OPEN-SOURCE SCRIPT
Updated 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.
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.Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.