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.

Release Notes: Added G in a separate calculation mode, thanks to @ aaahopper for pointing it out. Changed color for downside movements.
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Patreon: https://www.patreon.com/alexgrover

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You can also check out some of the indicators I made for luxalgo : https://www.tradingview.com/u/LuxAlgo/#published-scripts

Kommentarer

God.
+3 Svara
@nakg3, I undeserve this title ^^But i really appreciate your support as always
+1 Svara
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 Svara
alexgrover Taboozle
@Taboozle, I will try to work on that, thanks for the suggestion.
+1 Svara
Awesome! Thanks for sharing!
+2 Svara
alexgrover wroclai
@wroclai, I'm happy you like it, thanks for your support :)
+2 Svara
Hi alexgrover,
What is line 13 used for?
'G' Seems to have no function or is there something missing?
Cheers :)

+1 Svara
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.
Svara
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 Svara
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.
Svara