LinReg with RSI and Zigzag

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

//@version=4

study("LinReg with RSI and Zigzag", overlay=true)

alert_strings = array.new_string(4)
array.set(alert_strings, 0, "")
array.set(alert_strings, 1, "")
array.set(alert_strings, 2, "")
array.set(alert_strings, 3, "")

table_row_count = array.new_int(3)
array.set(table_row_count, 0, 1)
array.set(table_row_count, 1, 1)
array.set(table_row_count, 2, 1)

var UpTabl = table.new(position = position.top_center, columns = 3, rows = 20, bgcolor = color.rgb(255,255,255), border_width = 2, frame_color= color.black, frame_width = 2)
var DnTabl = table.new(position = position.bottom_center, columns = 3, rows = 20, bgcolor = color.rgb(255,255,255), border_width = 2, frame_color= color.black, frame_width = 2)

table.cell(table_id = UpTabl, column = 1, row = 0, text = "Upper Channel Break")
table.cell(table_id = DnTabl, column = 1, row = 0, text = "Lower Channel Break") 
table.cell(table_id = UpTabl, column = 2, row = 0, text = "▲▲")
table.cell(table_id = DnTabl, column = 2, row = 0, text = "▼▼") 

table.cell(table_id = UpTabl, column = 0, row = 1, text = "Ticker")
table.cell(table_id = UpTabl, column = 1, row = 1, text = "Close")
table.cell(table_id = UpTabl, column = 2, row = 1, text = "High") 

table.cell(table_id = DnTabl, column = 0, row = 1, text = "Ticker")
table.cell(table_id = DnTabl, column = 1, row = 1, text = "Close") 
table.cell(table_id = DnTabl, column = 2, row = 1, text = "Low") 

devTooltip = "Deviation is a multiplier that affects how much the price should deviate from the previous pivot in order for the bar to become a new pivot."
depthTooltip = "The minimum number of bars that will be taken into account when calculating the indicator."
// pivots threshold
threshold_multiplier = input(title="Deviation", type=input.float, defval=3, minval=0, tooltip=devTooltip)
dev_threshold = atr(10) / close * 100 * threshold_multiplier
depth = input(title="Depth", type=input.integer, defval=10, minval=1, tooltip=depthTooltip)
reverse = input(false, "Reverse")
// Zig Zag

ZigZag         = input(true, "Zig Zag   "                                          , inline = "ZZ", group = "Zig Zag Settings")
zzColor        = input(color.orange, ""                                             , inline = "ZZ", group = "Zig Zag Settings")
zzWidth        = input(1      , "", minval = 1                                      , inline = "ZZ", group = "Zig Zag Settings")
zzStyle        = input("Dashed", "", options = ["Dashed", "Dotted", "Solid"]         , inline = "ZZ", group = "Zig Zag Settings")

var extendLeft = input(false, "Extend Left    |    Extend Right", inline = "Extend Lines")
var extendRight = input(true, "", inline = "Extend Lines")
var extending = extend.none
if extendLeft and extendRight
    extending := extend.both
if extendLeft and not extendRight
    extending := extend.left
if not extendLeft and extendRight
    extending := extend.right
prices = input(true, "Show Prices")
levels = input(true, "Show Levels", inline = "Levels")
levelsFormat = input("Values", "", options = ["Values", "Percent"], inline = "Levels")
labelsPosition = input("Left", "Labels Position", options = ["Left", "Right"])

// ---------------------------------------------------------------------------------------- //
// Fibonacci 

var line lineLast = na
var int iLast     = 0
var int iPrev     = 0
var float pLast   = 0
var isHighLast    = false // otherwise the last pivot is a low pivot

var iPrevPivotRef = 0
var pPrevPivotRef = 0.
var iLastPivotRef = 0
var pLastPivotRef = 0.

pivots(src, length, isHigh) =>
    l2 = length * 2
    c  = nz(src[length])
    ok = true
    
    for i = 0 to l2
        if isHigh and src[i] > c
            ok := false

        if not isHigh and src[i] < c
            ok := false
    if ok
        [bar_index[length], c]
    else
        [int(na), float(na)]

