Двойной линейный регрессионный канал

indicator('<[Двойной линейный регрессионный канал]>', shorttitle = '<[Двойной линейный регрессионный канал]>', overlay = true)

_linreg_slope(source, length) =>
    max_bars_back(source, 600)
    if not barstate.islast 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 := sumX + per
            sumY := sumY + val
            sumXSqr := sumXSqr + per * per
            sumXY := sumXY + val * per
            sumXY
        slope = (length * sumXY - sumX * sumY) / (length * sumXSqr - sumX * sumX)
        average = sumY / length
        intercept = average - slope * sumX / length + slope
        [slope, average, intercept]

_linreg_dev(source, length, slope, average, intercept) =>
    max_bars_back(source, 2000)
    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
            upDev
        price := val - low[j]
        if price > dnDev
            dnDev := price
            dnDev
        price := source[j]
        dxt = price - average
        dyt = val - daY
        price := price - val
        stdDevAcc := stdDevAcc + price * price
        dsxx := dsxx + dxt * dxt
        dsyy := dsyy + dyt * dyt
        dsxy := dsxy + dxt * dyt
        val := val + slope
        val
    stdDev = math.sqrt(stdDevAcc / (periods == 0 ? 1 : periods))
    pearsonR = dsxx == 0 or dsyy == 0 ? 0 : dsxy / math.sqrt(dsxx * dsyy)
    [stdDev, pearsonR, upDev, dnDev]

f_data_linreg_channel(src, length) =>
    [s, a, i] = _linreg_slope(src, length)
    [stdDev, pearsonR, upDev, dnDev] = _linreg_dev(src, length, s, a, i)
    startPrice = i + s * (length - 1)
    endPrice = i
    [startPrice, endPrice, stdDev, pearsonR]

f_data_auto_linreg_channel(src, _min, _len) =>
    var int autoLength = _min
    int volLen = ta.barssince(volume == ta.highest(volume, _len - 1))
    if not na(volLen) and volLen >= _min and volLen < _len
        autoLength := volLen
        autoLength

    [startPrice1, endPrice1, stdDev1, pearsonR1] = f_data_linreg_channel(src, autoLength)
    [startPrice2, endPrice2, stdDev2, pearsonR2] = f_data_linreg_channel(src, _min)

    startPrice = pearsonR1 > pearsonR2 ? startPrice1 : startPrice2
    endPrice = pearsonR1 > pearsonR2 ? endPrice1 : endPrice2
    stdDev = pearsonR1 > pearsonR2 ? stdDev1 : stdDev2
    pearsonR = pearsonR1 > pearsonR2 ? pearsonR1 : pearsonR2
    [startPrice, endPrice, stdDev, pearsonR, pearsonR1 > pearsonR2 ? autoLength : _min]

group1 = 'Первый канал - Настройки'
enable1 = input.bool(true, 'Вкл/Выкл Канал 1', group = group1)
minLen1 = input.int(20, 'Минимальная длина 1', minval = 1, maxval = 4000, group = group1)
maxLen1 = input.int(70, 'Максимальная длина 1', minval = 5, maxval = 500, group = group1)
src1 = input.source(close, 'Источник 1', group = group1)
showPearson1 = input.bool(false, 'Показывать R² 1', group = group1)
extendLeft1 = input.bool(false, 'Продлевать влево 1', group = group1)
extendRight1 = input.bool(false, 'Продлевать вправо 1', group = group1)
width1 = input.int(2, 'Толщина линий 1', minval = 1, maxval = 5, group = group1)
extendStyle1 = extendLeft1 and extendRight1 ? extend.both : extendLeft1 ? extend.left : extendRight1 ? extend.right : extend.none
colorMid1 = input.color(#ffeb3b, 'Цвет средней 1', group = group1)
colorOut1 = input.color(#00ff0a, 'Цвет 1σ 1', group = group1)
colorOut2_1 = input.color(#ff0000, 'Цвет 2σ 1', group = group1)

[start1, end1, dev1, r1, len1] = f_data_auto_linreg_channel(src1, minLen1, maxLen1)
upper1_1 = start1 + dev1
upper2_1 = start1 + 2 * dev1
lower1_1 = start1 - dev1
lower2_1 = start1 - 2 * dev1

var line base1 = line.new(bar_index - len1 + 1, start1, bar_index, end1, width = width1, extend = extendStyle1, color = enable1 ? color.new(colorMid1, 50) : na)
var line up1_1 = line.new(bar_index - len1 + 1, upper1_1, bar_index, end1 + dev1, width = width1, extend = extendStyle1, color = enable1 ? color.new(colorOut1, 90) : na)
var line low1_1 = line.new(bar_index - len1 + 1, lower1_1, bar_index, end1 - dev1, width = width1, extend = extendStyle1, color = enable1 ? color.new(colorOut1, 90) : na)
var line up2_1 = line

Показано первые 50% кода (символов: 7037)