Linear Regression Channel

//@version=5
indicator("Linear Regression Channel", shorttitle="LinReg", overlay=true,max_bars_back=1000,max_lines_count = 500)

lengthInput = input.int(200, title="Length", minval = 1, maxval = 5000)
sourceInput = input.source(close, title="Source")

group1 = "Channel Settings"
useUpperDevInput = input.bool(true, title="Upper Deviation", inline = "Upper Deviation", group = group1)
upperMultInput = input.float(2.0, title="", inline = "Upper Deviation", group = group1)
useLowerDevInput = input.bool(true, title="Lower Deviation", inline = "Lower Deviation", group = group1)
lowerMultInput = input.float(2.0, title="", inline = "Lower Deviation", group = group1)

group2 = "Display Settings"
extendLeftInput = input.bool(false, "Extend Lines Left", group = group2)
extendRightInput = input.bool(true, "Extend Lines Right", group = group2)
extendStyle = switch
    extendLeftInput and extendRightInput => extend.both
    extendLeftInput => extend.left
    extendRightInput => extend.right
    => extend.none

// group3 = "Color Settings"
// colorUpper = input.color(color.new(color.blue, 85), "", inline = group3, group = group3)
// colorLower = input.color(color.new(color.red, 85), "", inline = group3, group = group3)

//*************[ Variables ]***************
// lengthBank = math.round(lengthInput*0.05 + 0.5)  // roundup 5% of length to represent Bank move direction
// lengthBankMid = math.round(lengthBank/4 + 0.5)    // mid term
// lengthBankShort = math.round(lengthBankMid/4 + 0.5)    // mid term

calcSlope(source, length) =>
    max_bars_back(source, 5000)
    // if not barstate.islast or length <= 1
    //     [float(na), float(na), float(na)]
    // else
    sumX = 0.0
    sumY = 0.0
    sumXSqr = 0.0
    sumXY = 0.0
    for i = 0 to length - 1 by 1
        val = source[i]
        per = i + 1.0
        sumX += per
        sumY += val
        sumXSqr += per * per
        sumXY += val * per
    slope = (length * sumXY - sumX * sumY) / (length * sumXSqr - sumX * sumX)
    average = sumY / length
    intercept = average - slope * sumX / length + slope
    [slope, average, intercept]

//###################[ Long term Slope ]############################
// [s, a, i] = calcSlope(sourceInput[lengthBank], lengthInput)
[s, a, i] = calcSlope(sourceInput, lengthInput)
startPrice = i + s * (lengthInput - 1)
endPrice = i
var line baseLine = na
if na(baseLine) and not na(startPrice)
    baseLine := line.new(bar_index - lengthInput + 1, startPrice, bar_index, endPrice, width=1, extend=extendStyle, color=color.new(color.gray, 100))
else
    line.set_xy1(baseLine, bar_index - lengthInput + 1, startPrice)
    line.set_xy2(baseLine, bar_index, endPrice)
    na

//###################[ Mid term Slope ]############################
lengthInputMid = math.round(lengthInput/4 + 0.5)
[sMid, aMid, iMid] = calcSlope(sourceInput, lengthInputMid)
// [sMid, aMid, iMid] = calcSlope(sourceInput[lengthBankMid], lengthInputMid)
startPriceMid = iMid + sMid * (lengthInputMid - 1)
endPriceMid = iMid
var line baseLineMid = na
if na(baseLineMid) and not na(startPriceMid)
    baseLineMid := line.new(bar_index - lengthInputMid + 1, startPriceMid, bar_index, endPriceMid, width=1, extend=extendStyle, color=color.new(color.gray, 100))
else
    line.set_xy1(baseLineMid, bar_index - lengthInputMid + 1, startPriceMid)
    line.set_xy2(baseLineMid, bar_index, endPriceMid)
    na

