Nadaraya-Watson Envelope [LuxAlgo]tr

// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) 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 * 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 - 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 > nwe.get(i) + sae and src[i+1] < nwe.get(i) + sae
label.new(n-i, src, '▼', color = color(na), style = label.style_label_down, textcolor = dnCss, textalign = text.align_center)
if src < nwe.get(i) - sae and src[i+1] > nwe.get(i) - sae
label.new(n-i, src, '▲', 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)

//-----------------------------------------------------------------------------}