kNN Market Architecture

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05/13/2026 at 12:58 PM #261053 quote

Maricarmen
Participant

Veteran

Hola: Se podría hacer el Screener de este indicador.
Gracias,
//———————————————-
//PRC_kNN Market Architecture [LuxAlgo]
//Indicador 1/2 — estructura, BOS, profile, delta tank, kNN filter (opt-in)
//version = 2
//27.04.2026
//Iván González @ http://www.prorealcode.com
//Sharing ProRealTime knowledge
//———————————————-
defparam drawonlastbaronly = true
defparam calculateonlastbars = 1500

// === INPUTS ===
sensitivityInput = 5
autoSensitivity = 1

showST      = 1
showMT      = 1
showLT      = 1
biasSource    = 3

showSTBOS    = 1
showMTBOS    = 0
showLTBOS    = 1

showDeltaTank  = 1
showVP      = 1
vpRows      = 30
vpWidth     = 50
vpOffset     = 10

stOffsetMult   = 0.5
mtOffsetMult   = 1.5
ltOffsetMult   = 2.5

// Optional kNN filter (applied to LT term only).
// Replaces the placebo “kNN classifier” of the Pine original (score=1.0 hardcoded)
// with a real score: percentile rank of pivot bar volume, autocalibrated per asset.
useKnn      = 0   // 0=off (default), 1=filter LT pivots with kNN
knnK       = 5
knnThreshold   = 0.7  // minimum percentile (0.7 = top 30% of volume)
pctWindow    = 100  // percentile rank window (bars before pivot)

// === COLOURS (RGB) ===
bullR = 8
bullG = 153
bullB = 129
bearR = 242
bearG = 54
bearB = 69
neuR = 120
neuG = 123
neuB = 134

// === DYNAMIC ENGINE ===
atrLong = averagetruerange[200]
avgAtrL = average[200](atrLong)
if avgAtrL > 0 then
  volRatio = atrLong / avgAtrL
else
  volRatio = 1.0
endif
smoothedRatio = exponentialaverage[50](volRatio)

if autoSensitivity = 1 and smoothedRatio > 0 then
  dynMult = exp(1.5 * log(smoothedRatio))
else
  dynMult = 1.0
endif

baseLen = max(3, round((11 – sensitivityInput) * dynMult))
mtLen  = baseLen * 3
ltLen  = mtLen * 3

atr14 = averagetruerange[14]
stOffset = atr14 * stOffsetMult
mtOffset = atr14 * mtOffsetMult
ltOffset = atr14 * ltOffsetMult

// Features for the kNN scoring (relAtr and relVol of current bar)
avgAtr14 = average[100](atr14)
if avgAtr14 > 0 then
  relAtr = atr14 / avgAtr14
else
  relAtr = 1.0
endif

avg100Vol = average[100](volume)
if avg100Vol > 0 then
  relVol = volume / avg100Vol
else
  relVol = 1.0
endif

// === PERSISTENT STATE ===
once stB = 0
once mtB = 0
once ltB = 0
once stHactive = 0
once stLactive = 0
once mtHactive = 0
once mtLactive = 0
once ltHactive = 0
once ltLactive = 0
once stHy = 0
once stHx = 0
once stLy = 0
once stLx = 0
once mtHy = 0
once mtHx = 0
once mtLy = 0
once mtLx = 0
once ltHy = 0
once ltHx = 0
once ltLy = 0
once ltLx = 0
once lastSTHigh = 0
once lastSTLow = 0
once lastMTHigh = 0
once lastMTLow = 0
once lastLTHigh = 0
once lastLTLow = 0

