I know that i'am insistent with the but i really like it and i'm happy to deconstruct it like a mad pinescript user. But if you have an idea about some kind of indicator then dont hesitate to contact me, i would be happy to help you if its feasible.
My motivation for such indicator was to use back the correlation function (that i had putted aside in the ligh-lsma code) and provide a shorter code than the estimation using the line rescaling method (see : Approximating A Least Square Moving Average In Pine).
Fairly simple, lets name y our estimation, we calculate it as follow:
y = x̄ + r*o*1.7
where x̄ is the price moving average, r the correlation between the price and a line (or n) and o the standard deviation. If plotted against a classic the difference would be meaningless at first glance so lets plot the absolute value between the difference of the and our estimation of both period 100.
The difference is under 0.0000 on eurusd , its really low.
In general the longer the period of the estimation, the lower the difference between a normal , but when using shorter period they can differ a little bit.
Why 1.7 ?
We need to multiply the standard deviation by a constant in order to match the overshoot and the rise-time of the original . The constant 1.7 is one that work well but actually this constant should be dependant of the length period of the filter to make the estimation more accurate.
More About Step-Response
Most of the time when a filter have less lag, it mean that he induce overshoot in order to decrease the rise-time. Rise-time is the time the output take to match the target input, its related to the lag. Overshoot mean that the output exceed the target input, you can clearly see those concept in the image above.
I've showed that its possible to be even more concise about the code it take to estimate an . I've also briefly explained the concept of rise-time and overshoot, concepts really important to signal processing and particularly in filter design. I'm sure that it can be even more simplified and i have some ideas for such estimate.
Thanks for reading !
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.
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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
I have been waiting for something better than what exists in open source and as usual, it gets created by the best "alexgrover".
Thank you so much and looking forward to your next best thing.
Not sure if it's possible, but I thought you might be the one to ask: do you know of the ARIMA and, if so, is it possible in Pine? Here's an article explaining the concept (but I'd bet you know more of it now than I'll ever come to): https://en.wikipedia.org/wiki/Autoregressive_integrated_moving_average
Also, on the same note, do you know if the Leavitt Market Projection is possible? This article isn't the best, but information on it isn't in abundance: https://www.academia.edu/31136930/The_Hull_Moving_Average_Evolution_into_the_Leavitt_Market_Projections_with_an_Associated_Probability
Either way, keep it up. I love your research and work.
Keep up the amazing work! I'm always excited to see what you cook up.