[iH, pH] = pivots(high, depth / 2, true )
[iL, pL] = pivots(low , depth / 2, false)

calc_dev(base_price, price) =>
    100 * (price - base_price) / price

pivotFound(dev, isHigh, index, price) =>
    if isHighLast == isHigh and not na(lineLast)
        // same direction
        if isHighLast ? price > pLast : price < pLast
            line.set_xy2(lineLast, index, price)
            [lineLast, isHighLast]
        else
            [line(na), bool(na)]
    else // reverse the direction (or create the very first line)
        if abs(dev) > dev_threshold
            // price move is significant
            
            // ---------------------------------------------------------------------------------------- //
            [zzCol, zzWid, zzSty] = if not ZigZag
                [na, 1, line.style_dashed]
            else
                [zzColor, zzWidth, zzStyle == "Solid" ? line.style_solid : zzStyle == "Dotted" ? line.style_dotted : line.style_dashed]
            // ---------------------------------------------------------------------------------------- //
            
            id = line.new(iLast, pLast, index, price, color=zzCol, width=zzWid, style=zzSty)
            [id, isHigh]
        else
            [line(na), bool(na)]

// Fibonacci, Zig Zag

if not na(iH)
    dev          = calc_dev(pLast, pH)
    [id, isHigh] = pivotFound(dev, true, iH, pH)

    if not na(id)
        if id != lineLast
            // ---------------------------------------------------------------------------------------- //

            iPrevPivotRef  := line.get_x1(lineLast)
            pPrevPivotRef  := line.get_y1(lineLast)
            iLastPivotRef  := line.get_x2(lineLast)
            pLastPivotRef  := line.get_y2(lineLast)
            
            if not ZigZag
            // ---------------------------------------------------------------------------------------- //

                line.delete(lineLast)
        
        lineLast   := id
        isHighLast := isHigh
        iPrev      := iLast
        iLast      := iH
        pLast      := pH
else
    if not na(iL)
        dev          = calc_dev(pLast, pL)
        [id, isHigh] = pivotFound(dev, false, iL, pL)
        
        if not na(id)
            if id != lineLast
                // ---------------------------------------------------------------------------------------- //

                iPrevPivotRef  := line.get_x1(lineLast)
                pPrevPivotRef  := line.get_y1(lineLast)
                iLastPivotRef  := line.get_x2(lineLast)
                pLastPivotRef  := line.get_y2(lineLast)

                if not ZigZag
                // ---------------------------------------------------------------------------------------- //

                    line.delete(lineLast)
            
            lineLast   := id
            isHighLast := isHigh
            iPrev      := iLast
            iLast      := iL
            pLast      := pL

// Zig Zag
_draw_line(price, col) =>
    var id = line.new(iLast, price, bar_index, price, color=col, width=1, extend=extending)
    if not na(lineLast)
        line.set_xy1(id, line.get_x1(lineLast), price)
        line.set_xy2(id, line.get_x2(lineLast), price)


_draw_label(price, txt, txtColor) =>
    x = labelsPosition == "Left" ? line.get_x1(lineLast) : not extendRight ? line.get_x2(lineLast) : bar_index
    labelStyle = labelsPosition == "Left" ? label.style_label_right : label.style_label_left
    align = labelsPosition == "Left" ? text.align_right : text.align_left
    labelsAlignStrLeft = txt + '\n ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏ \n'
    labelsAlignStrRight = '       ' + txt + '\n ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏  ‏ \n'
    labelsAlignStr = labelsPosition == "Left" ? labelsAlignStrLeft : labelsAlignStrRight
    var id = label.new(x=x, y=price, text=labelsAlignStr, textcolor=txtColor, style=labelStyle, textalign=align, color=#00000000)
    label.set_xy(id, x, price)
    label.set_text(id, labelsAlignStr)
    label.set_textcolor(id, txtColor)

_wrap(txt) =>
    "(" + tostring(txt, "#.##") + ")"

