Answering my own question. The following script creates trend lines that are identical to the Regression Tool. Please note that the script works in Pine Script v5 env.
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © legend507
//@version=5
indicator("Linear regression trend lines", overlay=true)
// Config group 1 - Controls # of days to use for trendline calc and which data to use (open or close).
group1 = "LINEAR REGRESSION SETTING"
lengthInput = input.int(30, title="Length", minval = 1, maxval = 5000, group=group1) // By default use 30 bars. Use 1 bar = 1 day then it's roughly 1 month ago.
sourceInput = input.source(close, title="Source", group=group1)
// Config groups 2 - Controls if a line is visible.
group2 = "LINEAR REGRESSION SWITCH"
useDev1Input = input.bool(true, title="Large LinReg On / Off", group=group2)
useDev2Input = input.bool(true, title="Medium LinReg On / Off", group=group2)
useDev3Input = input.bool(true, title="Small LinReg On / Off", group=group2)
useUpperDevInput = true
upperMultInput = 3.0
useLowerDevInput = true
lowerMultInput = 3.0
useUpperDevInput2 = true
upperMultInput2 = 2.0
useLowerDevInput2 = true
lowerMultInput2 = 2.0
useUpperDevInput3 = true
upperMultInput3 = 1.0
useLowerDevInput3 = true
lowerMultInput3 = 1.0
// Config group 3 - Controls if lines are extended longer on the left / right.
group3 = "LINEAR REGRESSION EXTEND LINES"
extendLeftInput = input.bool(false, "Extend Lines Left", group=group3)
extendRightInput = input.bool(true, "Extend Lines Right", group=group3)
extendStyle = switch
extendLeftInput and extendRightInput => extend.both
extendLeftInput => extend.left
extendRightInput => extend.right
=> extend.none
// Config group 4 - Controls line width.
group4 = "LINEAR REGRESSION WIDTH"
a_lwidth = input.int(2, title='Large LinReg Width', minval=0, maxval=10, group=group4)
b_lwidth = input.int(1, title='Medium LinReg Width', minval=0, maxval=10, group=group4)
c_lwidth = input.int(1, title='Small LinReg Width', minval=0, maxval=10, group=group4)
d_lwidth = input.int(2, title='Base Line LinReg Width', minval=0, maxval=10, group=group4)
// Config group 5 - Controls line solid, dotted, dashed, etc.
group5 = "LINEAR REGRESSION STYLE"
A_LineStyle_Type = input.string(title='Large LinReg Type', defval='Dotted', options=['Dashed', 'Dotted', 'Solid'], group=group5)
A_Line_Type = A_LineStyle_Type == 'Dashed' ? line.style_dashed : A_LineStyle_Type == 'Dotted' ? line.style_dotted : line.style_solid
B_LineStyle_Type = input.string(title='Medium LinReg Type', defval='Solid', options=['Dashed', 'Dotted', 'Solid'], group=group5)
B_Line_Type = B_LineStyle_Type == 'Dashed' ? line.style_dashed : B_LineStyle_Type == 'Dotted' ? line.style_dotted : line.style_solid
C_LineStyle_Type = input.string(title='Small LinReg Type', defval='Dashed', options=['Dashed', 'Dotted', 'Solid'], group=group5)
C_Line_Type = C_LineStyle_Type == 'Dashed' ? line.style_dashed : C_LineStyle_Type == 'Dotted' ? line.style_dotted : line.style_solid
D_LineStyle_Type = input.string(title='Base Line LinReg Type', defval='Solid', options=['Dashed', 'Dotted', 'Solid'], group=group5)
D_Line_Type = D_LineStyle_Type == 'Dashed' ? line.style_dashed : D_LineStyle_Type == 'Dotted' ? line.style_dotted : line.style_solid
// Config group 6 - Controls line colors.
group6 = "LINEAR REGRESSION COLOR"
colorLarge = input.color(color.new(#ffffff, 0), "Large Linreg", inline=group6, group=group6) // Outer line color default: white
colorMedium = input.color(color.new(#ff0000, 0), "Medium Linreg", inline=group6, group=group6) // Middle line color defaul: red
colorSmall = input.color(color.new(#ffa500, 0), "Small Linreg", inline=group6, group=group6) // Narror line color default: orange
colorBase = input.color(color.new(#0c3299, 0), "Base Line", inline=group6, group=group6) // Baseline color default: blue
// Calculate slope based on input parameter & # of bars to use.
