mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 02:47:44 +00:00
Miha Kralj
76 lines
2.8 KiB
Plaintext
76 lines
2.8 KiB
Plaintext
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0
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// https://mozilla.org/MPL/2.0/
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// © QuanTAlib
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//@version=6
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indicator("Time Series Forecast (TSF)", "TSF", overlay = true)
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//@function Time Series Forecast — fits a least-squares regression line to the
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// lookback window and projects it one bar forward. Mathematically
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// identical to LSMA(offset=1): TSF = intercept + slope, where
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// intercept is the regression endpoint at the newest bar and slope
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// is the per-bar rate of change. Uses reversed-x convention where
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// x=0 is the newest bar.
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//@param source Series to forecast
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//@param period Lookback window (>= 2)
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//@returns Regression value projected one step ahead of the current bar
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//@reference Chande, T. (1994). The New Technical Trader. Wiley.
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//@reference TA-Lib: TA_TSF function
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//@optimized O(period) per bar via circular buffer; same linear regression as LSMA
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tsf(series float source, simple int period) =>
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if period <= 1
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runtime.error("Period must be greater than 1")
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source
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else
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int p = math.min(bar_index + 1, period)
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if p <= 1
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source
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else
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var array<float> buffer = array.new_float(period, na)
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var int head = 0
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array.set(buffer, head, source)
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head := (head + 1) % period
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float sum_y = 0.0
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float sum_xy = 0.0
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float sum_x = 0.0
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float sum_x2 = 0.0
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float count = 0.0
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// Walk buffer: x=0 is newest, x increases going back
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int idx = (head - 1 + period) % period
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for i = 0 to p - 1
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float val = array.get(buffer, idx)
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if not na(val)
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sum_x += i
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sum_y += val
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sum_xy += i * val
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sum_x2 += i * i
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count += 1.0
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idx := (idx - 1 + period) % period
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if count <= 1.0
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source
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else
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float denom = count * sum_x2 - sum_x * sum_x
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if denom == 0.0
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source
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else
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// slope: positive when price is falling (x=0=newest, higher x=older)
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float slope = (count * sum_xy - sum_x * sum_y) / denom
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float intercept = (sum_y - slope * sum_x) / count
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// LSMA = intercept (value at x=0, current bar)
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// TSF = intercept - slope (project one step forward: x=-1)
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intercept - slope
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// ── Inputs ──
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int p_period = input.int(14, "Period", minval = 2)
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float p_src = input.source(close, "Source")
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// ── Calculation ──
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float out = tsf(p_src, p_period)
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// ── Plot ──
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plot(out, "TSF", color.yellow, 2)
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