// @version=5
library("KernelFunction", true)
// @function Rational Quadratic Kernel - An infinite sum of Gaussian Kernels of
different length scales.
// @param _src <float series> The source series.
// @param _lookback <simple int> The number of bars used for the estimation. This
is a sliding value that represents the most recent historical bars.
// @param _relativeWeight <simple float> Relative weighting of time frames. Smaller
values resut in a more stretched out curve and larger values will result in a more
wiggly curve. As this value approaches zero, the longer time frames will exert more
influence on the estimation. As this value approaches infinity, the behavior of the
Rational Quadratic Kernel will become identical to the Gaussian kernel.
// @param _startAtBar <simple int> Bar index on which to start regression. The
first bars of a chart are often highly volatile, and omission of these initial bars
often leads to a better overall fit.
// @returns yhat <float series> The estimated values according to the Rational
Quadratic Kernel.
export rationalQuadratic(series float _src, simple int _lookback, simple float
_relativeWeight, simple int startAtBar) =>
float _currentWeight = 0.
float _cumulativeWeight = 0.
_size = [Link]([Link](_src))
for i = 0 to _size + startAtBar
y = _src[i]
w = [Link](1 + ([Link](i, 2) / (([Link](_lookback, 2) * 2 *
_relativeWeight))), -_relativeWeight)
_currentWeight += y*w
_cumulativeWeight += w
yhat = _currentWeight / _cumulativeWeight
yhat
// @function Gaussian Kernel - A weighted average of the source series. The weights
are determined by the Radial Basis Function (RBF).
// @param _src <float series> The source series.
// @param _lookback <simple int> The number of bars used for the estimation. This
is a sliding value that represents the most recent historical bars.
// @param _startAtBar <simple int> Bar index on which to start regression. The
first bars of a chart are often highly volatile, and omission of these initial bars
often leads to a better overall fit.
// @returns yhat <float series> The estimated values according to the Gaussian
Kernel.
export gaussian(series float _src, simple int _lookback, simple int startAtBar) =>
float _currentWeight = 0.
float _cumulativeWeight = 0.
_size = [Link]([Link](_src))
for i = 0 to _size + startAtBar
y = _src[i]
w = [Link](-[Link](i, 2) / (2 * [Link](_lookback, 2)))
_currentWeight += y*w
_cumulativeWeight += w
yhat = _currentWeight / _cumulativeWeight
yhat
// @function Periodic Kernel - The periodic kernel (derived by David Mackay) allows
one to model functions which repeat themselves exactly.
// @param _src <float series> The source series.
// @param _lookback <simple int> The number of bars used for the estimation. This
is a sliding value that represents the most recent historical bars.
// @param _period <simple int> The distance between repititions of the function.
// @param _startAtBar <simple int> Bar index on which to start regression. The
first bars of a chart are often highly volatile, and omission of these initial bars
often leads to a better overall fit.
// @returns yhat <float series> The estimated values according to the Periodic
Kernel.
export periodic(series float _src, simple int _lookback, simple int _period, simple
int startAtBar) =>
float _currentWeight = 0.
float _cumulativeWeight = 0.
_size = [Link]([Link](_src))
for i = 0 to _size + startAtBar
y = _src[i]
w = [Link](-2*[Link]([Link]([Link] * i / _period), 2) /
[Link](_lookback, 2))
_currentWeight += y*w
_cumulativeWeight += w
yhat = _currentWeight / _cumulativeWeight
yhat
// @function Locally Periodic Kernel - The locally periodic kernel is a periodic
function that slowly varies with time. It is the product of the Periodic Kernel and
the Gaussian Kernel.
// @param _src <float series> The source series.
// @param _lookback <simple int> The number of bars used for the estimation. This
is a sliding value that represents the most recent historical bars.
// @param _period <simple int> The distance between repititions of the function.
// @param _startAtBar <simple int> Bar index on which to start regression. The
first bars of a chart are often highly volatile, and omission of these initial bars
often leads to a better overall fit.
// @returns yhat <float series> The estimated values according to the Locally
Periodic Kernel.
export locallyPeriodic(series float _src, simple int _lookback, simple int _period,
simple int startAtBar) =>
float _currentWeight = 0.
float _cumulativeWeight = 0.
_size = [Link]([Link](_src))
for i = 0 to _size + startAtBar
y = _src[i]
w = [Link](-2*[Link]([Link]([Link] * i / _period), 2) /
[Link](_lookback, 2)) * [Link](-[Link](i, 2) / (2 * [Link](_lookback, 2)))
_currentWeight += y*w
_cumulativeWeight += w
yhat = _currentWeight / _cumulativeWeight
yhat
// Examples:
//yhat1 = rationalQuadratic(close, 8, 1, 25)
//yhat2 = gaussian(close, 16, 25)
//yhat3 = periodic(close, 8, 100, 25)
//yhat4 = locallyPeriodic(close, 8, 24, 25)
//plot(yhat1, color = [Link], title = "Rational Quadratic Kernel")
//plot(yhat2, color = [Link], title = "Gaussian Kernel")
//plot(yhat3, color = [Link], title = "Periodic Kernel")
//plot(yhat4, color = [Link], title = "Locally Periodic Kernel")