[DMcL] Nadaraya-Watson Kernel v2

-- original script by jdehorty on tradingview
-- Author: DMcL
EnableHighSpeedUpdates(true)

DefineCommand('Nadaraya_Watson_Kernel_v2', 'Signals long or short when kernel changes bullish/bearish')

OptimizedForInterval(0, 
    function()

-- Parameters

local alpha = DefineParameter(NumberType, 'Alpha', 'NQK Alpha', true, 2)
local h = DefineParameter(NumberType, 'Lookback Window', 'Lookback Window', true, 41)
local r = DefineParameter(NumberType, 'Relative Weighting', 'Relative Weighting', true, 6)
local x_0 = DefineParameter(NumberType, "Start Regression at Bar", "Start Regression at Bar", true, 19)


-- Data
local close = ClosePrices()
local ohlc = OHLCPrices()
local high = HighPrices()
local low = LowPrices()



-- Kernel function

local function kernel_regression (_src, _alpha, _r, _h)
    local _currentWeight = 0
    local _cumulativeWeight = 0
    for i = 1, _alpha + x_0 do
        local y = _src[i]
        local w = Pow( 1 + (Pow(i, 2) / (Pow(_h, 2) * 2 * _r )), -_r)
         _currentWeight = _currentWeight + (y*w)
         _cumulativeWeight = _cumulativeWeight + w
    end
    return  _currentWeight / _cumulativeWeight
end

-- Estimations

local yhat1 = CC_IndicatorMemory(
                function(i, mem)
                return kernel_regression(ohlc, alpha, r, h)
                end)
local yhat2 = CC_IndicatorMemory(
                function(i, mem)
                return kernel_regression(ohlc, alpha, r, h - 2)
                end)



-- Rates of Change
local wasBearish = yhat1[3] > yhat1[2]
local wasBullish = yhat1[3] < yhat1[2]
local isBearish = yhat1[2] > yhat1[1]
local isBullish = yhat1[2] < yhat1[1]
local isBearishChange = isBearish and wasBullish
local isBullishChange = isBullish and wasBearish

-- Crossovers
local isBullishCross = CrossOver(yhat2, yhat1)
local isBearishCross = CrossUnder(yhat2, yhat1) 
local isBullishSmooth = yhat2[1] > yhat1[1]
local isBearishSmooth = yhat2[1] < yhat1[1]


-- Plot
Plot(0, "Rational Quadratic Kernel Estimate", yhat1, {color=Aqua(50), width=2})



-- // Alert Variables
local alertBullish = isBullishChange
local alertBearish = isBearishChange


local signal = SignalNone


if alertBullish then
    signal = SignalLong
    PlotShape(0, ShapeTriangleUp, DarkGreen, 3, false)
end

if alertBearish then
    signal = SignalShort
    PlotShape(0, ShapeTriangleDown, Red, 3, true)
end


DefineOutput(EnumType, signal)

end)