The Valuator

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0
// https://mozilla.org/MPL/2.0/
// © The Valuator - Long-Term Valuation Indicator
// Based on Z-Score of Log Price Deviation from Exponential Regression
// Data is LOCKED to a configurable higher timeframe (default: Weekly)

//@version=6
indicator("The Valuator", shorttitle="Valuator", overlay=false, precision=2)

//=============================================================================
// INPUT PARAMETERS
//=============================================================================

// === CORE SETTINGS ===
inp_tf          = input.timeframe("W", "Valuation Timeframe", options=["D", "W", "M"], group="Core Settings",
                   tooltip="Locked timeframe for all valuation data.\nD = Daily, W = Weekly (default), M = Monthly.\nChart TF must be ≤ this setting.")
inp_lookback    = input.int(200, "Regression Lookback (bars)", minval=20, maxval=500, group="Core Settings",
                   tooltip="Number of bars on the locked timeframe. W with 200 bars ≈ 4 years")
inp_ema_period  = input.int(52, "EMA Period for Stats", minval=10, maxval=200, group="Core Settings",
                   tooltip="EMA period for rolling mean and standard deviation")

// === THRESHOLDS (Fat-tail adjusted) ===
inp_gift_z      = input.float(-1.5, "Gift Zone (Z <)", minval=-3.0, maxval=-1.0, step=0.1, group="Thresholds")
inp_cheap_z     = input.float(-0.8, "Cheap Zone (Z <)", minval=-2.0, maxval=0.0, step=0.1, group="Thresholds")
inp_expensive_z = input.float(0.8, "Expensive Zone (Z >)", minval=0.0, maxval=2.0, step=0.1, group="Thresholds")
inp_bubble_z    = input.float(1.5, "Bubble Zone (Z >)", minval=1.0, maxval=3.0, step=0.1, group="Thresholds")

// === DISPLAY ===
inp_show_fair   = input.bool(true, "Show Fair Value Line", group="Display")
inp_show_table  = input.bool(true, "Show Info Table", group="Display")

// === COLORS ===
color_gift      = input.color(color.new(#00E676, 0), "Gift Zone", group="Colors")
color_cheap     = input.color(color.new(#81C784, 0), "Cheap Zone", group="Colors")
color_fair      = input.color(color.new(#90A4AE, 0), "Fair Zone", group="Colors")
color_expensive = input.color(color.new(#FF9800, 0), "Expensive Zone", group="Colors")
color_bubble    = input.color(color.new(#F44336, 0), "Bubble Zone", group="Colors")

//=============================================================================
// HELPERS
//=============================================================================

get_tf_name(tf) =>
    switch tf
        "D"  => "Daily"
        "W"  => "Weekly"
        "M"  => "Monthly"
        => tf

get_tf_bars_label(tf, bars) =>
    switch tf
        "D"  => str.tostring(bars) + " bars ≈ " + str.tostring(math.round(bars / 252.0, 1)) + " yr"
        "W"  => str.tostring(bars) + " bars ≈ " + str.tostring(math.round(bars / 52.0, 1))  + " yr"
        "M"  => str.tostring(bars) + " bars ≈ " + str.tostring(math.round(bars / 12.0, 1))  + " yr"
        => str.tostring(bars) + " bars"

//=============================================================================
// EXPONENTIAL REGRESSION - FAIR VALUE CALCULATION
//=============================================================================
// These calculations use chart-TF data here, but will be RE-EVALUATED
// on the locked timeframe via request.security() below.
//
// log(price) = a + b * time  =>  price = exp(a + b * time)

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
fair_value     = math.exp(fair_value_log)

//=============================================================================
// Z-SCORE CALCULATION
//=============================================================================

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)

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

//=============================================================================
// LOCK TO HIGHER TIMEFRAME via request.security()
//=============================================================================
// request.security re-evaluates the ENTIRE expression tree
// (including the regression loop) on the locked timeframe's data.
// This means close, bar_index, ta.ema etc. all use locked-TF candles.
// gaps_off = carry forward last HTF value on intra-bar chart updates.

[z_htf, fv_htf, close_htf] = request.security(
     syminfo.tickerid, inp_tf,
     [z_score, fair_value, close],
     barmerge.gaps_off)

//=============================================================================
// ZONE CLASSIFICATION (on locked-TF z-score)
//=============================================================================

get_zone(z) =>
    string result = "Fair"
    if z < inp_gift_z
        result := "Gift"
    else if z < inp_cheap_z
        result := "Cheap"
    else if z > inp_bubble_z
        result := "Bubble"
    else if z > inp_expensive_z
        result := "Expensive"
    else
        result := "Fair"
    result

get_zone_color(z) =>
    color result = color_fair
    if z < inp_gift_z
        result := color_gift
    else if z < inp_cheap_z
        result := color_cheap
    else if z > inp_bubble_z
        result := color_bubble
    else if z > inp_expensive_z
        result := color_expensive
    else
        result := color_fair
    result

current_zone = get_zone(z_htf)
bar_color    = get_zone_color(z_htf)