//###################[ Short term Slope ]############################
lengthInputShort = math.round(lengthInputMid/4 + 0.5)
[sShort, aShort, iShort] = calcSlope(sourceInput, lengthInputShort)
// [sShort, aShort, iShort] = calcSlope(sourceInput[lengthBankShort], lengthInputShort)
startPriceShort = iShort + sShort * (lengthInputShort - 1)
endPriceShort = iShort
var line baseLineShort = na
if na(baseLineShort) and not na(startPriceShort)
    baseLineShort := line.new(bar_index - lengthInputShort + 1, startPriceShort, bar_index, endPriceShort, width=1, extend=extendStyle, color=color.new(color.gray, 100))
else
    line.set_xy1(baseLineShort, bar_index - lengthInputShort + 1, startPriceShort)
    line.set_xy2(baseLineShort, bar_index, endPriceShort)
    na

calcDev(source, length, slope, average, intercept) =>
    upDev = 0.0
    dnDev = 0.0
    stdDevAcc = 0.0
    dsxx = 0.0
    dsyy = 0.0
    dsxy = 0.0
    periods = length - 1
    daY = intercept + slope * periods / 2
    val = intercept
    for j = 0 to periods by 1
        price = high[j] - val
        if price > upDev
            upDev := price
        price := val - low[j]
        if price > dnDev
            dnDev := price
        price := source[j]
        dxt = price - average
        dyt = val - daY
        price -= val
        stdDevAcc += price * price
        dsxx += dxt * dxt
        dsyy += dyt * dyt
        dsxy += dxt * dyt
        val += slope
    stdDev = math.sqrt(stdDevAcc / (periods == 0 ? 1 : periods))
    pearsonR = dsxx == 0 or dsyy == 0 ? 0 : dsxy / math.sqrt(dsxx * dsyy)
    [stdDev, pearsonR, upDev, dnDev]
    // [stdDev, pearsonR, upDev, dnDev]

//###################[ Long term Standard Deviation ]############################
// [stdDev, pearsonR, upDev, dnDev] = calcDev(sourceInput[lengthBank], lengthInput, s, a, i)
[stdDev, pearsonR, upDev, dnDev] = calcDev(sourceInput, lengthInput, s, a, i)
upperStartPrice = startPrice + (useUpperDevInput ? upperMultInput * stdDev : upDev)
upperEndPrice = endPrice + (useUpperDevInput ? upperMultInput * stdDev : upDev)
var line upper = na
lowerStartPrice = startPrice + (useLowerDevInput ? -lowerMultInput * stdDev : -dnDev)
lowerEndPrice = endPrice + (useLowerDevInput ? -lowerMultInput * stdDev : -dnDev)
var line lower = na
if na(upper) and not na(upperStartPrice)
    upper := line.new(bar_index - lengthInput + 1, upperStartPrice, bar_index, upperEndPrice, width=1, extend=extendStyle, color=color.new(color.green, 100))
else
    line.set_xy1(upper, bar_index - lengthInput + 1, upperStartPrice)
    line.set_xy2(upper, bar_index, upperEndPrice)
    na
if na(lower) and not na(lowerStartPrice)
    lower := line.new(bar_index - lengthInput + 1, lowerStartPrice, bar_index, lowerEndPrice, width=1, extend=extendStyle, color=color.new(color.green, 100))
else
    line.set_xy1(lower, bar_index - lengthInput + 1, lowerStartPrice)
    line.set_xy2(lower, bar_index, lowerEndPrice)
    na
linefill.new(upper, baseLine, color = s>0? color.new(color.red,90):color.new(color.green,80) )
linefill.new(baseLine, lower, color = s>0? color.new(color.red,80):color.new(color.green,90) )

//###################[ Mid term Standard Deviation ]############################
// [stdDevMid, pearsonRMid, upDevMid, dnDevMid] = calcDev(sourceInput[lengthBankMid], lengthInputMid, sMid, aMid, iMid)
[stdDevMid, pearsonRMid, upDevMid, dnDevMid] = calcDev(sourceInput, lengthInputMid, sMid, aMid, iMid)
upperStartPriceMid = startPriceMid + (useUpperDevInput ? upperMultInput * stdDevMid : upDevMid)
upperEndPriceMid = endPriceMid + (useUpperDevInput ? upperMultInput * stdDevMid : upDevMid)
var line upperMid = na
lowerStartPriceMid = startPriceMid + (useLowerDevInput ? -lowerMultInput * stdDevMid : -dnDevMid)
lowerEndPriceMid = endPriceMid + (useLowerDevInput ? -lowerMultInput * stdDevMid : -dnDevMid)
var line lowerMid = na
if na(upperMid) and not na(upperStartPriceMid)
    upperMid := line.new(bar_index - lengthInputMid + 1, upperStartPriceMid, bar_index, upperEndPriceMid, width=1, extend=extendStyle, color=color.silver)
else
    line.set_xy1(upperMid, bar_index - lengthInputMid + 1, upperStartPriceMid)
    line.set_xy2(upperMid, bar_index, upperEndPriceMid)
    na
if na(lowerMid) and not na(lowerStartPriceMid)
    lowerMid := line.new(bar_index - lengthInputMid + 1, lowerStartPriceMid, bar_index, lowerEndPriceMid, width=1, extend=extendStyle, color=color.silver)
else
    line.set_xy1(lowerMid, bar_index - lengthInputMid + 1, lowerStartPriceMid)
    line.set_xy2(lowerMid, bar_index, lowerEndPriceMid)
    na
// linefill.new(upperMid, baseLineMid, color = colorUpper)
// linefill.new(baseLineMid, lowerMid, color = colorLower)

