Scribd
Upload
2K views

Algo Lux

This document describes an indicator script that calculates and plots the Nadaraya-Watson envelope for a time series. It takes a source data series and bandwidth parameter as inputs. It uses a Gaussian kernel to calculate weighted averages and defines an upper and lower envelope based on a moving average of absolute errors. The script plots the envelope, adds crossover arrows, and optionally displays a dashboard with repainting status.

Uploaded by

8547vrjx5x
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
2K views

Algo Lux

This document describes an indicator script that calculates and plots the Nadaraya-Watson envelope for a time series. It takes a source data series and bandwidth parameter as inputs. It uses a Gaussian kernel to calculate weighted averages and defines an upper and lower envelope based on a moving average of absolute errors. The script plots the envelope, adds crossover arrows, and optionally displays a dashboard with repainting status.

Uploaded by

8547vrjx5x
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/ 3

// 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]", "LuxAlgo - Nadaraya-Watson
Envelope", overlay = true, max_lines_count = 500, max_labels_count = 500,
max_bars_back=500)
//------------------------------------------------------------------------------
//Settings
//-----------------------------------------------------------------------------{
h = input.float(8.,'Bandwidth', minval = 0)
mult = input.float(3., minval = 0)
src = input(close, 'Source')

repaint = input(true, 'Repainting Smoothing', tooltip = 'Repainting is an effect


where the indicators historical output is subject to change over time. Disabling
repainting will cause the indicator to output the endpoints of the calculations')

//Style
upCss = input.color(color.teal, 'Colors', inline = 'inline1', group = 'Style')
dnCss = input.color(color.red, '', inline = 'inline1', group = 'Style')

//-----------------------------------------------------------------------------}
//Functions
//-----------------------------------------------------------------------------{
//Gaussian window
gauss(x, h) => math.exp(-(math.pow(x, 2)/(h * h * 2)))

//-----------------------------------------------------------------------------}
//Append lines
//-----------------------------------------------------------------------------{
n = bar_index

var ln = array.new_line(0)

if barstate.isfirst and repaint


for i = 0 to 499
array.push(ln,line.new(na,na,na,na))

//-----------------------------------------------------------------------------}
//End point method
//-----------------------------------------------------------------------------{
var coefs = array.new_float(0)
var den = 0.

if barstate.isfirst and not repaint


for i = 0 to 499
w = gauss(i, h)
coefs.push(w)

den := coefs.sum()

out = 0.
if not repaint
for i = 0 to 499
out += src[i] * coefs.get(i)
out /= den
mae = ta.sma(math.abs(src - out), 499) * mult
upper = out + mae
lower = out - mae

//-----------------------------------------------------------------------------}
//Compute and display NWE
//-----------------------------------------------------------------------------{
float y2 = na
float y1 = na

nwe = array.new<float>(0)
if barstate.islast and repaint
sae = 0.
//Compute and set NWE point
for i = 0 to math.min(499,n - 1)
sum = 0.
sumw = 0.
//Compute weighted mean
for j = 0 to math.min(499,n - 1)
w = gauss(i - j, h)
sum += src[j] * w
sumw += w

y2 := sum / sumw
sae += math.abs(src[i] - y2)
nwe.push(y2)

sae := sae / math.min(499,n - 1) * mult


for i = 0 to math.min(499,n - 1)
if i%2
line.new(n-i+1, y1 + sae, n-i, nwe.get(i) + sae, color = upCss)
line.new(n-i+1, y1 - sae, n-i, nwe.get(i) - sae, color = dnCss)

if src[i] > nwe.get(i) + sae and src[i+1] < nwe.get(i) + sae


label.new(n-i, src[i], '▼', color = color(na), style =
label.style_label_down, textcolor = dnCss, textalign = text.align_center)
if src[i] < nwe.get(i) - sae and src[i+1] > nwe.get(i) - sae
label.new(n-i, src[i], '▲', color = color(na), style =
label.style_label_up, textcolor = upCss, textalign = text.align_center)

y1 := nwe.get(i)

//-----------------------------------------------------------------------------}
//Dashboard
//-----------------------------------------------------------------------------{
var tb = table.new(position.top_right, 1, 1
, bgcolor = #1e222d
, border_color = #373a46
, border_width = 1
, frame_color = #373a46
, frame_width = 1)

if repaint
tb.cell(0, 0, 'Repainting Mode Enabled', text_color = color.white, text_size =
size.small)

//-----------------------------------------------------------------------------}
//Plot
//-----------------------------------------------------------------------------}
plot(repaint ? na : out + mae, 'Upper', upCss)
plot(repaint ? na : out - mae, 'Lower', dnCss)

//Crossing Arrows
plotshape(ta.crossunder(close, out - mae) ? low : na, "Crossunder", shape.labelup,
location.absolute, color(na), 0 , text = '▲', textcolor = upCss, size = size.tiny)
plotshape(ta.crossover(close, out + mae) ? high : na, "Crossover", shape.labeldown,
location.absolute, color(na), 0 , text = '▼', textcolor = dnCss, size = size.tiny)

//-----------------------------------------------------------------------------}

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