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Algo

This document describes an indicator for the Nadaraya-Watson envelope that smooths price data using a Gaussian kernel and bandwidth input to generate an envelope around the smoothed line. Settings allow adjusting the bandwidth and multiplier for the envelope width. Lines and labels are plotted to display the envelope and signal crossings of the price through the upper and lower bounds.

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8547vrjx5x
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23 views3 pages

Algo

This document describes an indicator for the Nadaraya-Watson envelope that smooths price data using a Gaussian kernel and bandwidth input to generate an envelope around the smoothed line. Settings allow adjusting the bandwidth and multiplier for the envelope width. Lines and labels are plotted to display the envelope and signal crossings of the price through the upper and lower bounds.

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
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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]", "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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