ml_forecast Probabilistic forecasting toolkit
The “emit P(event), don’t assert yes/no” pillar: an analytical volatility cone, an empirical session-open reach-probability counter, a robust (Theil-Sen) trendline, a pretrained logistic hazard head with its survival curve, total-variation distance for scoring a predicted distribution, and empirical-Bayes trust shrinkage.
Design: Pine has no RNG, so the cone is ANALYTICAL (z·σ·√h) — deterministic and non-repainting, not a random Monte-Carlo. The hazard head is a FORWARD PASS over weights you train OFFLINE (logistic regression on your labeled events) and pass frozen — the library does the inference, not the training. Stateful pieces (reach counters) keep their state HOST-side; this library owns the math.
Concept credit: volatility cones, empirical reach/touch probability, Theil-Sen robust regression, discrete-time survival hazards, total-variation distance, and empirical-Bayes shrinkage are standard statistical techniques — original, dependency-free Pine v6 packaging. Educational; not financial advice.
Library "ml_forecast"
volCone(price, sigmaPerBar, horizon, z)
Parameters:
price (float)
sigmaPerBar (float)
horizon (simple int)
z (simple float)
reachRecord(hits, maxExcursionPct, stepPct)
Parameters:
hits (array<float>)
maxExcursionPct (float)
stepPct (simple float)
reachProb(hits, k, sessions)
Parameters:
hits (array<float>)
k (int)
sessions (float)
theilSen(src, len)
Parameters:
src (float)
len (simple int)
logisticHazard(features, weights, bias)
Parameters:
features (array<float>)
weights (array<float>)
bias (simple float)
survivalProb(p0, h, k)
Parameters:
p0 (float)
h (float)
k (simple int)
survLen(p0, h, kmax)
Parameters:
p0 (float)
h (float)
kmax (simple int)
tvd(p, q)
Parameters:
p (array<float>)
q (array<float>)
trustWeight(trustCx, trustCc)
Parameters:
trustCx (float)
trustCc (float)
trustShrink(forecast, realized, trust)
Parameters:
forecast (float)
realized (float)
trust (float)
Design: Pine has no RNG, so the cone is ANALYTICAL (z·σ·√h) — deterministic and non-repainting, not a random Monte-Carlo. The hazard head is a FORWARD PASS over weights you train OFFLINE (logistic regression on your labeled events) and pass frozen — the library does the inference, not the training. Stateful pieces (reach counters) keep their state HOST-side; this library owns the math.
Concept credit: volatility cones, empirical reach/touch probability, Theil-Sen robust regression, discrete-time survival hazards, total-variation distance, and empirical-Bayes shrinkage are standard statistical techniques — original, dependency-free Pine v6 packaging. Educational; not financial advice.
Library "ml_forecast"
volCone(price, sigmaPerBar, horizon, z)
Parameters:
price (float)
sigmaPerBar (float)
horizon (simple int)
z (simple float)
reachRecord(hits, maxExcursionPct, stepPct)
Parameters:
hits (array<float>)
maxExcursionPct (float)
stepPct (simple float)
reachProb(hits, k, sessions)
Parameters:
hits (array<float>)
k (int)
sessions (float)
theilSen(src, len)
Parameters:
src (float)
len (simple int)
logisticHazard(features, weights, bias)
Parameters:
features (array<float>)
weights (array<float>)
bias (simple float)
survivalProb(p0, h, k)
Parameters:
p0 (float)
h (float)
k (simple int)
survLen(p0, h, kmax)
Parameters:
p0 (float)
h (float)
kmax (simple int)
tvd(p, q)
Parameters:
p (array<float>)
q (array<float>)
trustWeight(trustCx, trustCc)
Parameters:
trustCx (float)
trustCc (float)
trustShrink(forecast, realized, trust)
Parameters:
forecast (float)
realized (float)
trust (float)
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.