_label_txt(level, price) =>
    l = levelsFormat == "Values" ? tostring(level) : tostring(level * 100) + "%"
    (levels ? l : "") + (prices ? _wrap(price) : "")

_crossing_level(sr, r) =>
    (r > sr and r < sr[1]) or (r < sr and r > sr[1])

startPrice = reverse ? line.get_y1(lineLast) : pLast
endPrice = reverse ? pLast : line.get_y1(lineLast)

iHL = startPrice > endPrice
diff = (iHL ? -1 : 1) * abs(startPrice - endPrice)

processLevel(show, value, colorL) =>
    float m = value
    r = startPrice + diff * m
    if show
        _draw_line(r, colorL)
        _draw_label(r, _label_txt(m, r), colorL)
        //if _crossing_level(close, r)
            //alert("Autofib: " + syminfo.ticker + " crossing level " + tostring(value))

show_0 = input(true, "", inline = "Level0")
value_0 = input(0, "", inline = "Level0")
color_0 = input(#787b86, "", inline = "Level0")
processLevel(show_0, value_0, color_0)

show_0_5 = input(true, "", inline = "Level1")
value_0_5 = input(0.5, "", inline = "Level1")
color_0_5 = input(#4caf50, "", inline = "Level1")
processLevel(show_0_5, value_0_5, color_0_5)

show_0_618 = input(true, "", inline = "Level2")
value_0_618 = input(0.618, "", inline = "Level2")
color_0_618 = input(#009688, "", inline = "Level2")
processLevel(show_0_618, value_0_618, color_0_618)

show_1 = input(true, "", inline = "Level3")
value_1 = input(1, "", inline = "Level3")
color_1 = input(#787b86, "", inline = "Level3")
processLevel(show_1, value_1, color_1)

show_1_618 = input(true, "", inline = "Level5")
value_1_618 = input(1.618, "", inline = "Level5")
color_1_618 = input(#2196f3, "", inline = "Level5")
processLevel(show_1_618, value_1_618, color_1_618)


upperMult   = input(2,     "Linear Regression : Upper Deviation")
lowerMult   = input(-2,    "Linear Regression : Lower Deviation")
useUpperDev = input(true,  "Linear Regression : Use Upper Deviation")
useLowerDev = input(true,  "Linear Regression : Use Lower Deviation")
showPearson = input(true,  "Linear Regression : Show Pearson`s R")
extendLines = input(false, "Linear Regression : Extend Lines")
len         = input(100,   "Linear Regression : Count")
src         = input(close, "Linear Regression : Source")