// kNN history for the LT filter
once ltHistCount = 0

// === ST: pivots + BOS ===
stPHfound = 0
stPLfound = 0
if barindex > 2*baseLen + 1 then
  if high[baseLen] = highest[2*baseLen+1](high) and high[baseLen] > high[baseLen+1] and high[baseLen] >= high[baseLen-1] then
   stPHfound = 1
  endif
  if low[baseLen] = lowest[2*baseLen+1](low) and low[baseLen] < low[baseLen+1] and low[baseLen] <= low[baseLen-1] then
   stPLfound = 1
  endif
endif

if stPHfound = 1 then
  stHy = high[baseLen]
  stHx = barindex – baseLen
  stHactive = 1
  lastSTHigh = stHy
endif
if stPLfound = 1 then
  stLy = low[baseLen]
  stLx = barindex – baseLen
  stLactive = 1
  lastSTLow = stLy
endif

if stHactive = 1 and close > stHy then
  $stBosX1[stB] = stHx
  $stBosX2[stB] = barindex
  $stBosY[stB] = stHy
  $stBosDir[stB] = 1
  stB = stB + 1
  stHactive = 0
endif
if stLactive = 1 and close < stLy then
  $stBosX1[stB] = stLx
  $stBosX2[stB] = barindex
  $stBosY[stB] = stLy
  $stBosDir[stB] = -1
  stB = stB + 1
  stLactive = 0
endif

// === MT ===
mtPHfound = 0
mtPLfound = 0
if barindex > 2*mtLen + 1 then
  if high[mtLen] = highest[2*mtLen+1](high) and high[mtLen] > high[mtLen+1] and high[mtLen] >= high[mtLen-1] then
   mtPHfound = 1
  endif
  if low[mtLen] = lowest[2*mtLen+1](low) and low[mtLen] < low[mtLen+1] and low[mtLen] <= low[mtLen-1] then
   mtPLfound = 1
  endif
endif

if mtPHfound = 1 then
  mtHy = high[mtLen]
  mtHx = barindex – mtLen
  mtHactive = 1
  lastMTHigh = mtHy
endif
if mtPLfound = 1 then
  mtLy = low[mtLen]
  mtLx = barindex – mtLen
  mtLactive = 1
  lastMTLow = mtLy
endif

if mtHactive = 1 and close > mtHy then
  $mtBosX1[mtB] = mtHx
  $mtBosX2[mtB] = barindex
  $mtBosY[mtB] = mtHy
  $mtBosDir[mtB] = 1
  mtB = mtB + 1
  mtHactive = 0
endif
if mtLactive = 1 and close < mtLy then
  $mtBosX1[mtB] = mtLx
  $mtBosX2[mtB] = barindex
  $mtBosY[mtB] = mtLy
  $mtBosDir[mtB] = -1
  mtB = mtB + 1
  mtLactive = 0
endif

// === LT ===
ltPHfound = 0
ltPLfound = 0
if barindex > 2*ltLen + 1 then
  if high[ltLen] = highest[2*ltLen+1](high) and high[ltLen] > high[ltLen+1] and high[ltLen] >= high[ltLen-1] then
   ltPHfound = 1
  endif
  if low[ltLen] = lowest[2*ltLen+1](low) and low[ltLen] < low[ltLen+1] and low[ltLen] <= low[ltLen-1] then
   ltPLfound = 1
  endif
endif

// === Optional kNN filter for LT (see Appendix) ===
// Replaces the placebo “kNN classifier” of the Pine original with a real score:
// percentile rank of the pivot bar’s volume over the previous pctWindow bars.
// If the kNN score is below threshold, the pivot is suppressed (no active line).
if useKnn = 1 and (ltPHfound = 1 or ltPLfound = 1) then
  curFeat1 = relAtr[ltLen]
  curFeat2 = relVol[ltLen]
  volPivot = volume[ltLen]

  // 1) Score = percentile rank of pivot bar volume in previous pctWindow bars
  maxBack = barindex – ltLen
  if maxBack > pctWindow then
   maxBack = pctWindow
  endif
  if maxBack >= 20 then
   pctCount = 0
   for jPct = 0 to maxBack – 1 do
     if volume[ltLen + jPct] <= volPivot then
      pctCount = pctCount + 1
     endif
   next
   curScore = pctCount / maxBack
  else
   curScore = relVol[ltLen]
  endif

