Nadaraya Watson Envelope

This topic has 5 replies, 3 voices, and was last updated 4 days ago by Iván.

Viewing 6 posts - 1 through 6 (of 6 total)

10/17/2024 at 11:31 PM #239170

Azkune

Hola,

He visto que hay un código parecido de esto en el foro en inglés, pero el resultado no es el mismo. ¿Alguien podría traducir esto a ProRealCode para poder usarlo en el ProRealTime?

Gracias

Un saludo

// 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

varln=array.new_line(0)

if barstate.isfirst and repaint

fori=0to499

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

fori=0to499

w=gauss(i,h)

coefs.push(w)

den:=coefs.sum()

out = 0.

if not repaint

fori=0to499

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

fori=0tomath.min(499,n-1)

sum=0.

sumw=0.

//Compute weighted mean

forj=0tomath.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

fori=0tomath.min(499,n-1)

ifi%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)

ifsrc[i]>nwe.get(i)+saeandsrc[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)

ifsrc[i]<nwe.get(i)-saeandsrc[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)

//—————————————————————————–}

Azkune

Participant

Topics: 8

Replies: 6

Been thanked: 0 times

10/29/2024 at 10:53 AM #239688

Iván

//--------------------------------------------//
//PRC Nadaraya-Watson Envelope
//version = 0
//28.02.24
//Iván González @ www.prorealcode.com
//Sharing ProRealTime knowledge
//--------------------------------------------//
//-----------Inputs---------------------------//
//--------------------------------------------//
h1=8 //Bandwidth
mult=3
length=499 //Window Size
repaint=1
src=close
//--------------------------------------------//
//----------Repaint ON------------------------//
//--------------------------------------------//
if islastbarupdate and repaint then
sae=0
for i=0 to min(499,barindex-1) do
sum=0
sumw=0
for j=0 to min(499,barindex-1) do
x=i-j
w=exp(-(pow(x,2)/(h1*h1*2)))
sum=src[j]*w+sum
sumw=w+sumw
next
$y2[i]=sum/sumw
sae=sae+abs(src[i]-$y2[i])
next

sae1=sae/min(499,barindex-1)*mult

for i=min(499,barindex-1) downto 0 do
if i MOD 2 <> 0 then
drawpoint(barindex[i],$y2[i]+sae1,2)coloured("green")
drawpoint(barindex[i],$y2[i]-sae1,2)coloured("red")
endif
if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then
drawarrowdown(barindex[i],high[i])coloured("red")
elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then
drawarrowup(barindex[i],low[i])coloured("green")
endif
next
endif
//--------------------------------------------//
//----------Repaint OFF-----------------------//
//--------------------------------------------//
if repaint=0 then
once init = 1

If init = 1 then
den = 0
For i = 0 to length-1 do
$coefs[i]=exp(-(i*i)/(h1*h1*2))
den = den + $coefs[i]
Next
init = 0
Endif

out = 0

For i = 0 to length-1 do
out = out + src[i]*$coefs[i]
Next

out = out/den
mae = exponentialAverage[length](abs(src-out)) * mult

upper = out + mae
lower = out - mae

if close crosses over upper then
drawarrowdown(barindex,high)coloured("red")
elsif close crosses under lower then
drawarrowup(barindex,low)coloured("green")
endif
endif
//--------------------------------------------//
//----------Plot Bands------------------------//
//--------------------------------------------//
if repaint then
up=undefined
dw=undefined
else
up=upper
dw=lower
endif
//--------------------------------------------//
return up as "Upper band"style(line,2)coloured("Green"),dw as "Lower band"style(line,2)coloured("red")

//--------------------------------------------//

//PRC Nadaraya-Watson Envelope

//version = 0

//28.02.24

//Iván González @ www.prorealcode.com

//Sharing ProRealTime knowledge

//--------------------------------------------//

//-----------Inputs---------------------------//

//--------------------------------------------//

h1=8 //Bandwidth

mult=3

length=499 //Window Size

repaint=1

src=close

//--------------------------------------------//

//----------Repaint ON------------------------//

//--------------------------------------------//

if islastbarupdate and repaint then

sae=0

for i=0 to min(499,barindex-1) do

sum=0

sumw=0

for j=0 to min(499,barindex-1) do

x=i-j

w=exp(-(pow(x,2)/(h1*h1*2)))

sum=src[j]*w+sum

sumw=w+sumw

$y2[i]=sum/sumw

sae=sae+abs(src[i]-$y2[i])

sae1=sae/min(499,barindex-1)*mult

for i=min(499,barindex-1) downto 0 do

if i MOD 2 <> 0 then

drawpoint(barindex[i],$y2[i]+sae1,2)coloured("green")

