Macro Dashboard

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0
// © Macro Dashboard - Valuator & PnL Matrix

//@version=6
indicator("Macro Dashboard", overlay=true)

//=============================================================================
// INPUT PARAMETERS
//=============================================================================
grp_pnl = "PnL Matrix Settings"
inp_percentile_lookback = input.int(208, "Percentile Lookback (weeks)", group=grp_pnl)
inp_pnl_gift   = input.float(10.0, "Gift Zone (%)", group=grp_pnl)
inp_pnl_bubble = input.float(90.0, "Bubble Zone (%)", group=grp_pnl)

grp_val = "The Valuator Settings"
inp_lookback    = input.int(200, "Regression Lookback (bars)", group=grp_val)
inp_ema_period  = input.int(52, "EMA Period", group=grp_val)
inp_val_gift    = input.float(-1.5, "Gift Zone (Z <)", group=grp_val)
inp_val_cheap   = input.float(-0.8, "Cheap Zone (Z <)", group=grp_val)
inp_val_exp     = input.float(0.8, "Expensive Zone (Z >)", group=grp_val)
inp_val_bubble  = input.float(1.5, "Bubble Zone (Z >)", group=grp_val)

// Colors
color_gift      = color.new(#00E676, 0)
color_cheap     = color.new(#81C784, 0)
color_fair      = color.new(#90A4AE, 0)
color_expensive = color.new(#FF9800, 0)
color_bubble    = color.new(#F44336, 0)
color_text      = color.white
color_bg        = color.new(color.black, 80)
color_border    = color.new(color.white, 70)

//=============================================================================
// CORE LOGIC FUNCTIONS (Must be evaluated on Weekly TF)
//=============================================================================

// VWAP Cost Basis Method
get_vwap(len) =>
    sum_pv = ta.sma(close * volume, len) * len
    sum_v  = ta.sma(volume, len) * len
    sum_v > 0 ? sum_pv / sum_v : ta.sma(close, len)

f_pnl_matrix() =>
    cost_1y = get_vwap(52)
    cost_2y = get_vwap(104)
    cost_3y = get_vwap(156)
    cost_4y = get_vwap(208)
    
    roi1 = cost_1y > 0 ? (close - cost_1y) / cost_1y * 100 : 0
    roi2 = cost_2y > 0 ? (close - cost_2y) / cost_2y * 100 : 0
    roi3 = cost_3y > 0 ? (close - cost_3y) / cost_3y * 100 : 0
    roi4 = cost_4y > 0 ? (close - cost_4y) / cost_4y * 100 : 0
    
    avg_roi = (roi1 + roi2 + roi3 + roi4) / 4
    
    int count_below = 0
    for i = 1 to inp_percentile_lookback
        if avg_roi[i] < avg_roi
            count_below += 1
    
    float(count_below) / float(inp_percentile_lookback) * 100

f_valuator() =>
    lookback = math.min(inp_lookback, bar_index + 1)
    sum_x  = 0.0
    sum_y  = 0.0
    sum_xy = 0.0
    sum_xx = 0.0

    for i = 0 to lookback - 1
        x = float(i)
        y = math.log(close[i])
        sum_x  += x
        sum_y  += y
        sum_xy += x * y
        sum_xx += x * x

    n = float(lookback)
    b = (n * sum_xy - sum_x * sum_y) / (n * sum_xx - sum_x * sum_x)
    a = (sum_y - b * sum_x) / n

    fair_value_log = a
    log_price     = math.log(close)
    log_deviation = log_price - fair_value_log

    mean_dev = ta.ema(log_deviation, inp_ema_period)
    variance = ta.ema(math.pow(log_deviation - mean_dev, 2), inp_ema_period)
    std_dev  = math.sqrt(variance)

    std_dev > 0 ? (log_deviation - mean_dev) / std_dev : 0.0

//=============================================================================
// REQUEST WEEKLY DATA
//=============================================================================
// Requests current week (W0) and previous week (W-1) from the functions
[pnl_w0, pnl_w1, val_w0, val_w1] = request.security(syminfo.tickerid, "W", [f_pnl_matrix(), f_pnl_matrix()[1], f_valuator(), f_valuator()[1]], barmerge.gaps_off)

//=============================================================================
// FORMATTING FUNCTIONS
//=============================================================================
get_pnl_zone(perc) =>
    zone = "NORMAL"
    clr = color_fair
    if perc < inp_pnl_gift
        zone := "GIFT"
        clr := color_gift
    else if perc > inp_pnl_bubble
        zone := "BUBBLE"
        clr := color_bubble
    [zone, clr]

get_val_zone(z) =>
    zone = "FAIR"
    clr = color_fair
    if z < inp_val_gift
        zone := "GIFT"
        clr := color_gift
    else if z < inp_val_cheap
        zone := "CHEAP"
        clr := color_cheap
    else if z > inp_val_bubble
        zone := "BUBBLE"
        clr := color_bubble
    else if z > inp_val_exp
        zone := "EXP"
        clr := color_expensive
    [zone, clr]

//=============================================================================
// DASHBOARD PLOTTING
//=============================================================================
var table dash = table.new(position.top_right, 3, 4, bgcolor=color_bg, border_color=color_border, border_width=1)

if barstate.islast
    // Current (W0) status
    [pnl_zone_w0, pnl_clr_w0] = get_pnl_zone(pnl_w0)
    [val_zone_w0, val_clr_w0] = get_val_zone(val_w0)
    
    // Previous (W-1) status
    [pnl_zone_w1, pnl_clr_w1] = get_pnl_zone(pnl_w1)
    [val_zone_w1, val_clr_w1] = get_val_zone(val_w1)
    
    // Headers
    table.cell(dash, 0, 0, "MACRO DASHBOARD (W1)", text_color=color_text, text_size=size.normal, bgcolor=color.new(#1565C0, 40), text_halign=text.align_center)
    table.merge_cells(dash, 0, 0, 2, 0)
    
    // Sub-headers
    table.cell(dash, 0, 1, "", bgcolor=color_bg) // Empty cell top left
    table.cell(dash, 1, 1, "Current (W0)", text_color=color.gray, text_size=size.small)
    table.cell(dash, 2, 1, "Previous (W-1)", text_color=color.gray, text_size=size.small)
    
    // Row 1: PnL Matrix
    table.cell(dash, 0, 2, "PnL Matrix", text_color=color_text, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 2, pnl_zone_w0 + " (" + str.tostring(pnl_w0, "#.1") + "%)", text_color=pnl_clr_w0, text_size=size.small)
    table.cell(dash, 2, 2, pnl_zone_w1 + " (" + str.tostring(pnl_w1, "#.1") + "%)", text_color=pnl_clr_w1, text_size=size.small)

    // Row 2: The Valuator
    table.cell(dash, 0, 3, "The Valuator", text_color=color_text, text_size=size.small, text_halign=text.align_left)
    table.cell(dash, 1, 3, val_zone_w0 + " (" + (val_w0 > 0 ? "+" : "") + str.tostring(val_w0, "#.2") + ")", text_color=val_clr_w0, text_size=size.small)
    table.cell(dash, 2, 3, val_zone_w1 + " (" + (val_w1 > 0 ? "+" : "") + str.tostring(val_w1, "#.2") + ")", text_color=val_clr_w1, text_size=size.small)