  // 2) kNN score = average of K nearest neighbours’ scores in feature-space
  if ltHistCount < knnK then
   knnScoreLT = 0.5
  else
   for iKnn = 0 to ltHistCount – 1 do
     $ltDist[iKnn]  = abs(curFeat1 – $ltHF1[iKnn]) + abs(curFeat2 – $ltHF2[iKnn])
     $ltSortIdx[iKnn] = iKnn
   next

   for iiKnn = 0 to knnK – 1 do
     for jjKnn = iiKnn + 1 to ltHistCount – 1 do
      idxI = $ltSortIdx[iiKnn]
      idxJ = $ltSortIdx[jjKnn]
      if $ltDist[idxJ] < $ltDist[idxI] then
        $ltSortIdx[iiKnn] = idxJ
        $ltSortIdx[jjKnn] = idxI
      endif
     next
   next

   sumKnn = 0
   for kKnn = 0 to knnK – 1 do
     kIdx = $ltSortIdx[kKnn]
     sumKnn = sumKnn + $ltHSc[kIdx]
   next
   knnScoreLT = sumKnn / knnK
  endif

  // 3) Push to history (always, FIFO 100)
  if ltHistCount >= 100 then
   for shKnn = 0 to 98 do
     $ltHF1[shKnn] = $ltHF1[shKnn+1]
     $ltHF2[shKnn] = $ltHF2[shKnn+1]
     $ltHSc[shKnn] = $ltHSc[shKnn+1]
   next
   $ltHF1[99] = curFeat1
   $ltHF2[99] = curFeat2
   $ltHSc[99] = curScore
  else
   $ltHF1[ltHistCount] = curFeat1
   $ltHF2[ltHistCount] = curFeat2
   $ltHSc[ltHistCount] = curScore
   ltHistCount = ltHistCount + 1
  endif

  // 4) Apply filter: suppress pivot if score < threshold
  if knnScoreLT < knnThreshold then
   ltPHfound = 0
   ltPLfound = 0
  endif
endif

if ltPHfound = 1 then
  ltHy = high[ltLen]
  ltHx = barindex – ltLen
  ltHactive = 1
  lastLTHigh = ltHy
endif
if ltPLfound = 1 then
  ltLy = low[ltLen]
  ltLx = barindex – ltLen
  ltLactive = 1
  lastLTLow = ltLy
endif

if ltHactive = 1 and close > ltHy then
  $ltBosX1[ltB] = ltHx
  $ltBosX2[ltB] = barindex
  $ltBosY[ltB] = ltHy
  $ltBosDir[ltB] = 1
  ltB = ltB + 1
  ltHactive = 0
endif
if ltLactive = 1 and close < ltLy then
  $ltBosX1[ltB] = ltLx
  $ltBosX2[ltB] = barindex
  $ltBosY[ltB] = ltLy
  $ltBosDir[ltB] = -1
  ltB = ltB + 1
  ltLactive = 0
endif

// === BIAS ===
if biasSource = 1 then
  selectedHigh = lastSTHigh
  selectedLow = lastSTLow
elsif biasSource = 2 then
  selectedHigh = lastMTHigh
  selectedLow = lastMTLow
elsif biasSource = 3 then
  selectedHigh = lastLTHigh
  selectedLow = lastLTLow
else
  selectedHigh = 0
  selectedLow = 0
endif

biasState = 0
if selectedHigh > 0 and selectedLow > 0 then
  if close > selectedHigh then
   biasState = 1
  elsif close < selectedLow then
   biasState = -1
  endif
endif