drawpoint(barindex[i],$y2[i]-sae1,2)coloured("red")

endif

if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then

drawarrowdown(barindex[i],high[i])coloured("red")

elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then

drawarrowup(barindex[i],low[i])coloured("green")

endif

//--------------------------------------------//

//----------Repaint OFF-----------------------//

//--------------------------------------------//

if repaint=0 then

once init = 1

If init = 1 then

den = 0

For i = 0 to length-1 do

$coefs[i]=exp(-(i*i)/(h1*h1*2))

den = den + $coefs[i]

init = 0

Endif

out = 0

For i = 0 to length-1 do

out = out + src[i]*$coefs[i]

out = out/den

mae = exponentialAverage[length](abs(src-out)) * mult

upper = out + mae

lower = out - mae

if close crosses over upper then

drawarrowdown(barindex,high)coloured("red")

elsif close crosses under lower then

drawarrowup(barindex,low)coloured("green")

endif

//--------------------------------------------//

//----------Plot Bands------------------------//

//--------------------------------------------//

if repaint then

up=undefined

dw=undefined

else

up=upper

dw=lower

endif

//--------------------------------------------//

return up as "Upper band"style(line,2)coloured("Green"),dw as "Lower band"style(line,2)coloured("red")

1 user thanked author for this post.

dkatle

Iván

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Topics: 0

Replies: 1055

Been thanked: 375 times

12/14/2024 at 8:32 AM #241412

Armand2020

bonjour,

comment pourrait t on faire pour qu en mode repaint on est des point verts quand on monte et rouge quand on descent?

Armand2020

Participant

Topics: 12

Replies: 22

Been thanked: 0 times

12/16/2024 at 12:30 PM #241459

Iván

En el bucle de las líneas 35 a 45 tendría que introducir un condicional indicando que cuando $y2[i]+sae1 > $y2[i-1]+sae1 entonce dibuje los puntos verdes y en caso contrario rojos.

Iván

Moderator

Topics: 0

Replies: 1055

Been thanked: 375 times

12/17/2024 at 11:27 AM #241495

Armand2020

//Iván González @ www.prorealcode.com
//Sharing ProRealTime knowledge
//--------------------------------------------//
//-----------Inputs---------------------------//
//--------------------------------------------//
//h1=8 //Bandwidth
//mult=3
length=499 //Window Size
//repaint=1
src=close
//--------------------------------------------//
//----------Repaint ON------------------------//
//--------------------------------------------//
if islastbarupdate and repaint then
sae=0
for i=0 to min(499,barindex-1) do
sum=0
sumw=0
for j=0 to min(499,barindex-1) do
x=i-j
w=exp(-(pow(x,2)/(h1*h1*2)))
sum=src[j]*w+sum
sumw=w+sumw
next
$y2[i]=sum/sumw
sae=sae+abs(src[i]-$y2[i])
next
 
sae1=sae/min(499,barindex-1)*mult
 

for i=min(499,barindex-1) downto 0 do
IF ($y2[i]+sae1)<($y2[i-1]+sae1) THEN
RA=200
GA=0
BA=0
ENDIF
if i MOD 2 <> 0 then


drawpoint(barindex[i],$y2[i]+sae1,1)coloured("RA,gA,bA")
drawpoint(barindex[i],$y2[i]-sae1,1)coloured("red")
endif

if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then
drawarrowdown(barindex[i],high[i])coloured("red")
elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then
drawarrowup(barindex[i],low[i])coloured("green")
endif

next

endif

//--------------------------------------------//
//----------Repaint OFF-----------------------//
//--------------------------------------------//
if repaint=0 then
once init = 1
 
If init = 1 then
den = 0
For i = 0 to length-1 do
$coefs[i]=exp(-(i*i)/(h1*h1*2))
den = den + $coefs[i]
Next
init = 0
Endif
 
out = 0
 
For i = 0 to length-1 do
out = out + src[i]*$coefs[i]
Next
 
out = out/den
mae = exponentialAverage[length](abs(src-out)) * mult
 
upper = out + mae
lower = out - mae
 
if close crosses over upper then
drawarrowdown(barindex,high)coloured(200,200,0)
elsif close crosses under lower then
drawarrowup(barindex,low)coloured(0,200,200)
endif
endif
//--------------------------------------------//
//----------Plot Bands------------------------//
//--------------------------------------------//
if repaint then
up=undefined
dw=undefined
else
up=upper
dw=lower
endif
IF UP>UP[1] THEN
R=0
G=220
B=220
ELSIF UP<UP[1] THEN
R=220
G=220
B=0
ENDIF
//--------------------------------------------//
return up as "Upper band"style(DOTTEDLINE4,1)coloured(r,g,b),dw as "Lower band"style(DOTTEDLINE4,1)coloured(r,g,b)

