Scribd
Upload
720 views2 pages

Nadaraya

This indicator script calculates and plots an envelope around a Nadaraya-Watson kernel regression of historical price data. It takes in parameters for the window size, bandwidth, and multiplier for the envelope width. On each new bar, it calculates the kernel regression, plots the updated envelope lines, and checks for crossovers to trigger alerts.

Uploaded by

Jorge Almirante Burns
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
720 views2 pages

Nadaraya

This indicator script calculates and plots an envelope around a Nadaraya-Watson kernel regression of historical price data. It takes in parameters for the window size, bandwidth, and multiplier for the envelope width. On each new bar, it calculates the kernel regression, plots the updated envelope lines, and checks for crossovers to trigger alerts.

Uploaded by

Jorge Almirante Burns
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
You are on page 1/ 2

// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.

0
International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-nc-sa/4.0/
// © LuxAlgo
//@version=5

indicator("Nadaraya-Watson Envelope
[LuxAlgo]",overlay=true,max_bars_back=1000,max_lines_count=500,max_labels_count=500
)
length = input.float(500,'Window Size',maxval=500,minval=0)
h = input.float(8.,'Bandwidth')
mult = input.float(3.)
src = input.source(close,'Source')

up_col = input.color(#39ff14,'Colors',inline='col')
dn_col = input.color(#ff1100,'',inline='col')
disclaimer = input(false, 'Hide Disclaimer')
//----
n = bar_index
var k = 2
var upper = array.new_line(0)
var lower = array.new_line(0)

lset(l,x1,y1,x2,y2,col)=>
line.set_xy1(l,x1,y1)
line.set_xy2(l,x2,y2)
line.set_color(l,col)
line.set_width(l,2)

if barstate.isfirst
for i = 0 to length/k-1
array.push(upper,line.new(na,na,na,na))
array.push(lower,line.new(na,na,na,na))
//----
line up = na
line dn = na
//----
cross_up = 0.
cross_dn = 0.
if barstate.islast
y = array.new_float(0)

sum_e = 0.
for i = 0 to length-1
sum = 0.
sumw = 0.

for j = 0 to length-1
w = math.exp(-(math.pow(i-j,2)/(h*h*2)))
sum += src[j]*w
sumw += w

y2 = sum/sumw
sum_e += math.abs(src[i] - y2)
array.push(y,y2)

mae = sum_e/length*mult

for i = 1 to length-1
y2 = array.get(y,i)
y1 = array.get(y,i-1)

up := array.get(upper,i/k)
dn := array.get(lower,i/k)

lset(up,n-i+1,y1 + mae,n-i,y2 + mae,up_col)


lset(dn,n-i+1,y1 - mae,n-i,y2 - mae,dn_col)

if src[i] > y1 + mae and src[i+1] < y1 + mae


label.new(n-
i,src[i],'▼',color=#00000000,style=label.style_label_down,textcolor=dn_col,textalig
n=text.align_center)
if src[i] < y1 - mae and src[i+1] > y1 - mae
label.new(n-
i,src[i],'▲',color=#00000000,style=label.style_label_up,textcolor=up_col,textalign=
text.align_center)

cross_up := array.get(y,0) + mae


cross_dn := array.get(y,0) - mae

alertcondition(ta.crossover(src,cross_up),'Down','Down')
alertcondition(ta.crossunder(src,cross_dn),'Up','Up')

//----
var tb = table.new(position.top_right, 1, 1
, bgcolor = #35202b)

if barstate.isfirst and not disclaimer


table.cell(tb, 0, 0, 'Nadaraya-Watson Envelope [LUX] Repaints'
, text_size = size.small
, text_color = #cc2f3c)

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy