Basket residual

// How much of this market's move a basket's common moves don't explain. PCA finds the moves the
// basket shares (the first is usually the whole market rising and falling together); what is left
// of this market's return is its own, in standard deviations. Far from 0, it moved on its own:
// the raw material of a stat-arb trade. The chart's market is always in the basket.
indicator('Basket residual', { shortName: 'Resid z', precision: 2 });

const markets = input.markets('Basket', ['BTC', 'ETH', 'SOL', 'HYPE', 'XRP', 'DOGE', 'BNB', 'AVAX', 'LINK', 'SUI']);
const window = input.int('Window', 500, { min: 50, max: 5000, tooltip: 'Bars the components are estimated over' });
const components = input.int('Components', 3, { min: 1, max: 10, tooltip: 'Common moves taken out' });

const chart = bars();
const legs = [chart, ...markets.filter((m) => m !== chart.market.symbol).map((m) => bars({ market: m }))];
const pca = ml.pca(Math.max(2, legs.length), { window: Math.max(window, legs.length + 1), components: Math.min(components, legs.length) });

const resid = plot.histogram('Residual z');
const common = plot.line('First component share', { hidden: true, precision: 2 });
plot.level('Own move up', 2, { style: 'dashed' });
plot.level('Own move down', -2, { style: 'dashed' });

chart.onClose(() => {
  const returns = legs.map((leg) => Math.log(leg.close / leg.ago(1).close));
  const p = pca.update(returns);
  const z = p.residualZ(0);
  resid.set(z, z >= 0 ? color.up : color.down);
  common.set(p.explained[0] * 100);
});