Pine Scipt conversion – Polynomial Regression Extrapolation

Khaled · Wed, 05 Oct 2022 09:30:37 +0000

Hello, can someone please help converting this code? I’m aware we don’t have multidimentional Arrays in PRT yet. I suspect, we can come over by splitting into multiple Arrays. Thank you in advance // 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("Polynomial Regression Extrapolation [LuxAlgo]" , overlay = true , max_lines_count = 500) //------------------------------------------------------------------------------ //Settings //-----------------------------------------------------------------------------{ length = input.int(100 , minval = 0) extrapolate = input.int(10 , minval = 0) degree = input.int(3, 'Polynomial Degree' , minval = 0 , maxval = 8) src = input(close) lock = input(false, 'Lock Forecast') //Style up_css = input.color(#0cb51a, 'Upward Color' , group = 'Style') dn_css = input.color(#ff1100, 'Downward Color' , group = 'Style') ex_css = input.color(#ff5d00, 'Extrapolation Color' , group = 'Style') width = input(1, 'Width' , group = 'Style') //-----------------------------------------------------------------------------} //Fill lines array //-----------------------------------------------------------------------------{ var lines = array.new_line(0) if barstate.isfirst for i = -extrapolate to length-1 array.push(lines, line.new(na, na, na, na)) //-----------------------------------------------------------------------------} //Get design matrix & partially solve system //-----------------------------------------------------------------------------{ n = bar_index var design = matrix.new<float>(0, 0) var response = matrix.new<float>(0, 0) if barstate.isfirst for i = 0 to degree column = array.new_float(0) for j = 0 to length-1 array.push(column, math.pow(j,i)) matrix.add_col(design, i, column) var a = matrix.inv(matrix.mult(matrix.transpose(design), design)) var b = matrix.mult(a, matrix.transpose(design)) //-----------------------------------------------------------------------------} //Get response matrix and compute roling polynomial regression //-----------------------------------------------------------------------------{ var pass = 1 var matrix<float> coefficients = na var x = -extrapolate var float forecast = na if barstate.islast if pass prices = array.new_float(0) for i = 0 to length-1 array.push(prices, src[i]) matrix.add_col(response, 0, prices) coefficients := matrix.mult(b, response) float y1 = na idx = 0 for i = -extrapolate to length-1 y2 = 0. for j = 0 to degree y2 += math.pow(i, j)*matrix.get(coefficients, j, 0) if idx == 0 forecast := y2 //------------------------------------------------------------------ //Set lines //------------------------------------------------------------------ css = y2 < y1 ? up_css : dn_css get_line = array.get(lines, idx) line.set_xy1(get_line, n - i + 1, y1) line.set_xy2(get_line, n - i, y2) line.set_color(get_line, i <= 0 ? ex_css : css) line.set_width(get_line, width) y1 := y2 idx += 1 if lock pass := 0 else y2 = 0. x -= 1 for j = 0 to degree y2 += math.pow(x, j)*matrix.get(coefficients, j, 0) forecast := y2 plot(pass == 0 ? forecast : na, 'Extrapolation' , color = ex_css , offset = extrapolate , linewidth = width) //-----------------------------------------------------------------------------}

This topic has 22 replies, 6 voices, and was last updated 1 year ago by LucasBest.

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09/02/2023 at 2:55 PM #220224

Khaled

@Lucas, A big thank you. I tried the last version and it works well.

@Aragorna, you just need to download the itf and then key in the variable Degree, Lock, Length and Extrapolate. Without these variable, it will not work. Then look at the right hand side of your graph and you should see the curve. The plotting of the curve depends of Length you chose.

Khaled

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09/03/2023 at 1:34 PM #220250

LucasBest

Khaled wrote:

@Lucas, A big thank you. I tried the last version and it works well.

You’re welcome.
If you want to make it work for higher degree, you have to add temporary Minor Matrix for each degree you add and you will have to add also some lines of code for each more degree… Too lazzy to do it now, as i have more interesting (more tradable ones) code to do 😉
Polynomial regression can’t prdict the future 🙂

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Khaled

LucasBest

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09/03/2023 at 3:11 PM #220253

Khaled

Bravo en tous cas. I check your other codes. They are all clean. In my humble opinion, we spend much more time refining the condition of Entry (taking a trade) and don’t pay enough attention to the Exit (this where you make money, lose money, leave money on the table or lose big, etc.). We generally also spend more time optimizing the PROFIT instead of reducing the DRAWDOWN (which can lead to total loss of capital). If it can help, I found the code below spotting early entries (cheaper stop loss, but lower win rate. And cheaper stop loss generally leads to lower drawdown). What’s the easiest way to contact you?

i = Lookback
Hipast = highest[i] (high[1])
Lopast = lowest[i] (low[1])
MAF = average[P,T](close)

ca = close crosses over hipast and close>MAF 
CV = close crosses under lopast and close<MAF

i = Lookback

Hipast = highest[i] (high[1])

Lopast = lowest[i] (low[1])

MAF = average[P,T](close)

ca = close crosses over hipast and close>MAF

CV = close crosses under lopast and close<MAF

Khaled

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09/03/2023 at 3:47 PM #220257

LucasBest

For my point of view, if you want quick entries, there is no better than RSI (which is kind of leading indicator) or breakout/down of oblique support/resistance.
Moving averages (also MACD) and ATR are slow and can lead to desastrous results if used in ranging markets. If you want to use averages, then you need a range market indicator (which won’t be late also), or you will loose at both ntry and exit.
Look at my profile

LucasBest

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09/06/2023 at 6:36 PM #220457

Meta Signals Pro

piece of coding art; congrats and thanks

Meta Signals Pro

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09/06/2023 at 10:37 PM #220471

LucasBest

Meta Signals Pro wrote:

piece of coding art; congrats and thanks

Thanks you, but i am still just a beginer who try to do his best.

Your indicators are awesome and looks very professional. I bougth 2 of them.
Will you sell strategies/trading bots ?

LucasBest

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09/07/2023 at 1:31 PM #220508

Madrosat

Lucabest

you say ” there is no better than RSI (which is kind of leading indicator) or breakout/down of oblique support/resistance.”

What indicator do you use for breakout /down of oblique support resistance ??

Madrosat

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09/10/2023 at 8:10 AM #220631

LucasBest

Madrosat wrote:

Lucabest

you say ” there is no better than RSI (which is kind of leading indicator) or breakout/down of oblique support/resistance.”

What indicator do you use for breakout /down of oblique support resistance ??

For now, i use my eyes to see them and draw them by my self on th chart…
But as i want to automate my trading, i am coding an indicator which will be able to look for accurate trendlines and breaks (still in progress)

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robert123

LucasBest

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