Trendline Regression TV -> PRT
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- This topic has 3 replies, 3 voices, and was last updated 9 months ago by LucasBest.
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10/30/2023 at 11:21 AM #223046
Hi PRC team, hope you guys are well. Thanks for whatever you have been doing wrt PRT/PRC.
I’ve used Trend Line Regression indicator on TradingView (https://www.tradingview.com/script/tf2TTN6c/) and I think we PRT community will surely benefit from it. I appreciate is someone could convert it. As the source code is open, I am sharing here. It is combo of a shared library and the indicator code using that library.
TV lib Code123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/// © dandrideng//@version=5// @description least_squares_regression: Least squares regression algorithmlibrary("least_squares_regression", overlay=true)// @function basic_lsr: Basic least squares regression algorithm// @param series int[] t: time scale value array corresponding to price// @param series float[] p: price scale value array corresponding to time// @param series int array_size: the length of regression array// @returns reg_slop, reg_intercept, reg_level, reg_stdevexport basic_lsr(series int[] t, series float[] p, series int array_size) =>p_t = array.new_float(array_size, 0)t_2 = array.new_float(array_size, 0)//init arrayfor i = 0 to array_size - 1array.set(p_t, i, array.get(p, i) * array.get(t, i))array.set(t_2, i, array.get(t, i) * array.get(t, i))//get slop and interceptsum_t = array.sum(t)sum_p = array.sum(p)sum_t_2 = array.sum(t_2)sum_p_t = array.sum(p_t)a = (array_size * sum_p_t - sum_p * sum_t) / (array_size * sum_t_2 - math.pow(sum_t, 2))b = (sum_p - a * sum_t) / array_size//get regression prediction value_p = array.new_float(array_size, 0)for i = 0 to array_size - 1array.set(_p, i, a * array.get(t, i) + b)//get regression levelfloat r1 = 0float r2 = 0p_avg = array.avg(p)for i = 0 to array_size - 1r1 += math.pow(array.get(_p, i) - p_avg, 2)r2 += math.pow(array.get(p, i) - p_avg, 2)r = -math.log10(1 - r1 / r2)//get regression standard devition_s = array.new_float(array_size, 0)for i = 0 to array_size - 1array.set(_s, i, array.get(p, i) - array.get(_p, i))s = array.stdev(_s)//return results[a, b, r, s]// @function top_trend_line_lsr: Trend line fitting based on least square algorithm// @param series int[] t: time scale value array corresponding to price// @param series float[] p: price scale value array corresponding to time// @param series int array_size: the length of regression array// @param string reg_type: regression type in 'top' and 'bottom'// @param series int max_iter: maximum fitting iterations// @param series int min_points: the threshold of regression point numbers// @returns reg_slop, reg_intercept, reg_level, reg_stdev, reg_point_numexport trend_line_lsr(series int[] t, series float[] p, series int array_size, string reg_type, series int max_iter, series int min_points) =>[a, b, r, s] = basic_lsr(t, p, array_size)x1 = array.get(t, 0)x2 = array.get(t, array_size - 1)n = array_size //Function arguments cannot be mutable, what the fuck!for i = 0 to max_iter - 1//exit conditionsif n < min_pointsbreak//init new tick and price array_t = array.new_int(n, 0)_p = array.new_float(n, 0)_n = 0//fine the ground truth values that bigger than predictionsfor j = 0 to n - 1if reg_type == 'top'if (a * array.get(t, j) + b) < array.get(p, j)array.set(_t, _n, array.get(t, j))array.set(_p, _n, array.get(p, j))_n += 1else if reg_type == 'bottom'if (a * array.get(t, j) + b) > array.get(p, j)array.set(_t, _n, array.get(t, j))array.set(_p, _n, array.get(p, j))_n += 1elsebreak//exit if new array size is less than thresholdif _n < min_pointsbreak//override result if r of new array is bigger than last array[_a, _b, _r, _s] = basic_lsr(_t, _p, _n)if _r > rx1 := array.get(_t, 0)x2 := array.get(_t, _n - 1)a := _ab := _br := _rs := _sn := _n//after for loop[x1, x2, a, b, r, s, n]Now below is indicator, above was using the lib.