// === RENDERING (last bar only) ===
if islastbarupdate then

  // ST: active line + BOS
  if showST = 1 then
   if stHactive = 1 then
     drawsegment(stHx, stHy, barindex, stHy) coloured(bullR, bullG, bullB) style(dottedline, 1)
   endif
   if stLactive = 1 then
     drawsegment(stLx, stLy, barindex, stLy) coloured(bearR, bearG, bearB) style(dottedline, 1)
   endif
   for i = 0 to stB – 1 do
     if $stBosDir[i] = 1 then
      drawsegment($stBosX1[i], $stBosY[i], $stBosX2[i], $stBosY[i]) coloured(bullR, bullG, bullB) style(dottedline, 1)
      if showSTBOS = 1 then
        midX = round(($stBosX1[i] + $stBosX2[i]) / 2)
        drawtext(“ST BOS”, midX, $stBosY[i] + stOffset) coloured(bullR, bullG, bullB)
      endif
     else
      drawsegment($stBosX1[i], $stBosY[i], $stBosX2[i], $stBosY[i]) coloured(bearR, bearG, bearB) style(dottedline, 1)
      if showSTBOS = 1 then
        midX = round(($stBosX1[i] + $stBosX2[i]) / 2)
        drawtext(“ST BOS”, midX, $stBosY[i] – stOffset) coloured(bearR, bearG, bearB)
      endif
     endif
   next
  endif

  // MT: active line + BOS
  if showMT = 1 then
   if mtHactive = 1 then
     drawsegment(mtHx, mtHy, barindex, mtHy) coloured(bullR, bullG, bullB) style(dottedline2, 1)
   endif
   if mtLactive = 1 then
     drawsegment(mtLx, mtLy, barindex, mtLy) coloured(bearR, bearG, bearB) style(dottedline2, 1)
   endif
   for i = 0 to mtB – 1 do
     if $mtBosDir[i] = 1 then
      drawsegment($mtBosX1[i], $mtBosY[i], $mtBosX2[i], $mtBosY[i]) coloured(bullR, bullG, bullB) style(dottedline2, 1)
      if showMTBOS = 1 then
        midX = round(($mtBosX1[i] + $mtBosX2[i]) / 2)
        drawtext(“MT BOS”, midX, $mtBosY[i] + mtOffset) coloured(bullR, bullG, bullB)
      endif
     else
      drawsegment($mtBosX1[i], $mtBosY[i], $mtBosX2[i], $mtBosY[i]) coloured(bearR, bearG, bearB) style(dottedline2, 1)
      if showMTBOS = 1 then
        midX = round(($mtBosX1[i] + $mtBosX2[i]) / 2)
        drawtext(“MT BOS”, midX, $mtBosY[i] – mtOffset) coloured(bearR, bearG, bearB)
      endif
     endif
   next
  endif

  // LT: active line + BOS
  if showLT = 1 then
   if ltHactive = 1 then
     drawsegment(ltHx, ltHy, barindex, ltHy) coloured(bullR, bullG, bullB) style(line, 2)
   endif
   if ltLactive = 1 then
     drawsegment(ltLx, ltLy, barindex, ltLy) coloured(bearR, bearG, bearB) style(line, 2)
   endif
   for i = 0 to ltB – 1 do
     if $ltBosDir[i] = 1 then
      drawsegment($ltBosX1[i], $ltBosY[i], $ltBosX2[i], $ltBosY[i]) coloured(bullR, bullG, bullB) style(line, 2)
      if showLTBOS = 1 then
        midX = round(($ltBosX1[i] + $ltBosX2[i]) / 2)
        drawtext(“LT BOS”, midX, $ltBosY[i] + ltOffset) coloured(bullR, bullG, bullB)
      endif
     else
      drawsegment($ltBosX1[i], $ltBosY[i], $ltBosX2[i], $ltBosY[i]) coloured(bearR, bearG, bearB) style(line, 2)
      if showLTBOS = 1 then
        midX = round(($ltBosX1[i] + $ltBosX2[i]) / 2)
        drawtext(“LT BOS”, midX, $ltBosY[i] – ltOffset) coloured(bearR, bearG, bearB)
      endif
     endif
   next
  endif