//###################[ Short term Standard Deviation ]############################
// [stdDevShort, pearsonRShort, upDevShort, dnDevShort] = calcDev(sourceInput[lengthBankShort], lengthInputShort, sShort, aShort, iShort)
[stdDevShort, pearsonRShort, upDevShort, dnDevShort] = calcDev(sourceInput, lengthInputShort, sShort, aShort, iShort)
upperStartPriceShort = startPriceShort + (useUpperDevInput ? upperMultInput * stdDevShort : upDevShort)
upperEndPriceShort = endPriceShort + (useUpperDevInput ? upperMultInput * stdDevShort : upDevShort)
var line upperShort = na
lowerStartPriceShort = startPriceShort + (useLowerDevInput ? -lowerMultInput * stdDevShort : -dnDevShort)
lowerEndPriceShort = endPriceShort + (useLowerDevInput ? -lowerMultInput * stdDevShort : -dnDevShort)
var line lowerShort = na
if na(upperShort) and not na(upperStartPriceShort)
    upperShort := line.new(bar_index - lengthInputShort + 1, upperStartPriceShort, bar_index, upperEndPriceShort, width=1, extend=extendStyle, color=color.gray)
else
    line.set_xy1(upperShort, bar_index - lengthInputShort + 1, upperStartPriceShort)
    line.set_xy2(upperShort, bar_index, upperEndPriceShort)
    na
if na(lowerShort) and not na(lowerStartPriceShort)
    lowerShort := line.new(bar_index - lengthInputShort + 1, lowerStartPriceShort, bar_index, lowerEndPriceShort, width=1, extend=extendStyle, color=color.gray)
else
    line.set_xy1(lowerShort, bar_index - lengthInputShort + 1, lowerStartPriceShort)
    line.set_xy2(lowerShort, bar_index, lowerEndPriceShort)
    na
// linefill.new(upperShort, baseLineShort, color = colorUpper)
// linefill.new(baseLineShort, lowerShort, color = colorLower)

//########################[ Plot DC ]###############################
// upDC = ta.highest(high,lengthInput)
// lowDC = ta.lowest(low,lengthInput)
// midDC = (upDC+lowDC)/2
// plot(upDC,style=plot.style_linebr,linewidth = 1,color=color.aqua)
// plot(midDC,style=plot.style_linebr,linewidth = 1,color=color.yellow)
// plot(lowDC,style=plot.style_linebr,linewidth = 1,color=color.orange)

//########################[ Plot Median ]###############################
// aClose = array.new_float(0)
// for j = 0 to lengthInput
//     array.push(aClose, close[j])
// _median = array.median(aClose)
// _stdev = array.stdev(aClose)
// plot(_median,style=plot.style_linebr,linewidth = 1,color=color.yellow)
// plot(_median + _stdev*2,style=plot.style_linebr,linewidth = 1,color=color.white)
// plot(_median - _stdev*2,style=plot.style_linebr,linewidth = 1,color=color.orange)

// //########################[ Plot Bollinger Band ]###############################
// [_middle, _upper, _lower] = ta.bb(close, lengthInput, 2)
// plot(_middle,style=plot.style_linebr,linewidth = 1,color=color.yellow)
// plot(_upper,style=plot.style_linebr,linewidth = 1,color=color.white)
// plot(_lower,style=plot.style_linebr,linewidth = 1,color=color.orange)


