Factor Indicator: Correlation with Price Change

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jawauntb

//@version=5
indicator(title="Factor Indicator: Correlation with Price Change in Next 10 Bars", shorttitle = 'FXI', overlay=false)

// Function to calculate correlation of an indicator with future price change
factorCorrelation(factor) =>
    pastFactorChange = factor[15] - factor[20] // Change in indicator over the first 5 bars of the past 20 bars
    futurePriceChange = close - close[10] // Net price change over the next 10 bars
    correlation = ta.correlation(pastFactorChange, futurePriceChange, 20) // 20-bar rolling correlation
    correlation

//13-30 EMA Calculation
short = ta.ema(close, 13)
long = ta.sma(close, 30)
crossoverFactor = short - long

// Skew Calculation
SkewLength = input(30)

deviation_max = 1.
deviation_min = 1.

alpha = 2.0/(1.0+SkewLength)

trueRange = math.max(math.max(high - low, math.abs(high - close[1])), math.abs(low - close[1]))/close[1]

deviation_max := alpha*(close > close[1] ? trueRange:0) + (1.0-alpha)*nz(deviation_max[1])
deviation_min := alpha*(close < close[1] ? trueRange:0) + (1.0-alpha)*nz(deviation_min[1])

skewValue = deviation_max/deviation_min


// Donchian Channel Calculation
length = input.int(20, minval=1)
lower = ta.lowest(length)
upper = ta.highest(length)
basis = (upper + lower) / 2.0

// Keltner Channel Calculation
lengthkc = input.int(20, minval=1)
mult = input(2.0, "Multiplier")
src = input(close, title="Source")
exp = input(true, "Use Exponential MA")
BandsStyle = input.string("Average True Range", options = ["Average True Range", "True Range", "Range"], title="Bands Style")
atrlength = input(10, "ATR Length")

esma(source, lengthk)=>
    s = ta.sma(source, lengthk)
    e = ta.ema(source, lengthk)
    exp ? e : s

kcma = esma(src, lengthkc)

// Inputs for VWAP settings
anchor = input.string(defval = "Session", title="Anchor Period",
 options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century", "Earnings", "Dividends", "Splits"])

srcvw = input(close, title = "Source")

// Determine the start of a new period based on the selected anchor
isNewPeriod = switch anchor
    "Session"   => timeframe.change("D")
    "Week"      => timeframe.change("W")
    "Month"     => timeframe.change("M")
    "Quarter"   => timeframe.change("3M")
    "Year"      => timeframe.change("12M")
    "Decade"    => timeframe.change("12M") and year % 10 == 0
    "Century"   => timeframe.change("12M") and year % 100 == 0
    // Note: The earnings, dividends, and splits anchor types were ignored for simplicity.
    => false

float vwapValue = na

// Calculate the VWAP value
[_vwap, _, _] = ta.vwap(srcvw, isNewPeriod, 1)

vwapValue := _vwap
// Calculate the price relative to VWAP
priceRelativeToVWAP = close - vwapValue


// TWAP calculation
anchortw = input.timeframe(defval = "1D", title="Anchor Period")
srctw = input(title = "Source", defval = ohlc4)
offset = input(0, title="Offset")

twap(source, anchorChange) =>
    var prices = 0.0
    var count = 0

    if anchorChange
        prices := 0
        count := 0

    prices += src
    count += 1

    prices / count

twapValue = twap(srctw, timeframe.change(anchortw))

// Calculate the price's distance from the TWAP
priceRelativeToTwap = close - twapValue


// Correlation Calculation for the Donchian Channel's basis
correlationValueDonchian = factorCorrelation(basis)

// Correlation Calculation for the Skew
correlationValueSkew = factorCorrelation(skewValue)

// Correlation Calculation for the EMA
correlation1330EmaMaValue = factorCorrelation(crossoverFactor)

// Correlation Calculation for the Keltner Channel's MA
correlationValueKeltner = factorCorrelation(kcma)

// Correlation Calculation for the Price relative to VWAP
correlationValueVWAP = factorCorrelation(priceRelativeToVWAP)

correlationTWAP = factorCorrelation(priceRelativeToTwap)

// Plotting the Correlation of the EMA
histogramColor = correlation1330EmaMaValue >= 0 ? color.rgb(231, 228, 39) : color.rgb(154, 146, 0)
plot(correlation1330EmaMaValue, color=histogramColor, linewidth=1, title="EMA Cross Correlation")

// Plotting the Correlation of the Skew
histogramColorSkew = correlationValueSkew >= 0 ? color.rgb(4, 213, 255) : color.rgb(0, 87, 117)
plot(correlationValueSkew, color=histogramColorSkew, linewidth=1, title="Skew Correlation")

// Plotting the Correlation of the Donchian Channel's basis
histogramColorDonchian = correlationValueDonchian >= 0 ? color.rgb(38, 4, 230) : color.rgb(28, 18, 86)
plot(correlationValueDonchian, color=histogramColorDonchian, linewidth=1, title="Donchian Basis Correlation")

// Plotting the Correlation of the Keltner Channel's MA
histogramColorKeltner = correlationValueKeltner >= 0 ? color.rgb(251, 136, 3) : color.rgb(255, 136, 56)
plot(correlationValueKeltner, color=histogramColorKeltner, linewidth=1, title="Keltner MA Correlation")

// Plotting the Correlation of Price relative to VWAP
histogramColorVWAP = correlationValueVWAP >= 0 ? color.rgb(255, 154, 250) : color.rgb(240, 74, 240)
plot(correlationValueVWAP, color=histogramColorVWAP, linewidth=1, title="Price to VWAP Correlation")

// Plotting the Correlation of Price relative to TWAP
histogramColorTWAP = correlationValueVWAP >= 0 ? color.rgb(84, 255, 109) : color.rgb(27, 111, 30)
plot(correlationTWAP, color=histogramColorTWAP, linewidth=1, title="Price Relative to TWAP Correlation")