Nadaraya-Watson Envelope (EMA Proxy)

Category: volatility

A volatility-based envelope calculation that uses a double EMA (DEMA) proxy for a Nadaraya-Watson estimator as the baseline, with standard deviation offsets.

Formula

\text{Baseline} = EMA(EMA(Close, L), L/2) \\ \text{Upper} = \text{Baseline} + (StdDev(Close, L) \times Mult) \\ \text{Lower} = \text{Baseline} - (StdDev(Close, L) \times Mult)

Inputs

• Length (default: 30)
• Multiplier (default: 2.0)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.