// This work is licensed under a Attribution-NonCommercial-ShareAlike 4.

0
International (CC BY-NC-SA 4.0) https://creativecommons.org/licenses/by-
nc-sa/4.0/
// © LuxAlgo
//@version=5

indicator("Nadaraya-Watson Envelope
[LuxAlgo]",overlay=true,max_bars_back=1000,max_lines_count=500,max_labels
_count=500)
length = input.float(500,'Window Size',maxval=500,minval=0)
h = input.float(8.,'Bandwidth')
mult = input.float(3.)
src = input.source(close,'Source')

up_col = input.color(#39ff14,'Colors',inline='col')
dn_col = input.color(#ff1100,'',inline='col')
disclaimer = input(false, 'Hide Disclaimer')
//----
n = bar_index
var k = 2
var upper = array.new_line(0)
var lower = array.new_line(0)

lset(l,x1,y1,x2,y2,col)=>
line.set_xy1(l,x1,y1)
line.set_xy2(l,x2,y2)
line.set_color(l,col)
line.set_width(l,2)

if barstate.isfirst
for i = 0 to length/k-1
array.push(upper,line.new(na,na,na,na))
array.push(lower,line.new(na,na,na,na))
//----
line up = na
line dn = na
//----
cross_up = 0.
cross_dn = 0.
if barstate.islast
y = array.new_float(0)

sum_e = 0.
for i = 0 to length-1
sum = 0.
sumw = 0.

for j = 0 to length-1
w = math.exp(-(math.pow(i-j,2)/(h*h*2)))
sum += src[j]*w
sumw += w

y2 = sum/sumw
 sum_e += math.abs(src[i] - y2)
array.push(y,y2)

mae = sum_e/length*mult

for i = 1 to length-1
y2 = array.get(y,i)
y1 = array.get(y,i-1)

up := array.get(upper,i/k)
dn := array.get(lower,i/k)

lset(up,n-i+1,y1 + mae,n-i,y2 + mae,up_col)

lset(dn,n-i+1,y1 - mae,n-i,y2 - mae,dn_col)

if src[i] > y1 + mae and src[i+1] < y1 + mae

label.new(n-
i,src[i],'?',color=#00000000,style=label.style_label_down,textcolor=dn_co
l,textalign=text.align_center)
if src[i] < y1 - mae and src[i+1] > y1 - mae
label.new(n-
i,src[i],'?',color=#00000000,style=label.style_label_up,textcolor=up_col,
textalign=text.align_center)

cross_up := array.get(y,0) + mae

cross_dn := array.get(y,0) - mae

alertcondition(ta.crossover(src,cross_up),'Down','Down')
alertcondition(ta.crossunder(src,cross_dn),'Up','Up')

//----
var tb = table.new(position.top_right, 1, 1
, bgcolor = #35202b)

if barstate.isfirst and not disclaimer

table.cell(tb, 0, 0, 'Nadaraya-Watson Envelope [LUX] Repaints'
, text_size = size.small
, text_color = #cc2f3c)