alexgrover

Robust Weighting Oscillator

Introduction

A simple oscillator using a modified lowess architecture, good in term of smoothness and reactivity.

Lowess Regression

Lowess or local regression is a non-parametric (can be used with data not fitting a normal distribution) smoothing method. This method fit a curve to the data using least squares.

In order to have a lowess regression one must use tricube kernel for the weightings w, the weightings are determined using a k-nearest-neighbor model.

lowess is then calculated like so :

Σ( wG (y-a-bx)^2)

Our indicator use G, a ,b and remove the square as well as replacing x by y

Conclusion

The oscillator is simple and nothing revolutionary but its still interesting to have new indicators.

Lowess would be a great method to be made on pinescript, i have an estimate but its not that good. Some codes use a simple line equation in order to estimate a lowess smoother, i can describe it as ax + b where a is a smooth oscillator, b some kind of filter defined by lp + bp with lp a smooth low pass filter and bp a bandpass filter, x is a variable dependent of the smoothing span.

Apr 19
Catatan Pelepasan: Added G in a separate calculation mode, thanks to @ aaahopper for pointing it out. Changed color for downside movements.
Keluarkan daripada Skrip Pilihan Tambah kepada Skrip Pilihan
Hi alexgrover,
What is line 13 used for?
'G' Seems to have no function or is there something missing?
Cheers :)

+1 Balas
alexgrover aaahopper
@aaahopper, You are totally right, i have no idea why i did not included G in the final calculation, i will do some testing/modifying right now, sorry for the inconvenience.
Balas
aaahopper alexgrover
@alexgrover, No apology required. You don't owe us anything.
We appreciate your effort and generosity.
Thank you for again for this great work, which I truely appreciate :)
+1 Balas
alexgrover aaahopper
@aaahopper, Thanks for the support and thanks for a lot for pointing the issue with G :) I hope i wont do any error in the future.
Balas
Hey, I think someone's requested for you to make an ARIMA on here before, I would also love something like that being public on TradingView. It would be a great addition to your other scripts.
+2 Balas
@Taboozle, I will try to work on that, thanks for the suggestion.
+1 Balas
God.
+3 Balas
@ZanJarh, I undeserve this title ^^But i really appreciate your support as always
+1 Balas
Awesome! Thanks for sharing!
+2 Balas
@wroclai, I'm happy you like it, thanks for your support :)
+2 Balas