Short Term Alpha Indicator

// 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("Short Term Alpha indicator", shorttitle="AI", overlay=false)

// Define lengths for EMAs and other parameters
lenFast = 8
lenMedium = 30
lenSlow = 110
maPeriod = 20

// NADO parameters
length_nado = 14
mult = 1.0

// Define the weighted alpha
price_change = close - ((high + low + close) / 3)
weighted_alpha = ta.sma(price_change * volume, lenSlow)

// Calculate the EMA of the weighted alpha for the defined lengths
emaFast = ta.ema(weighted_alpha, lenFast)
emaMedium = ta.ema(weighted_alpha, lenMedium)
emaSlow = ta.ema(weighted_alpha, lenSlow)

// EMA bumps
rocFast = emaFast - emaFast[1]
rocMedium = emaMedium - emaMedium[1]
rocSlow = emaSlow - emaSlow[1]

// Define Sinusoidal/Trend and Noise Components
trend = ta.sma(close, length_nado)
volatility = ta.stdev(close, length_nado) * mult

// Define Transient Component
roc = ta.roc(close, length_nado)
transient = math.abs(roc) > volatility ? roc : na

// Percentile Rank Calculation Function
pctrank(series, period) =>
    lessThanCount = 0.0
    for i = 0 to period - 1
        if na(series[i]) or na(series)
            lessThanCount := na
            break
        else
            lessThanCount := series[i] < series ? lessThanCount + 1 : lessThanCount
    na(lessThanCount) ? na : lessThanCount / period * 100

// Normalized Components
normalizedTrend = pctrank(trend, length_nado)
normalizedVolatility = pctrank(volatility, length_nado)
nadoFunction = (normalizedTrend + normalizedVolatility) / 2

// Compute the percentile rank of the EMA bumps over a certain period
prFast = pctrank(rocFast, lenFast)
prMedium = pctrank(rocMedium, lenMedium)
prSlow = pctrank(rocSlow, lenSlow)

// Compute a moving average of these percentile ranks
maFast = ta.sma(prFast, maPeriod)
maMedium = ta.sma(prMedium, maPeriod)
maSlow = ta.sma(prSlow, maPeriod)

// Compute the final signal
signalFast = (prFast - maFast) * nadoFunction
signalMedium = (prMedium - maMedium) * nadoFunction
signalSlow = (prSlow - maSlow) * nadoFunction

// Compute the midline
midline = (signalFast + signalMedium + signalSlow) / 3

// Calculate a 20% kicker based on averages from 3 slower periods
kicker = midline * 0.20 * ((emaSlow / ta.sma(emaSlow, lenSlow)) + (emaMedium / ta.sma(emaMedium, lenMedium)) + (emaFast / ta.sma(emaFast, lenFast))) / 3

// Add kicker to the midline
finalMidline = midline + kicker

// Plot the signals and the final midline
plot(signalFast, color=color.green, title="Signal Fast")
plot(signalMedium, color=color.blue, title="Signal Medium")
plot(signalSlow, color=color.red, title="Signal Slow")
plot(finalMidline, color=color.black, title="Final Midline")