Nadaraya-Watson Envelope

//@version=6
indicator("Nadaraya-Watson Envelope", shorttitle = "NWE", overlay = true, max_lines_count = 500, max_labels_count = 500, max_bars_back = 500)
h       = input.float(8.0, "Bandwidth", minval = 1, step = 0.5, tooltip = "How many bars the smoothing reaches: higher is smoother and slower.")
mult    = input.float(3.0, "Envelope Multiplier", minval = 0, step = 0.1, tooltip = "The bands' distance, in multiples of the mean absolute distance between price and the middle line.")
src     = input.source(close, "Source")
envLen  = input.int(200, "Envelope Length", minval = 10, maxval = 1000, tooltip = "Bars the mean absolute distance is averaged over (without repainting).")
repaint = input.bool(false, "Repainting Smoothing", tooltip = "On: the classic look, smoothing with bars on both sides, redrawn on every bar over the recent window (the past changes; don't backtest on it). Off: each bar only uses itself and the bars before it, so nothing drawn changes later.")
win     = input.int(250, "Repainting Window", minval = 20, maxval = 250, tooltip = "Bars redrawn when repainting is on.")
signals = input.bool(true, "Show Signals", tooltip = "A mark where price crosses back inside a band.")
showMid = input.bool(false, "Show Middle Line")
upCol   = input.color(#ff4d6a, "Upper Band")
dnCol   = input.color(#2ee6a6, "Lower Band")
midCol  = input.color(color.new(#8a959c, 30), "Middle Line")

// ---- Without repainting: each bar's estimate uses only it and the bars before it, up to 4
// bandwidths back (the weight beyond is under 0.04% of the nearest one), so nothing drawn changes
// later. ta.kernel is Vlevel's built-in for the Gaussian-weighted average (a Pine loop doing the
// same sums is far slower).
nw = ta.kernel(src, h, math.min(500, int(math.ceil(h * 4))))
mae = ta.sma(math.abs(src - nw), envLen) * mult
upper = nw + mae
lower = nw - mae
plot(repaint ? na : upper, "Upper", color = upCol, width = 2)
plot(repaint ? na : lower, "Lower", color = dnCol, width = 2)
plot(repaint or not showMid ? na : nw, "Middle", color = midCol)
plotshape(signals and not repaint and ta.crossunder(src, upper), "Sell", style = shape.triangledown, location = location.abovebar, color = upCol, size = size.tiny)
plotshape(signals and not repaint and ta.crossover(src, lower), "Buy", style = shape.triangleup, location = location.belowbar, color = dnCol, size = size.tiny)

// ---- Repainting: on the last bar, every bar of the window smoothed with the bars on both sides of
// it (ta.kernel_window, index 0 = the last bar), and the envelope at the mean absolute distance.
ys = ta.kernel_window(src, h, win)
if repaint and barstate.islast and array.size(ys) > 1
    n = array.size(ys) - 1
    float sae = 0.0
    for i = 0 to n
        sae += math.abs(src[i] - array.get(ys, i))
    m = sae / (n + 1) * mult
    for i = 1 to n
        y0 = array.get(ys, i)
        y1 = array.get(ys, i - 1)
        line.new(bar_index - i, y0 + m, bar_index - i + 1, y1 + m, color = upCol, width = 2)
        line.new(bar_index - i, y0 - m, bar_index - i + 1, y1 - m, color = dnCol, width = 2)
        if showMid
            line.new(bar_index - i, y0, bar_index - i + 1, y1, color = midCol)
        if signals and src[i] > y0 + m and src[i - 1] < y1 + m
            label.new(bar_index - i + 1, src[i - 1], "▼", color = color.new(color.black, 100), textcolor = upCol, style = label.style_label_down, size = size.small)
        if signals and src[i] < y0 - m and src[i - 1] > y1 - m
            label.new(bar_index - i + 1, src[i - 1], "▲", color = color.new(color.black, 100), textcolor = dnCol, style = label.style_label_up, size = size.small)