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// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © fluxchart
//@version=6
indicator("SuperTrend KDE", max_labels_count = 500, overlay = true)
import TradingView/ta/9 as ta
//constants
const bool DEBUG = false
const int KDELimit = 300
//Supertrend Inputs
atrLength = input.int(10, title = "ATR Length", group = "SuperTrend")
atrMultiplier = input.int(3, title = "ATR Multiplier", group = "SuperTrend")
supertrend_max_opacity = input.int(99, minval = 0, maxval = 100, title = "SuperTrend Max Opacity", group = "SuperTrend", tooltip = "This setting sets the opacity of supertrend based on the KDE%. A higher value will increase the transparency.")
supertrend_min_opacity = input.int(53, minval = 0, maxval = 100, title = "SuperTrend Min Opacity", group = "SuperTrend", tooltip = "This setting sets the opacity of supertrend based on the KDE%. A lower value will decrease the transparency.")
//KDE inputs
string KDEKernel = "Gaussian" //common kernel for normal distribution
float KDEBandwidth = input.float(0.10, "Bandwidth", minval = 0.01, group = "KDE", tooltip = "This setting sets the smoothness of the KDE function output.")
int KDEStep = input.int(200, "Nº Bins", minval = 1, group = "KDE", tooltip = "The number of elements the KDE Probability array will have. Higher settings will result in greater precision.")
float activationThreshold = input.float(30, "KDE Threshold %", minval = 0, maxval = 100, step = 2.50, group = "KDE", tooltip = "This setting sets the KDE% threshold that must be exceeeded to indicate buy or sell signals.")
int barLength = input.int(5, "Relative Volume Length", minval = 1, group = "KDE", tooltip = "This setting sets the number of candles back to calculate Relative Breakout Volume")
string probMode = "Sum"
activationThreshold:= activationThreshold/100
activationThresholdEnabled = input.bool(true, "Enable Activation Threshold", group = "KDE")
//Style Inputs
bearishColor = input.color(#f23646, "Bullish Break", group = "Style", inline = "col")
bullishColor = input.color(color.rgb(9, 209, 66), "Bearish Break", group = "Style", inline = "col")
textColor = input.color(color.white, 'Text', group = 'Style', inline = "col", display = display.none)
KDELabelsEnabled = input.bool(true, "KDE Labels", group = "Style")
//Gaussian Kernel Function
gaussian (float distance, float bandwidth = 1.0) => 1.0 / math.sqrt(2.0 * math.pi) * math.pow(math.e, -0.5 * math.pow(distance / bandwidth, 2.0))
//KDE Probability
var float volumeProb = na
float maxVolumeProb = na
kde (array<float> arr, string kernel, float bandwidth, int steps) =>
arrSize = arr.size()
arrMax = 3 //99.7% of values fall between -3 and 3
arrMin = -3
arrRange = arrMax - arrMin
stepCount = arrRange / steps
densityRange = array.new<float>(steps) //calculate values to apply the kernel estimate
for i = 0 to (steps) - 1
densityRange.set(i, arrMin + i * stepCount)
xArr = array.new<float>()
yArr = array.new<float>()
for i = 0 to densityRange.size() - 1
float temp = 0
for j = 0 to arr.size() - 1
temp += gaussian(densityRange.get(i) - arr.get(j), bandwidth)
xArr.push(densityRange.get(i))
yArr.push(temp)
totalDensity = array.sum(yArr)
for k= 0 to yArr.size() - 1
yArr.set(k, yArr.get(k) / totalDensity) // Normalize each density value
[xArr, yArr]
//#endregion
//Supertrend
[Pine_Supertrend, pineDirection] = ta.supertrend(atrMultiplier, atrLength)
//Breaks in Trend
bullishBreak = ta.crossover(close, Pine_Supertrend)
bearishBreak = ta.crossunder(close, Pine_Supertrend)
//Candle Data
var volumeOnBreak = array.new<float>()
var normalizedVolumeOnBreak = array.new<float>()
//KDE variables
float MidKDEVol = na
var array<float> KDEVolX = na //array of volume points
var array<float> KDEVolY = na //density estimate at the corresponding volume point
var array<float> KDEVolYSum = array.new<float>()
//Calculate Relative Volume
getRelativeVolume(cur) =>
float temp = 0
int count = 0
for i = 1 to barLength
if(not na(volume[i]))
temp += volume[i]
count += 1
temp := count > 0 ? temp / count : na
rvol = temp > 0 ? cur / temp : na
rvol
//Updates KDE Array and density points
if(not na(volume) and (bullishBreak or bearishBreak) and bar_index<(5000-barLength))