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//Iván González @ www.prorealcode.com

//Sharing ProRealTime knowledge

//--------------------------------------------//

//-----------Inputs---------------------------//

//--------------------------------------------//

//h1=8 //Bandwidth

//mult=3

length=499 //Window Size

//repaint=1

src=close

//--------------------------------------------//

//----------Repaint ON------------------------//

//--------------------------------------------//

if islastbarupdate and repaint then

sae=0

for i=0 to min(499,barindex-1) do

sum=0

sumw=0

for j=0 to min(499,barindex-1) do

x=i-j

w=exp(-(pow(x,2)/(h1*h1*2)))

sum=src[j]*w+sum

sumw=w+sumw

$y2[i]=sum/sumw

sae=sae+abs(src[i]-$y2[i])

sae1=sae/min(499,barindex-1)*mult

for i=min(499,barindex-1) downto 0 do

IF ($y2[i]+sae1)<($y2[i-1]+sae1) THEN

RA=200

GA=0

BA=0

ENDIF

if i MOD 2 <> 0 then

drawpoint(barindex[i],$y2[i]+sae1,1)coloured("RA,gA,bA")

drawpoint(barindex[i],$y2[i]-sae1,1)coloured("red")

endif

if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then

drawarrowdown(barindex[i],high[i])coloured("red")

elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then

drawarrowup(barindex[i],low[i])coloured("green")

endif

//--------------------------------------------//

//----------Repaint OFF-----------------------//

//--------------------------------------------//

if repaint=0 then

once init = 1

If init = 1 then

den = 0

For i = 0 to length-1 do

$coefs[i]=exp(-(i*i)/(h1*h1*2))

den = den + $coefs[i]

init = 0

Endif

out = 0

For i = 0 to length-1 do

out = out + src[i]*$coefs[i]

out = out/den

mae = exponentialAverage[length](abs(src-out)) * mult

upper = out + mae

lower = out - mae

if close crosses over upper then

drawarrowdown(barindex,high)coloured(200,200,0)

elsif close crosses under lower then

drawarrowup(barindex,low)coloured(0,200,200)

endif

//--------------------------------------------//

//----------Plot Bands------------------------//

//--------------------------------------------//

if repaint then

up=undefined

dw=undefined

else

up=upper

dw=lower

endif

IF UP>UP[1] THEN

R=0

G=220

B=220

ELSIF UP<UP[1] THEN

R=220

G=220

B=0

ENDIF

//--------------------------------------------//

return up as "Upper band"style(DOTTEDLINE4,1)coloured(r,g,b),dw as "Lower band"style(DOTTEDLINE4,1)coloured(r,g,b)

no se por que pero no funciona

Armand2020

Participant

Topics: 12

Replies: 22

Been thanked: 0 times

12/17/2024 at 1:15 PM #241498

Iván

for i=min(499,barindex-1) downto 0 do
if i MOD 2 <> 0 then
if $y2[i]+sae1>$y2[i-1]+sae1 then
drawpoint(barindex[i],$y2[i]+sae1,2)coloured("red")
drawpoint(barindex[i],$y2[i]-sae1,2)coloured("red")
else
drawpoint(barindex[i],$y2[i]+sae1,2)coloured("green")
drawpoint(barindex[i],$y2[i]-sae1,2)coloured("green")
endif
endif
if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then
drawarrowdown(barindex[i],high[i])coloured("red")
elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then
drawarrowup(barindex[i],low[i])coloured("green")
endif
next

for i=min(499,barindex-1) downto 0 do

if i MOD 2 <> 0 then

if $y2[i]+sae1>$y2[i-1]+sae1 then

drawpoint(barindex[i],$y2[i]+sae1,2)coloured("red")

drawpoint(barindex[i],$y2[i]-sae1,2)coloured("red")

else

drawpoint(barindex[i],$y2[i]+sae1,2)coloured("green")

drawpoint(barindex[i],$y2[i]-sae1,2)coloured("green")

endif

if close[i]>$y2[i]+sae1 and close[i+1]<=$y2[i+1]+sae1 then

drawarrowdown(barindex[i],high[i])coloured("red")

elsif close[i]<$y2[i]-sae1 and close[i+1]>=$y2[i+1]-sae1 then

drawarrowup(barindex[i],low[i])coloured("green")

endif

Armand2020

Iván

Moderator

Topics: 0

Replies: 1055

Been thanked: 375 times

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