Forecasting - Locally Weighted Regression (rescaled)UPDATE: the original version works only with BTC. Here's a general version with rescaling.
Locally
Forecasting - Vanilla Locally Weighted RegressionThere is not much to say - just vanilla locally weighted regression in PineScript 4.
see: medium.com
also: cs229.stanford.edu
Forecasting - Locally Weighted RegressionThis is a continuation of the series on forecasting techniques.
Locally weighted linear regression is a non-parametric algorithm, that is, the model does not learn a fixed set of parameters as is done in ordinary linear regression. Rather parameters Θ (theta) are computed individually for each query point x. While computing Θ, a higher “preference” is given to the points in the training set lying in the vicinity of x than the points lying far away from x.
For a detailed discussion see www.geeksforgeeks.org
and for the formula see fawda123.github.io
Here you can see a shortcut application of this technique to time series with results unexpectedly favorable for price data labelling.
Good at detecting pullbacks. Can be incorporated into a trading system as a signal generator. Alerting is included.