if(volumeOnBreak.size() > KDELimit)
volumeOnBreak.remove(0)
volumeOnBreak.push(getRelativeVolume(volume))
normalizedVolumeOnBreak := array.standardize(volumeOnBreak) //normalized array
[KDEVolX1, KDEVolY1] = kde(normalizedVolumeOnBreak, KDEKernel, KDEBandwidth, KDEStep)
KDEVolX := KDEVolX1
KDEVolY := KDEVolY1
KDEVolYSum.clear()
temp = 0.0
for i = 0 to KDEVolY.size() - 1
temp += KDEVolY.get(i)
KDEVolYSum.push(temp)
MidKDEVol := array.get(KDEVolX, array.indexof(KDEVolY, array.max(KDEVolY)))
prefixSum (array<float> arr, int l, int r) =>
arr.get(r) - (l == 0 ? 0 : arr.get(l - 1))
//Standardize param: val based on param arr
standardize(float val, array<float> arr) =>
meanValue = array.avg(arr)
stdDevArr = array.stdev(arr)
stdVal = (val-meanValue)/stdDevArr
stdVal
getSupertrendTransparency(KDEProb) =>
newValue = (KDEProb*(supertrend_max_opacity - supertrend_min_opacity)) + supertrend_min_opacity
newValue := supertrend_max_opacity - newValue + supertrend_min_opacity
newValue
//Finds Estimated Density Value
//if ((bearishBreak or bullishBreak) and not na(volume))
if(not na(volume))
vol = standardize(getRelativeVolume(volume), volumeOnBreak)
if volumeOnBreak.size() > 0
volXIndexL = array.binary_search_leftmost(KDEVolX, vol )
volXIndexR = math.min(array.binary_search_rightmost(KDEVolX, vol), KDEVolX.size() - 1)
nearestIndex = (math.abs(vol - KDEVolX.get(volXIndexL)) < math.abs(vol - KDEVolX.get(volXIndexR))) ? volXIndexL : volXIndexR
if probMode == "Nearest"
volumeProb := KDEVolY.get(nearestIndex)
maxVolumeProb := array.max(KDEVolY)
else if probMode == "Sum"
volumeProb := prefixSum(KDEVolYSum, 0, nearestIndex)
//#endregion
overKDEThreshold(KDEprob) =>
if(activationThresholdEnabled == false)
true
else if((KDEprob >= activationThreshold))
true
else if((KDEprob < activationThreshold))
false
//Table
var table table = table.new(position=position.top_right, columns=1, rows=1)
if (na(volume) or volume == 0)
table.cell(table, row=0, column=0, text="⚠️ No Volume Data Available for " + syminfo.tickerid, text_color=color.white, bgcolor=color.red)
else
//table.cell(table, row=0, column=0, text = "Relative Volume KDE: "+ str.tostring(volumeProb * 100, "#.#") + "%", text_color = color.white, bgcolor = color.new(color.blue, 60))
table.clear(table, 0, 0)
upTrend = plot(pineDirection < 0 ? Pine_Supertrend : na, "Up direction", color.new(bullishColor, getSupertrendTransparency(volumeProb)), style=plot.style_linebr)
downTrend = plot(pineDirection > 0 ? Pine_Supertrend : na, "Down direction", color.new(bearishColor, getSupertrendTransparency(volumeProb)), style=plot.style_linebr)
bodyMiddle = plot(barstate.isfirst ? na : (open + close) / 2, "Body Middle",display = display.none)
fill(bodyMiddle, upTrend, color.new(bullishColor, getSupertrendTransparency(volumeProb)), fillgaps = false)
fill(bodyMiddle, downTrend, color.new(bearishColor, getSupertrendTransparency(volumeProb)), fillgaps = false)
plotshape((bullishBreak and not na(volume) and overKDEThreshold(volumeProb)) ? Pine_Supertrend*0.999 : na, "Bullish Arrows", style = shape.arrowup, size = size.normal, location = location.absolute, color = bullishColor, force_overlay = true)
plotshape((bearishBreak and not na(volume) and overKDEThreshold(volumeProb)) ? Pine_Supertrend*1.001 : na, "Bearish Arrows", style = shape.arrowdown, size = size.normal, location = location.absolute, color = bearishColor, force_overlay = true)
alertcondition(not na(volume) and bullishBreak and overKDEThreshold(volumeProb) and barstate.isconfirmed, "Possible Bullish Trend")
alertcondition(not na(volume) and bearishBreak and overKDEThreshold(volumeProb) and barstate.isconfirmed, "Possible Bearish Trend")
if not na(volume) and overKDEThreshold(volumeProb) and KDELabelsEnabled
txt = ""
txt := "Vol: " + str.tostring(volumeProb * 100, "#.#") + "%"
if bullishBreak
label.new(bar_index, y = Pine_Supertrend*0.9980, text = txt, yloc = yloc.price, color = color.new(color.blue, 100), style = label.style_label_up, textcolor = textColor, force_overlay = true)
if bearishBreak
label.new(bar_index, y = Pine_Supertrend*1.002, text = txt, yloc = yloc.price, color = color.new(color.blue, 100), style = label.style_label_down, textcolor = textColor, force_overlay = true)