//########################[ Identify Trend ]###############################
// _atr = ta.atr(lengthInputShort)
var line sLine = na  // support longterm
var line rLine = na  // resistance longterm
// var box midBox = na  // mid term box
var box l0Box = na   // long term current box #0
var box l1Box = na   // long term previous box #1
var box l2Box = na   // long term previous box #2
var box l3Box = na   // long term previous box #3
// retest, turnaround and run !
// isBreakUpMidBox = (ta.crossover(close,box.get_top(midBox)) or ta.crossover(close,box.get_bottom(midBox)) ) and close>open
// isBreakDownMidBox = (ta.crossunder(close,box.get_top(midBox)) or ta.crossunder(close,box.get_bottom(midBox)) ) and close<open
isStrongBuyZone = s<=0 and close>box.get_top(l0Box) and ( close>box.get_top(l1Box) or bar_index > nz(box.get_right(l1Box)) ) and ( close>box.get_top(l2Box) or bar_index > nz(box.get_right(l2Box)) ) and ( close>box.get_top(l3Box) or bar_index > nz(box.get_right(l3Box)) )     // close > top all active boxes
isStrongSellZone = s>0 and close<box.get_bottom(l0Box) and ( close<box.get_bottom(l1Box) or bar_index > nz(box.get_right(l1Box)) ) and ( close<box.get_bottom(l2Box) or bar_index > nz(box.get_right(l2Box)) ) and ( close<box.get_bottom(l3Box) or bar_index > nz(box.get_right(l3Box)) )     // close < bottom all active boxes
// plot(isStrongBuy? low-_atr:na, title='BUY',style=plot.style_circles,linewidth=1,color=color.white)
// plot(isStrongSell? high+_atr:na, title='SELL',style=plot.style_circles,linewidth=1,color=color.orange)
// plot(isBreakUpMidBox? low-_atr:na, title='Take Profit Short',style=plot.style_circles,linewidth=1,color=color.white)
// plot(isBreakDownMidBox? high+_atr:na, title='Take Profit Long',style=plot.style_circles,linewidth=1,color=color.orange)

if (s>0 and s[1]<=0) or (s<0 and s[1]>=0)     // identify long term trend change from sideway
    l3Box := l2Box
    l2Box := l1Box
    l1Box := l0Box
    l0Box := box.new(left=bar_index-lengthInput,top=upperEndPrice,right=bar_index+lengthInput*2,bottom=lowerEndPrice,border_width = 0,bgcolor = color.new(color.gray,90))
    line.set_color(rLine,color.new(color.orange,70))
    line.set_color(sLine,color.new(color.orange,70))
    rLine := line.new(x1=bar_index-lengthInput,y1=upperEndPrice,x2=bar_index+lengthInput*2,y2=upperEndPrice,color = color.orange)
    sLine := line.new(x1=bar_index-lengthInput,y1=lowerEndPrice,x2=bar_index+lengthInput*2,y2=lowerEndPrice,color = color.orange)
// if (sMid>0 and sMid[1]<=0) or (sMid<0 and sMid[1]>=0)     // identify mid term trend change from sideway
//     midBox := box.new(left=bar_index-lengthInputMid,top=upperEndPriceMid,right=bar_index+lengthInputMid,bottom=lowerEndPriceMid,border_width = 0,bgcolor = color.new(color.gray,90))


// if s<0 and (sMid>0 and sMid[1]<=0)     // identify long term uptrend but short trend change to down trend -> take profit
//     line.new(x1=bar_index-lengthInputMid,y1=upperEndPriceMid,x2=bar_index+lengthInputMid*2,y2=upperEndPriceMid,color = color.orange)
//     line.new(x1=bar_index-lengthInputMid,y1=lowerEndPriceMid,x2=bar_index+lengthInputMid*2,y2=lowerEndPriceMid,color = color.orange)
// if s<0 and sMid<0 and (sShort>0 and sShort[1]<=0)     // identify long term uptrend but short trend change to down trend -> take profit
//     line.new(x1=bar_index-lengthInputShort,y1=upperEndPriceShort,x2=bar_index+lengthInputShort*2,y2=upperEndPriceShort,color = color.gray)
//     line.new(x1=bar_index-lengthInputShort,y1=lowerEndPriceShort,x2=bar_index+lengthInputShort*2,y2=lowerEndPriceShort,color = color.gray)


