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Nadaraya Watson

This indicator generates 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 upper and lower envelope lines, and adds labels where the price crosses the envelope. It also generates alerts when the price crosses the upper or lower lines.

Uploaded by

M Baba
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
137 views2 pages

Nadaraya Watson

This indicator generates 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 upper and lower envelope lines, and adds labels where the price crosses the envelope. It also generates alerts when the price crosses the upper or lower lines.

Uploaded by

M Baba
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
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// 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)

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