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    Algo Lux

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    8547vrjx5x
    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.

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    © All Rights Reserved
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    Algo Lux

    Uploaded by

    8547vrjx5x
    820 views3 pages
    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.

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    AlgoLux

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    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.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Download as txt, pdf, or txt
    820 views3 pages

    Algo Lux

    Uploaded by

    8547vrjx5x
    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.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Download as txt, pdf, or txt
    of 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)

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

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