// Linear Regression - build-in 
extend = extendLines ? extend.right : extend.none
calcSlope(src, len) =>
    max_bars_back(src, 300)
    if not barstate.islast or len <= 1
        [float(na), float(na), float(na)]
    else
        sumX = 0.0
        sumY = 0.0
        sumXSqr = 0.0
        sumXY = 0.0
        for i = 0 to len - 1
            val = src[i]
            per = i + 1.0
            sumX := sumX + per
            sumY := sumY + val
            sumXSqr := sumXSqr + per * per
            sumXY := sumXY + val * per
        slope = (len * sumXY - sumX * sumY) / (len * sumXSqr - sumX * sumX)
        average = sumY / len
        intercept = average - slope * sumX / len + slope
        [slope, average, intercept]
[slp, a, i] = calcSlope(src, len)
startPriceL = i + slp * (len - 1)
endPriceL = i
var line baseLine = na
if na(baseLine) and not na(startPriceL)
    baseLine := line.new(bar_index - len + 1, startPriceL, bar_index, endPriceL, width=1, extend=extend, color=color.red)
else
    line.set_xy1(baseLine, bar_index - len + 1, startPriceL)
    line.set_xy2(baseLine, bar_index, endPriceL)
    na
calcDev(src, len, slope, average, intercept) =>
    upDev = 0.0
    dnDev = 0.0
    stdDevAcc = 0.0
    dsxx = 0.0
    dsyy = 0.0
    dsxy = 0.0
    periods = len - 1
    daY = intercept + (slope * periods) / 2
    val = intercept
    for i = 0 to periods
        price = high[i] - val
        if (price > upDev)
            upDev := price
        price := val - low[i]
        if (price > dnDev)
            dnDev := price
        price := src[i]
        dxt = price - average
        dyt = val - daY
        price := price - val
        stdDevAcc := stdDevAcc + price * price
        dsxx := dsxx + dxt * dxt
        dsyy := dsyy + dyt * dyt
        dsxy := dsxy + dxt * dyt
        val := val + slope
    stdDev = sqrt(stdDevAcc / (periods == 0 ? 1 : periods))
    pearsonR = dsxx == 0 or dsyy == 0 ? 0 : dsxy / sqrt(dsxx * dsyy)
    [stdDev, pearsonR, upDev, dnDev]
[stdDev, pearsonR, upDev, dnDev] = calcDev(src, len, slp, a, i)
upperStartPrice = startPriceL + (useUpperDev ? upperMult * stdDev : upDev)
upperEndPrice = endPriceL + (useUpperDev ? upperMult * stdDev : upDev)
var line upper = na
lowerStartPrice = startPriceL + (useLowerDev ? lowerMult * stdDev : -dnDev)
lowerEndPrice = endPriceL + (useLowerDev ? lowerMult * stdDev : -dnDev)
var line lower = na
if na(upper) and not na(upperStartPrice)
    upper := line.new(bar_index - len + 1, upperStartPrice, bar_index, upperEndPrice, width=1, extend=extend, color=#0000ff)
else
    line.set_xy1(upper, bar_index - len + 1, upperStartPrice)
    line.set_xy2(upper, bar_index, upperEndPrice)
    na
if na(lower) and not na(lowerStartPrice)
    lower := line.new(bar_index - len + 1, lowerStartPrice, bar_index, lowerEndPrice, width=1, extend=extend, color=#0000ff)
else
    line.set_xy1(lower, bar_index - len + 1, lowerStartPrice)
    line.set_xy2(lower, bar_index, lowerEndPrice)
    na


// Pearson`s R
var label r = na
transparent = color.new(color.white, 100)
label.delete(r[1])
if showPearson and not na(pearsonR)
    r := label.new(bar_index - len + 1, lowerStartPrice, tostring(pearsonR, "#.########"), color=transparent, textcolor=#0000ff, size=size.normal, style=label.style_labelup)

plot(round(pearsonR*1000)/1000, display=display.none)

//(cl_p > (ep_mp + st_dv * 2))//
//(cl_p < (ep_mp - st_dv * 2)//


f_LregBrk(_ticker)=>
    
    [cl_p, ep_mp, st_dv, sp_mp, val_hi, val_lo, sr_01] = security(_ticker, timeframe.period, [close, endPriceL, stdDev, startPriceL, high, low, rsi(close, 14)], lookahead = barmerge.lookahead_on)
    _msg = _ticker + "~CLS-" + tostring(round(cl_p * 100) / 100)
    
    if (sp_mp - ep_mp) > 0 and crossover(cl_p, (ep_mp + st_dv * 2))
        _msg := _msg + "~>" + " Uppper Channel Break ▲▲"
        array.set(alert_strings, 0, array.get(alert_strings, 0) + "\n" + _msg)
        array.set(table_row_count, 0, array.get(table_row_count, 0) + 1)
        
        if barstate.islast
            table.cell(table_id = UpTabl, column = 0, row = array.get(table_row_count, 0), text = _ticker)
            table.cell(table_id = UpTabl, column = 1, row = array.get(table_row_count, 0), text = tostring(round(cl_p * 100) / 100), bgcolor=color.rgb(0, 200, 100))
            table.cell(table_id = UpTabl, column = 2, row = array.get(table_row_count, 0), text = tostring(round(val_hi * 100) / 100), bgcolor=color.rgb(0, 200, 100))