  // VOLUME PROFILE (anchored to selected term)
  if showVP = 1 and selectedHigh > 0 and selectedLow > 0 and selectedHigh > selectedLow then
   if biasSource = 1 then
     vpFirstBar = stHx
     if stLx < vpFirstBar then
      vpFirstBar = stLx
     endif
   elsif biasSource = 2 then
     vpFirstBar = mtHx
     if mtLx < vpFirstBar then
      vpFirstBar = mtLx
     endif
   else
     vpFirstBar = ltHx
     if ltLx < vpFirstBar then
      vpFirstBar = ltLx
     endif
   endif
   vpLook = barindex – vpFirstBar
   if vpLook > 499 then
     vpLook = 499
   endif
   if vpLook < 30 then
     vpLook = 30
   endif

   vpRange = selectedHigh – selectedLow
   vpStep = vpRange / vpRows

   for i = 0 to vpRows – 1 do
     $vpBin[i] = 0
   next

   for i = 0 to vpLook do
     priceI = close[i]
     if priceI >= selectedLow and priceI <= selectedHigh then
      binIdx = floor((priceI – selectedLow) / vpStep)
      if binIdx > vpRows – 1 then
        binIdx = vpRows – 1
      endif
      if binIdx < 0 then
        binIdx = 0
      endif
      $vpBin[binIdx] = $vpBin[binIdx] + volume[i]
     endif
   next

   maxV = 0
   pocIdx = 0
   for i = 0 to vpRows – 1 do
     if $vpBin[i] > maxV then
      maxV = $vpBin[i]
      pocIdx = i
     endif
   next

   if maxV > 0 then
     vpRight = barindex + vpOffset
     for i = 0 to vpRows – 1 do
      v = $vpBin[i]
      if v > 0 then
        binBot = selectedLow + i * vpStep
        binTop = binBot + vpStep
        binW = round((v / maxV) * vpWidth)
        vpLeft = vpRight – binW
        if i = pocIdx then
         bcR = neuR
         bcG = neuG
         bcB = neuB
        elsif i > pocIdx then
         bcR = bullR
         bcG = bullG
         bcB = bullB
        else
         bcR = bearR
         bcG = bearG
         bcB = bearB
        endif
        drawrectangle(vpLeft, binTop, vpRight, binBot) coloured(bcR, bcG, bcB, 0) fillcolor(bcR, bcG, bcB, 80)
      endif
     next
   endif
  endif

  // DELTA TANK
  if showDeltaTank = 1 and biasSource <> 0 then
   if biasSource = 1 then
     dtHact = stHactive
     dtHx  = stHx
     dtHy  = stHy
     dtLact = stLactive
     dtLx  = stLx
     dtLy  = stLy
   elsif biasSource = 2 then
     dtHact = mtHactive
     dtHx  = mtHx
     dtHy  = mtHy
     dtLact = mtLactive
     dtLx  = mtLx
     dtLy  = mtLy
   else
     dtHact = ltHactive
     dtHx  = ltHx
     dtHy  = ltHy
     dtLact = ltLactive
     dtLx  = ltLx
     dtLy  = ltLy
   endif

   if dtHact = 1 then
     barsBackH = barindex – dtHx
     if barsBackH > 0 and barsBackH < 500 then
      cumVolH = 0
      cumDeltaH = 0
      for i = 0 to barsBackH do
        cumVolH = cumVolH + volume[i]
        if close[i] > open[i] then
         cumDeltaH = cumDeltaH + volume[i]
        elsif close[i] < open[i] then
         cumDeltaH = cumDeltaH – volume[i]
        endif
      next
      if cumVolH > 0 then
        deltaPctH = round(abs(cumDeltaH) / cumVolH * 100)
        if cumDeltaH >= 0 then
         drawtext(“Delta H +#deltaPctH#%”, barindex + 8, dtHy) coloured(bullR, bullG, bullB)
        else
         drawtext(“Delta H -#deltaPctH#%”, barindex + 8, dtHy) coloured(bearR, bearG, bearB)
        endif
      endif
     endif
   endif

   if dtLact = 1 then
     barsBackL = barindex – dtLx
     if barsBackL > 0 and barsBackL < 500 then
      cumVolL = 0
      cumDeltaL = 0
      for i = 0 to barsBackL do
        cumVolL = cumVolL + volume[i]
        if close[i] > open[i] then
         cumDeltaL = cumDeltaL + volume[i]
        elsif close[i] < open[i] then
         cumDeltaL = cumDeltaL – volume[i]
        endif
      next
      if cumVolL > 0 then
        deltaPctL = round(abs(cumDeltaL) / cumVolL * 100)
        if cumDeltaL >= 0 then
         drawtext(“Delta L +#deltaPctL#%”, barindex + 8, dtLy) coloured(bullR, bullG, bullB)
        else
         drawtext(“Delta L -#deltaPctL#%”, barindex + 8, dtLy) coloured(bearR, bearG, bearB)
        endif
      endif
     endif
   endif
  endif