// highBody = close>open ? close : open    //get high from body, no wick
// lowBody = close<open ? close : open     //get low from body, no wick
// dcBodyHigh = ta.highest(highBody,lengthInputMid)
// dcBodyLow  = ta.lowest(lowBody,lengthInputMid)
// dcBodyBase = (dcBodyHigh+dcBodyLow)/2
// plot(dcBodyHigh,color=color.white,style=plot.style_linebr,linewidth = 1)
// plot(dcBodyLow,color=color.white,style=plot.style_linebr,linewidth = 1)
// plot(dcBodyBase,color=color.white,style=plot.style_linebr,linewidth = 1)

// _roc = ta.roc(3)
// [middleC, upperC, lowerC] = ta.bb(close, lengthInput, 1)
// plot(endPrice,color=color.yellow)
// plot(upperEndPrice,color=color.red,linewidth = 2)
// plot(lowerEndPrice,color=color.red,linewidth = 2)
// plot(upperEndPriceMid,color=color.orange)
// plot(lowerEndPriceMid,color=color.orange)
// plot(upperEndPriceShort,color=color.yellow)
// plot(lowerEndPriceShort,color=color.yellow)

// plot(middleC,color=color.orange)
// plot(upperC,color=color.orange)
// plot(lowerC,color=color.orange)

// isBreakUp(_lengthBank) =>
//     int counter = 0
//     isBankMove = close>upperEndPrice and _atr>upperAtr
//     for j=0 to _lengthBank
//         if close[j] > upperEndPrice[j]
//             counter += 1
//         else
//             break
//     isBankMove or counter >= _lengthBank ? true : false
// isBreakDown(_lengthBank) =>
//     int counter = 0
//     isBankMove = close<lowerEndPrice and _atr>upperAtr
//     for j=0 to _lengthBank
//         if close[j] < lowerEndPrice[j]
//             counter += 1
//         else
//             break
//     isBankMove or counter >= _lengthBank ? true : false

// plot(isBreakUp(lengthBank)? upperEndPrice : na ,style=plot.style_linebr,linewidth = 3,color=color.green)
// plot(isBreakDown(lengthBank)? lowerEndPrice : na ,style=plot.style_linebr,linewidth = 3,color=color.red)


float trend = math.sign(startPrice - endPrice)
alertcondition(sourceInput > line.get_price(upper, bar_index) or sourceInput < line.get_price(lower, bar_index), title='Regression Channel Exited', message="The price movement has exited Regression Channel's bounds")
alertcondition(trend[1] >= 0 and trend < 0, title='Switched to Uptrend', message='The Regression Channel trend switched from Downtrend to Uptrend')
alertcondition(trend[1] <= 0 and trend > 0, title='Switched to Downtrend', message='The Regression Channel trend switched from Uptrend to Downtrend')

//########################[ Identify Trend ]###############################
var table ratings = table.new(position.top_right, 8, 2, frame_color = #000000)
// if barstate.islastconfirmedhistory
// table.cell(ratings, 0, 0, "bar_index", bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 1, 0, "L1 right", bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 2, 0, "L2 right", bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 3, 0, "Support price", bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 4, 0, "Resistance price", bgcolor = color.black, text_color = color.white)
table.cell(ratings, 5, 0, "Buy bias?", bgcolor = color.black, text_color = color.green)
table.cell(ratings, 6, 0, "Sell bias?", bgcolor = color.black, text_color = color.red)

// table.cell(ratings, 0, 1, str.tostring(bar_index), bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 1, 1, str.tostring(box.get_right(l1Box)), bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 2, 1, str.tostring(box.get_right(l2Box)), bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 3, 1, str.tostring(line.get_price(sLine,bar_index),format.mintick ), bgcolor = color.black, text_color = color.white)
// table.cell(ratings, 4, 1, str.tostring(line.get_price(rLine,bar_index),format.mintick ), bgcolor = color.black, text_color = color.white)
table.cell(ratings, 5, 1, isStrongBuyZone?'Yes':'No', bgcolor = color.black, text_color = color.white)
table.cell(ratings, 6, 1, isStrongSellZone?'Yes':'No', bgcolor = color.black, text_color = color.white)