// (This slope calculation is genius.)
calcSlope(source, length) =>
max_bars_back(source, 5000)
// Check if current bar is last or we are only using 1 bar to calculate slope.
if not barstate.islast or length <= 1
[float(na), float(na), float(na)]
else
sumX = 0.0
sumY = 0.0
sumXSqr = 0.0
sumXY = 0.0
for i = 0 to length - 1 by 1
val = source[i]
per = i + 1.0
sumX += per // Sum of 1, 2, 3, ... until length
sumY += val // Sum of price value (default: close)
sumXSqr += per * per
sumXY += val * per
slope = (length * sumXY - sumX * sumY) / (length * sumXSqr - sumX * sumX)
average = sumY / length
intercept = average - slope * sumX / length + slope
[slope, average, intercept]
// Slope, average, intercept.
[s, a, i] = calcSlope(sourceInput, lengthInput)
// Calculate standard deviation.
calcDev(source, length, slope, average, intercept) =>
upDev = 0.0
dnDev = 0.0
stdDevAcc = 0.0
dsxx = 0.0
dsyy = 0.0
dsxy = 0.0
periods = length - 1
daY = intercept + slope * periods / 2
val = intercept
for j = 0 to periods by 1
price = high[j] - val
if price > upDev
upDev := price
price := val - low[j]
if price > dnDev
dnDev := price
price := source[j]
dxt = price - average
dyt = val - daY
price -= val
stdDevAcc += price * price
dsxx += dxt * dxt
dsyy += dyt * dyt
dsxy += dxt * dyt
val += slope
stdDev = math.sqrt(stdDevAcc / (periods == 0 ? 1 : periods))
pearsonR = dsxx == 0 or dsyy == 0 ? 0 : dsxy / math.sqrt(dsxx * dsyy)
[stdDev, pearsonR, upDev, dnDev]
[stdDev, pearsonR, upDev, dnDev] = calcDev(sourceInput, lengthInput, s, a, i)
// Draw trendlines based on returns of calcSlope and calcDev.
drawTrendlines(lengthInput, s, a, i, stdDev, pearsonR, upDev, dnDev) =>
// linreg base function
startPrice = i + s * (lengthInput - 1)
endPrice = i
var line baseLine = na
if na(baseLine) and not na(startPrice)
baseLine := line.new(bar_index - lengthInput + 1, startPrice, bar_index, endPrice, width=d_lwidth, style=D_Line_Type, extend=extendStyle, color=colorBase)
else
line.set_xy1(baseLine, bar_index - lengthInput + 1, startPrice)
line.set_xy2(baseLine, bar_index, endPrice)
na
// large linreg function
upperStartPrice = startPrice + (useUpperDevInput ? upperMultInput * stdDev : upDev)
upperEndPrice = endPrice + (useUpperDevInput ? upperMultInput * stdDev : upDev)
var line upper = na
lowerStartPrice = startPrice + (useLowerDevInput ? -lowerMultInput * stdDev : -dnDev)
lowerEndPrice = endPrice + (useLowerDevInput ? -lowerMultInput * stdDev : -dnDev)
var line lower = na
if na(upper) and not na(upperStartPrice)
upper := useDev1Input ? line.new(bar_index - lengthInput + 1, upperStartPrice, bar_index, upperEndPrice, width=a_lwidth, style=A_Line_Type, extend=extendStyle, color=colorLarge) : na
else
line.set_xy1(upper, bar_index - lengthInput + 1, upperStartPrice)
line.set_xy2(upper, bar_index, upperEndPrice)
na
if na(lower) and not na(lowerStartPrice)