        
    else if (sp_mp - ep_mp) < 0 and crossunder(cl_p, (ep_mp - st_dv * 2))
        _msg := _msg + "~>" + " Lower Channel Break ▼▼"
        array.set(alert_strings, 1, array.get(alert_strings, 1) + "\n" + _msg)
        array.set(table_row_count, 1, array.get(table_row_count, 1) + 1)
        
        if barstate.islast
            table.cell(table_id = DnTabl, column = 0, row = array.get(table_row_count, 1), text = _ticker)
            table.cell(table_id = DnTabl, column = 1, row = array.get(table_row_count, 1), text = tostring(round(cl_p * 100) / 100), bgcolor=color.rgb(255, 0, 0))
            table.cell(table_id = DnTabl, column = 2, row = array.get(table_row_count, 1), text = tostring(round(val_lo * 100) / 100), bgcolor=color.rgb(255, 0, 0))

        
    var RsStoTabl = table.new(position = position.bottom_left, columns = 3, rows = 20, bgcolor = color.rgb(200, 230, 255), border_width = 2, frame_color= color.black, frame_width = 2)
    
    if barstate.islast
        table.cell(table_id = RsStoTabl, column = 0, row = 0, text = "Ticker")
        table.cell(table_id = RsStoTabl, column = 1, row = 0, text = "RSI ~") 
       
        if sr_01 > 65
            _msg := _msg + "~>" + "RSI - OB ▲ " + tostring(round(sr_01 * 10) / 10)
            array.set(alert_strings, 2, array.get(alert_strings, 2) + "\n" + _msg)
            array.set(table_row_count, 2, array.get(table_row_count, 2) + 1)
            table.cell(table_id = RsStoTabl, column = 0, row = array.get(table_row_count, 2), text = _ticker)
            table.cell(table_id = RsStoTabl, column = 1, row = array.get(table_row_count, 2), text = tostring(int(sr_01)), bgcolor=color.from_gradient(sr_01, 40, 60, color.rgb(255, 70, 70), color.rgb(0, 200, 100)))
            
        
        else if sr_01 < 35
            _msg := _msg + "~>" + "RSI - OS ▼ " + tostring(round(sr_01 * 10) / 10)
            array.set(alert_strings, 3, array.get(alert_strings, 3) + "\n" + _msg)
            array.set(table_row_count, 2, array.get(table_row_count, 2) + 1)
            table.cell(table_id = RsStoTabl, column = 0, row = array.get(table_row_count, 2), text = _ticker)
            table.cell(table_id = RsStoTabl, column = 1, row = array.get(table_row_count, 2), text = tostring(int(sr_01)), bgcolor=color.from_gradient(sr_01, 40, 60, color.rgb(255, 70, 70), color.rgb(0, 200, 100)))    
            


f_LregBrk(syminfo.tickerid)
f_LregBrk(input('DJI', title=input.symbol)) 
f_LregBrk(input('IXIC', title=input.symbol)) 
f_LregBrk(input('SPX', title=input.symbol)) 
f_LregBrk(input('RUT', title=input.symbol)) 
f_LregBrk(input('AAPL', title=input.symbol))
f_LregBrk(input('AMZN', title=input.symbol)) 
f_LregBrk(input('FB', title=input.symbol)) 
f_LregBrk(input('GOOG', title=input.symbol)) 
f_LregBrk(input('NFLX', title=input.symbol))
f_LregBrk(input('MSFT', title=input.symbol)) 
f_LregBrk(input('NVDA', title=input.symbol)) 
f_LregBrk(input('FDX', title=input.symbol)) 
f_LregBrk(input('GLD', title=input.symbol))




if array.get(alert_strings, 0) != ""
    alert(array.get(alert_strings, 0),  alert.freq_once_per_bar)

if array.get(alert_strings, 1) != ""
    alert(array.get(alert_strings, 1),  alert.freq_once_per_bar)

//if array.get(alert_strings, 2) != ""
    //alert(array.get(alert_strings, 2),  alert.freq_once_per_bar)

//if array.get(alert_strings, 3) != ""
    //alert(array.get(alert_strings, 3),  alert.freq_once_per_bar)