TV indi Code123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/// © dandrideng//@version=5indicator(title="Trend Line Regression", shorttitle="TLR", overlay=true, max_bars_back=800, max_lines_count=400, max_labels_count=400)import dandrideng/least_squares_regression/1 as lsr//trend line regressionlookback_left = input.int(defval=5, title="Pivot Lookback Left", group="Trend Line Regression")lookback_right = input.int(defval=5, title="Pivot Lookback Right", group="Trend Line Regression")reg_forward = input.int(defval=20, title="Max Lookback Forward", group="Trend Line Regression")min_length = input.int(defval=100, title="Min Regression Length", maxval=500, group="Trend Line Regression")max_length = input.int(defval=200, title="Max Regression Length", maxval=500, group="Trend Line Regression")length_step = input.int(defval=100, title="Regression Length Steps", group="Trend Line Regression")max_iteration = input.int(defval=4, title="Max Iterations of Regression", group="Trend Line Regression")max_points = input.int(defval=30, title="Max Point Numbers of Trend Line", group="Trend Line Regression")min_points = input.int(defval=3, title="Min Point Numbers of Trend Line", group="Trend Line Regression")min_reg_level = input.float(defval=4, title="Min Regression Level of Trend Line", group="Trend Line Regression")std_offset = input.float(defval=0.5, title="Multiply Regression Std", group="Trend Line Regression")top_line_color = input.color(defval=color.red, title="Color of Top Trend Line", group="Trend Line Regression")bottom_line_color = input.color(defval=color.green, title="Color of Bottom Trend Line", group="Trend Line Regression")extend_lines = input.bool(defval=true, title="Extend Lines", group="Trend Line Regression") ? extend.right : extend.nonedraw_pivot = input.bool(defval=false, title="Draw Piovt High/Low", group="Trend Line Regression")show_labels = input.bool(defval=false, title="Show Labels", group="Trend Line Regression")pivot_high = ta.pivothigh(high, lookback_left, lookback_right)pivot_low = ta.pivotlow(low, lookback_left, lookback_right)plot(draw_pivot ? pivot_high : na, offset=-lookback_left)plot(draw_pivot ? pivot_low : na, offset=-lookback_left)//check regression (functional)check_trend_line(start, end, type, a, b) =>res = truefor i = start + 1 to end - 1yi = a * i + byi_1 = a * (i - 1) + bif type == "top" and (close[i] > yi and close[i - 1] > yi_1)res := falsebreakelse if type == "bottom" and (close[i] < yi and close[i - 1] < yi_1)res := falsebreakres//draw trend line regressions (functional)draw_trend_line(forward, length, type) =>pivot_src = type == "top" ? pivot_high : pivot_lowtick = array.new_int(max_points, 0)price = array.new_float(max_points, 0)num = 0for i = 0 to length - 1if not na(pivot_src[i + forward]) and num < max_pointsarray.set(tick, num, i + lookback_left + forward)array.set(price, num, pivot_src[i + forward])num := num + 1if num > 0[x2, x1, a, b, r, s, n] = lsr.trend_line_lsr(tick, price, num, type, max_iteration, min_points)y1 = x1 * a + by2 = x2 * a + bo = s * std_offsetif n > min_points and r > min_reg_level and check_trend_line(x1, x2, type, a, b)var line mid_line = namid_line := line.new(x1=bar_index-x1, y1=y1, x2=bar_index-x2, y2=y2)line.set_width(mid_line, 1)line.set_color(mid_line, color.new(type == "top" ? top_line_color : bottom_line_color, 25))line.set_extend(mid_line, extend_lines)line.set_style(mid_line, line.style_dashed)var line top_line = natop_line := line.new(x1=bar_index-x1, y1=y1+o, x2=bar_index-x2, y2=y2+o)line.set_width(top_line, 1)line.set_color(top_line, color.new(type == "top" ? top_line_color : bottom_line_color, 25))line.set_extend(top_line, extend_lines)var line bottom_line = nabottom_line := line.new(x1=bar_index-x1, y1=y1-o, x2=bar_index-x2, y2=y2-o)line.set_width(bottom_line, 1)line.set_color(bottom_line, color.new(type == "top" ? top_line_color : bottom_line_color, 25))line.set_extend(bottom_line, extend_lines)linefill.new(mid_line, top_line, color=color.new(type == "top" ? top_line_color : bottom_line_color, 90))linefill.new(mid_line, bottom_line, color=color.new(type == "top" ? top_line_color : bottom_line_color, 90))if show_labelsvar label reg_label = nareg_label := label.new(x=bar_index-x2, y=type == "top" ? y2+o : y2-o, textcolor=color.white)label.set_color(reg_label, color.new(type == "top" ? top_line_color : bottom_line_color, 30))label.set_text(reg_label, "Level: " + str.tostring(r, "#.###") + "\nPoints: " + str.tostring(n, "#"))label.set_style(reg_label, type == "top" ? label.style_label_down : label.style_label_up)//delete all linesall_lines = line.allif array.size(all_lines) > 0for i = 0 to array.size(all_lines) - 1line.delete(array.get(all_lines, i))//delete all labelsall_labels = label.allif array.size(all_labels) > 0for i = 0 to array.size(all_labels) - 1label.delete(array.get(all_labels, i))//trend linefor l = min_length to max_length by length_stepdraw_trend_line(reg_forward, l, "top")draw_trend_line(reg_forward, l, "bottom")//end of file10/30/2023 at 11:31 AM #223047Hi, I’ve added it to the list of conversions to assess. If someone “speaks” the TV language and wants to attempt the conversion before Nicolas is back, please feel free to proceed, thanks. (Edit: I didn’t phrase this very well, any translation contribution is welcome at any time, whether he’s here or not)
01/22/2024 at 11:32 PM #22674001/24/2024 at 9:29 AM #226820As this indicator use a lot of functions, it would be more easy to understand its spirit (how it works to determine supports and resistance) and then code it in PRT language than trying to convert it like it have been coded in Tradingview language.
Also note that the use of linear regression is not mandatory here. I have done alsmost the same without using it.
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