Nadaraya-Watson Envelope, RSI, and ATR Stop Loss Finder

// A strategy using Nadaraya-Watson Envelope, RSI, and ATR Stop Loss Finder indicators
// The strategy has been explained in this video: https://youtu.be/Olb47nBRSSo
// © 2023 Geraked, Rabist
// Licensed under MIT

// Backtesting result:
//      Symbol:             USDJPY
//      Timeframe:          15 MIN
//      Range:              2023-08-15 — 2023-10-20
//      Percent Profitable: 50.52%
//      Total Trades:       97
//      Profit Factor:      1.327

//@version=5
strategy("Nadaraya-Watson Envelope, RSI, and ATR Stop Loss Finder Strategy", "NWERSIASF", default_qty_type=strategy.percent_of_equity, overlay=true, currency=currency.USD, max_lines_count=500, max_labels_count=500, max_bars_back=500)

tpCoef = input.float(1.5, "TP Coef", group="Strategy")
reverse = input.bool(false, "Reverse Signal", group="Strategy")

// Nadaraya-Watson Envelope
h = input.float(8.0,'Bandwidth', minval = 0, group = "NWE")
mult = input.float(3.0, minval = 0, group = "NWE")
repaint = input(false, 'Repainting Smoothing', tooltip = 'Repainting is an effect where the indicators historical output is subject to change over time. Disabling repainting will cause the indicator to output the endpoints of the calculations', group = "NWE")

gauss(x, h) => math.exp(-(math.pow(x, 2)/(h * h * 2)))

// Append lines
n = bar_index
var ln = array.new_line(0)
if barstate.isfirst and repaint
    for i = 0 to 499
        array.push(ln,line.new(na,na,na,na))

// End point method
var coefs = array.new_float(0)
var den = 0.

if barstate.isfirst and not repaint
    for i = 0 to 499
        w = gauss(i, h)
        coefs.push(w)
    den := coefs.sum()

out = 0.
if not repaint
    for i = 0 to 499
        out += close[i] * coefs.get(i)
out /= den
mae = ta.sma(math.abs(close - out), 499) * mult

upper = out + mae
lower = out - mae

plot(repaint ? na : upper, 'Upper', color = color.yellow)
plot(repaint ? na : lower, 'Lower', color = color.yellow)

// Compute and display NWE
float y2 = na
float y1 = na

nwe = array.new<float>(0)
if barstate.islast and repaint
    sae = 0.

    //Compute and set NWE point
    for i = 0 to math.min(499,n - 1)
        sum = 0.
        sumw = 0.

        //Compute weighted mean
        for j = 0 to math.min(499,n - 1)
            w = gauss(i - j, h)
            sum += close[j] * w
            sumw += w

        y2 := sum / sumw
        sae += math.abs(close[i] - y2)
        nwe.push(y2)

    sae := sae / math.min(499,n - 1) * mult
    for i = 0 to math.min(499,n - 1)
        if i % 2 != 0
            line.new(n-i+1, y1 + sae, n-i, nwe.get(i) + sae, color = color.yellow)
            line.new(n-i+1, y1 - sae, n-i, nwe.get(i) - sae, color = color.yellow)
        y1 := nwe.get(i)


// RSI
rsiLength = input.int(5, "Length", minval=1, group = "RSI")
up = ta.rma(math.max(ta.change(close), 0), rsiLength)
down = ta.rma(-math.min(ta.change(close), 0), rsiLength)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))


// Average True Range Stop Loss Finder
length = input.int(title='Length', defval=14, minval=1, group = "ASF")
smoothing = input.string(title='Smoothing', defval='SMA', options=['RMA', 'SMA', 'EMA', 'WMA'], group = "ASF")
m = input(0.5, 'Multiplier', group = "ASF")

ma_function(source, length) =>
    if smoothing == 'RMA'
        ta.rma(source, length)
    else
        if smoothing == 'SMA'
            ta.sma(source, length)
        else
            if smoothing == 'EMA'
                ta.ema(source, length)
            else
                ta.wma(source, length)

shortSl = ma_function(ta.tr(true), length) * m + high
longSl = low - ma_function(ta.tr(true), length) * m

plot(shortSl, title='ATR Short Stop Loss', color=color.blue)
plot(longSl, title='ATR Long Stop Loss', color=color.blue)


// Strategy
long = low[1] < lower[1] and close > open and close < lower + 0.5 * (upper - lower) and rsi[1] < 30
short = high[1] > upper[1] and close < open and close > upper - 0.5 * (upper - lower) and rsi[1] > 70
var cnt = 1

if long
    inn = close
    longTp = inn + tpCoef * (inn - longSl)
    if not reverse
        id = "long " + str.tostring(cnt)
        strategy.entry(id, strategy.long)
        strategy.exit("exitLong " + str.tostring(cnt), id, stop=longSl, limit=longTp)
    else
        id = "short " + str.tostring(cnt)
        strategy.entry(id, strategy.short)
        strategy.exit("exitShort " + str.tostring(cnt), id, stop=longTp, limit=longSl)
    cnt += 1

if short
    inn = close
    shortTp = inn - tpCoef * (shortSl - inn)
    if not reverse
        id = "short " + str.tostring(cnt)
        strategy.entry(id, strategy.short)
        strategy.exit("exitShort " + str.tostring(cnt), id, stop=shortSl, limit=shortTp)
    else
        id = "long " + str.tostring(cnt)
        strategy.entry(id, strategy.long)
        strategy.exit("exitLong " + str.tostring(cnt), id, stop=shortTp, limit=shortSl)
    cnt += 1