//=============================================================================
// PLOTTING - Z-SCORE HISTOGRAM (locked-TF values)
//=============================================================================

plot(z_htf, "Z-Score", bar_color, linewidth=3, style=plot.style_histogram)

// Zero line
hline(0, "Zero", color.new(color.gray, 50), hline.style_solid)

// Zone threshold lines
hline(inp_gift_z,      "Gift",      color.new(color_gift, 70),      hline.style_dotted)
hline(inp_cheap_z,     "Cheap",     color.new(color_cheap, 70),     hline.style_dotted)
hline(inp_expensive_z, "Expensive", color.new(color_expensive, 70), hline.style_dotted)
hline(inp_bubble_z,    "Bubble",    color.new(color_bubble, 70),    hline.style_dotted)

// Background fill for zones
bgcolor(z_htf < inp_gift_z      ? color.new(color_gift, 90)      :
        z_htf < inp_cheap_z     ? color.new(color_cheap, 95)     :
        z_htf > inp_bubble_z    ? color.new(color_bubble, 90)    :
        z_htf > inp_expensive_z ? color.new(color_expensive, 95) : na,
        title="Zone Background")

//=============================================================================
// FAIR VALUE LINE (locked-TF value)
//=============================================================================

plot(inp_show_fair ? fv_htf : na, "Fair Value", color.new(color.blue, 50), linewidth=2)

//=============================================================================
// INFORMATION TABLE
//=============================================================================

var table info_table = table.new(position.top_right, 2, 7,
                                  bgcolor=color.new(color.black, 80),
                                  border_color=color.new(color.white, 70),
                                  border_width=1)

if barstate.islast and inp_show_table
    // Header
    table.cell(info_table, 0, 0, "THE VALUATOR", text_color=color.white,
               text_size=size.normal, bgcolor=color.new(#1565C0, 40), text_halign=text.align_center)
    table.merge_cells(info_table, 0, 0, 1, 0)

    // Locked Timeframe
    table.cell(info_table, 0, 1, "Data TF", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 1, get_tf_name(inp_tf) + " 🔒",
               text_color=color.new(#64B5F6, 0), text_size=size.small)

    // Lookback window
    table.cell(info_table, 0, 2, "Window", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 2, get_tf_bars_label(inp_tf, inp_lookback),
               text_color=color.new(#B0BEC5, 0), text_size=size.small)

    // Zone
    table.cell(info_table, 0, 3, "Zone", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 3, current_zone, text_color=bar_color, text_size=size.normal)

    // Z-Score
    table.cell(info_table, 0, 4, "Z-Score", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 4, str.tostring(z_htf, "#.##"), text_color=bar_color, text_size=size.small)

    // Price vs Fair Value
    deviation_pct = close_htf > 0 and fv_htf > 0 ? (close_htf / fv_htf - 1) * 100 : 0.0
    table.cell(info_table, 0, 5, "vs Fair Value", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 5, str.tostring(deviation_pct, "+#.#") + "%",
               text_color=deviation_pct > 0 ? color.red : color.green, text_size=size.small)

    // Fair Value
    table.cell(info_table, 0, 6, "Fair Value", text_color=color.gray, text_size=size.small)
    table.cell(info_table, 1, 6, str.tostring(fv_htf, format.mintick), text_color=color.white, text_size=size.small)

//=============================================================================
// ALERTS (using locked-TF z-score)
//=============================================================================

is_gift_new      = z_htf < inp_gift_z      and z_htf[1] >= inp_gift_z
is_bubble_new    = z_htf > inp_bubble_z    and z_htf[1] <= inp_bubble_z
is_cheap_new     = z_htf < inp_cheap_z     and z_htf[1] >= inp_cheap_z
is_expensive_new = z_htf > inp_expensive_z and z_htf[1] <= inp_expensive_z

alertcondition(is_gift_new,      "GIFT Zone",      "THE VALUATOR: GIFT Zone! Extreme undervaluation. Z = {{plot_0}}")
alertcondition(is_bubble_new,    "BUBBLE Zone",    "THE VALUATOR: BUBBLE Zone! Extreme overvaluation. Z = {{plot_0}}")
alertcondition(is_cheap_new,     "Cheap Zone",     "THE VALUATOR: Entered Cheap Zone. Z = {{plot_0}}")
alertcondition(is_expensive_new, "Expensive Zone", "THE VALUATOR: Entered Expensive Zone. Z = {{plot_0}}")

// Recovery alert
is_fair_new = math.abs(z_htf) < inp_cheap_z and (math.abs(z_htf[1]) >= inp_cheap_z)
alertcondition(is_fair_new, "Fair Zone", "THE VALUATOR: Returned to Fair Zone. Z = {{plot_0}}")

//=============================================================================
// SIGNAL MARKERS
//=============================================================================

plotshape(is_gift_new,   "Gift Signal",   shape.labelup,   location.bottom, color_gift,
          text="GIFT",   textcolor=color.white, size=size.small)
plotshape(is_bubble_new, "Bubble Signal", shape.labeldown, location.top,    color_bubble,
          text="BUBBLE", textcolor=color.white, size=size.small)