  // BIAS LABEL
  if biasSource <> 0 then
   if biasState = 1 then
     drawtext(“Bias: Bullish”, barindex + 5, high + 3*atr14) coloured(bullR, bullG, bullB)
   elsif biasState = -1 then
     drawtext(“Bias: Bearish”, barindex + 5, high + 3*atr14) coloured(bearR, bearG, bearB)
   else
     drawtext(“Bias: Neutral”, barindex + 5, high + 3*atr14) coloured(neuR, neuG, neuB)
   endif
  endif

endif

return

05/13/2026 at 4:36 PM #261060 quote
Iván González
Moderator

Legend
Aquí tienes un screener que detecta las roturas de las BOS long term. A partir de aquí te lo dejo a ti para que modifiques lo que necesites.
```
//----------------------------------------------
//PRC_kNN Market Architecture [LuxAlgo] — Screener LT BOS
//version = 1
//13.05.2026
//Ivan Gonzalez @ www.prorealcode.com
//Sharing ProRealTime knowledge
//----------------------------------------------

// === INPUTS ===
sensitivityInput = 5     // 1..10 (mayor = pivots más grandes)
autoSensitivity  = 1     // 1=on, 0=off (longitud por volatilidad)
lookbackBOS      = 5     // BOS confirmado hace ≤ N barras

// === MOTOR DINÁMICO (idéntico al indicador) ===
atrLong = averagetruerange[200]
avgAtrL = average[200](atrLong)
if avgAtrL > 0 then
   volRatio = atrLong / avgAtrL
else
   volRatio = 1.0
endif
smoothedRatio = exponentialaverage[50](volRatio)

if autoSensitivity = 1 and smoothedRatio > 0 then
   dynMult = exp(1.5 * log(smoothedRatio))
else
   dynMult = 1.0
endif

baseLen = max(3, round((11 - sensitivityInput) * dynMult))
ltLen   = baseLen * 9   // término LT = baseLen × 3 × 3

// === LT PIVOTS + BOS ===
once ltHy           = 0
once ltLy           = 0
once ltHactive      = 0
once ltLactive      = 0
once lastBOSbarBull = -1
once lastBOSbarBear = -1

if barindex > 2*ltLen + 1 then
   if high[ltLen] = highest[2*ltLen+1](high) and high[ltLen] > high[ltLen+1] and high[ltLen] >= high[ltLen-1] then
      ltHy = high[ltLen]
      ltHactive = 1
   endif
   if low[ltLen] = lowest[2*ltLen+1](low) and low[ltLen] < low[ltLen+1] and low[ltLen] <= low[ltLen-1] then
      ltLy = low[ltLen]
      ltLactive = 1
   endif
endif

if ltHactive = 1 and close > ltHy then
   lastBOSbarBull = barindex
   ltHactive = 0
endif

if ltLactive = 1 and close < ltLy then
   lastBOSbarBear = barindex
   ltLactive = 0
endif

// Selecciona el BOS más reciente (en cualquier dirección)
if lastBOSbarBull >= lastBOSbarBear then
   lastBOSbar = lastBOSbarBull
   bosDir = 1
else
   lastBOSbar = lastBOSbarBear
   bosDir = 0
endif

barsSinceBOS = barindex - lastBOSbar

SCREENER[lastBOSbar > 0 AND barsSinceBOS <= lookbackBOS](barsSinceBOS AS "Bars since BOS", bosDir AS "Bullish/Bearish")
```
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