Skew Weighted Average Price (SWAP)

// 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("Skew Weighted Average Price (SWAP)", shorttitle="SWAP", overlay=true)

// Define lengths for EMAs and other parameters
SkewLength = 30
alpha = 2.0/(1.0+SkewLength)

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

var float deviation_max_series = na
var float deviation_min_series = na

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

// Calculate skew
skew = deviation_max_series / deviation_min_series

// Define thresholds
highSkewThreshold = input(1.1, title="High skew threshold") // User can adjust these
lowSkewThreshold = input(1.05, title="Low skew threshold") // User can adjust these

// Define SWAP and its range
var float SWAP = na
var float rangeHigh = na
var float rangeLow = na
rangePercent = input(0.5, title="Range around SWAP (%)") // User can adjust this

if skew > highSkewThreshold
    SWAP := high
    rangeHigh := SWAP * (1 + rangePercent / 100)
    rangeLow := SWAP * (1 - rangePercent / 100)
else if skew < lowSkewThreshold
    SWAP := low
    rangeHigh := SWAP * (1 + rangePercent / 100)
    rangeLow := SWAP * (1 - rangePercent / 100)
else
    SWAP := close

// Plotting
p1 = plot(rangeHigh, title="SWAP High", color=color.rgb(38, 240, 223), linewidth=2, style=plot.style_linebr)
p2 = plot(SWAP, title="SWAP", color=color.rgb(12, 106, 183), linewidth=2, style=plot.style_linebr)
p3 = plot(rangeLow, title="SWAP Low", color=color.rgb(38, 240, 223), linewidth=2,  style=plot.style_linebr)

fill(p1, p2, color=color.new(#1e9066, 70), title="Upper Range")
fill(p2, p3, color=color.new(#425de6, 70), title="Lower Range")