Code: Select all
//Base source is cloned from built-in technicals - "Linear Regression Channel", v26
//@version=5
indicator("Dynamic Linear Regression Channels", overlay=true, max_lines_count=500, max_boxes_count=500)
upperMultInput = input.float(2.0, title="Upper Deviation", inline = "Upper Deviation")
colorUpper = input.color(color.new(color.blue, 85), "", inline = "Upper Deviation")
lowerMultInput = input.float(2.0, title="Lower Deviation", inline = "Lower Deviation")
colorLower = input.color(color.new(color.red, 85), "", inline = "Lower Deviation")
calcSlope(source, length) =>
max_bars_back(source, 5000)
if barstate.isfirst or length <= 1
[float(na), float(na), float(na)]
else
sumX = 0.0
sumY = 0.0
sumXSqr = 0.0
sumXY = 0.0
for i = 0 to length - 1 by 1
val = source[i]
per = i + 1.0
sumX += per
sumY += val
sumXSqr += per * per
sumXY += val * per
slope = (length * sumXY - sumX * sumY) / (length * sumXSqr - sumX * sumX)
average = sumY / length
intercept = average - slope * sumX / length + slope
[slope, average, intercept]
var start_index = 1
lengthInput = bar_index - start_index + 1
[s, a, i] = calcSlope(close, lengthInput)
startPrice = i + s * (lengthInput - 1)
endPrice = i
calcDev(source, length, slope, average, intercept) =>
if barstate.isfirst or length <= 1
[float(na), float(na), float(na), float(na)]
else
upDev = 0.0
dnDev = 0.0
stdDevAcc = 0.0
dsxx = 0.0
dsyy = 0.0
dsxy = 0.0
periods = length - 1
daY = intercept + slope * periods / 2
val = intercept
for j = 0 to periods by 1
price = high[j] - val
if price > upDev
upDev := price
price := val - low[j]
if price > dnDev
dnDev := price
price := source[j]
dxt = price - average
dyt = val - daY
price -= val
stdDevAcc += price * price
dsxx += dxt * dxt
dsyy += dyt * dyt
dsxy += dxt * dyt
val += slope
stdDev = math.sqrt(stdDevAcc / (periods == 0 ? 1 : periods))
pearsonR = dsxx == 0 or dsyy == 0 ? 0 : dsxy / math.sqrt(dsxx * dsyy)
[stdDev, pearsonR, upDev, dnDev]
[stdDev, pearsonR, upDev, dnDev] = calcDev(close, lengthInput, s, a, i)
upperStartPrice = startPrice + upperMultInput * stdDev
upperEndPrice = endPrice + upperMultInput * stdDev
lowerStartPrice = startPrice - lowerMultInput * stdDev
lowerEndPrice = endPrice - lowerMultInput * stdDev
var baseLine = line.new(na, na, na, na, width=1, color=color.new(colorLower, 0))
var upper = line.new(na, na, na, na, width=1, color=color.new(colorUpper, 0))
var lower = line.new(na, na, na, na, width=1, color=color.new(colorUpper, 0))
linefill.new(upper, baseLine, color = colorUpper)
linefill.new(baseLine, lower, color = colorLower)
if (close > upperEndPrice or close < lowerEndPrice) and (not barstate.islast or barstate.isconfirmed)
_baseLine = line.new(bar_index - lengthInput + 1, startPrice[1], bar_index - 1, endPrice[1], width=1, color=color.new(colorLower, 0))
_upper = line.new(bar_index - lengthInput + 1, upperStartPrice[1], bar_index - 1, upperEndPrice[1], width=1, color=color.new(colorUpper, 0))
_lower = line.new(bar_index - lengthInput + 1, lowerStartPrice[1], bar_index - 1, lowerEndPrice[1], width=1, color=color.new(colorUpper, 0))
linefill.new(_upper, _baseLine, color = colorUpper)
linefill.new(_baseLine, _lower, color = colorLower)
start_index := bar_index
else if barstate.islast
j = close > upperEndPrice or close < lowerEndPrice ? 1: 0
line.set_xy1(baseLine, bar_index - lengthInput + 1, startPrice[j])
line.set_xy2(baseLine, bar_index - j, endPrice[j])
line.set_xy1(upper, bar_index - lengthInput + 1, upperStartPrice[j])
line.set_xy2(upper, bar_index - j, upperEndPrice[j])
line.set_xy1(lower, bar_index - lengthInput + 1, lowerStartPrice[j])
line.set_xy2(lower, bar_index - j, lowerEndPrice[j])
