directly based on data-driven and establishes the mapping relationship between data. In other words, the proposed filter does not require the prior information about target dynamics and clutter distribution. Then, an implementation based on eXtreme Gradient Boosting (XGBoost) is provided, which proves the portability and applicability of the SLF framework. Meanwhile, the proposed framework will encourage other researchers to continue to expand the field of combining traditional filters with supervised learning. Finally, numerical simulation experiments prove the effectiveness of the proposed filter.