lower := useDev1Input ? line.new(bar_index - lengthInput + 1, lowerStartPrice, bar_index, lowerEndPrice, width=a_lwidth, style=A_Line_Type, extend=extendStyle, color=colorLarge) : na
else
line.set_xy1(lower, bar_index - lengthInput + 1, lowerStartPrice)
line.set_xy2(lower, bar_index, lowerEndPrice)
na
// medium linreg function
upperStartPrice2 = startPrice + (useUpperDevInput2 ? upperMultInput2 * stdDev : upDev)
upperEndPrice2 = endPrice + (useUpperDevInput2 ? upperMultInput2 * stdDev : upDev)
var line upper2 = na
lowerStartPrice2 = startPrice + (useLowerDevInput2 ? -lowerMultInput2 * stdDev : -dnDev)
lowerEndPrice2 = endPrice + (useLowerDevInput2 ? -lowerMultInput2 * stdDev : -dnDev)
var line lower2 = na
if na(upper2) and not na(upperStartPrice2)
upper2 := useDev2Input ? line.new(bar_index - lengthInput + 1, upperStartPrice2, bar_index, upperEndPrice2, width=b_lwidth, style=B_Line_Type, extend=extendStyle, color=colorMedium) : na
else
line.set_xy1(upper2, bar_index - lengthInput + 1, upperStartPrice2)
line.set_xy2(upper2, bar_index, upperEndPrice2)
na
if na(lower2) and not na(lowerStartPrice2)
lower2 := useDev2Input ? line.new(bar_index - lengthInput + 1, lowerStartPrice2, bar_index, lowerEndPrice2, width=b_lwidth, style=B_Line_Type, extend=extendStyle, color=colorMedium) : na
else
line.set_xy1(lower2, bar_index - lengthInput + 1, lowerStartPrice2)
line.set_xy2(lower2, bar_index, lowerEndPrice2)
na
// small linreg fuction
upperStartPrice3 = startPrice + (useUpperDevInput3 ? upperMultInput3 * stdDev : upDev)
upperEndPrice3 = endPrice + (useUpperDevInput3 ? upperMultInput3 * stdDev : upDev)
var line upper3 = na
lowerStartPrice3 = startPrice + (useLowerDevInput3 ? -lowerMultInput3 * stdDev : -dnDev)
lowerEndPrice3 = endPrice + (useLowerDevInput3 ? -lowerMultInput3 * stdDev : -dnDev)
var line lower3 = na
if na(upper3) and not na(upperStartPrice3)
upper3 := useDev3Input ? line.new(bar_index - lengthInput + 1, upperStartPrice3, bar_index, upperEndPrice3, width=c_lwidth, style=C_Line_Type, extend=extendStyle, color=colorSmall) : na
else
line.set_xy1(upper3, bar_index - lengthInput + 1, upperStartPrice3)
line.set_xy2(upper3, bar_index, upperEndPrice3)
na
if na(lower3) and not na(lowerStartPrice3)
lower3 := useDev3Input ? line.new(bar_index - lengthInput + 1, lowerStartPrice3, bar_index, lowerEndPrice3, width=c_lwidth, style=C_Line_Type, extend=extendStyle, color=colorSmall) : na
else
line.set_xy1(lower3, bar_index - lengthInput + 1, lowerStartPrice3)
line.set_xy2(lower3, bar_index, lowerEndPrice3)
na
// Add tag to show slope to indicate strength of the trend.
slopeLabel = label.new(bar_index - lengthInput + 1, upperStartPrice)
label.set_text(slopeLabel, str.tostring(pearsonR)) // pearsonR is what is used in the official regression tool.
drawTrendlines(lengthInput, s, a, i, stdDev, pearsonR, upDev, dnDev)
