QuanTAlib/lib/volatility/bbwp/bbwp.pine

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Bollinger Band Width Percentile (BBWP)", "BBWP", overlay=false, format=format.percent)

//@function Calculates Bollinger Band Width Percentile relative to historical range
//@param source Series to calculate Bollinger Bands from
//@param period Lookback period for BB calculations
//@param multiplier Standard deviation multiplier for band width
//@param lookback Historical lookback period for percentile calculation
//@returns BBWP value representing current BBW percentile in historical range
//@optimized for performance and dirty data
bbwp(series float source, simple int period, simple float multiplier, simple int lookback) =>
    var int p = math.max(1, period), var int head = 0, var int count = 0
    var array<float> buffer = array.new_float(p, na)
    var float sum = 0.0, var float sumSq = 0.0
    float oldest = array.get(buffer, head)
    if not na(oldest)
        sum -= oldest
        sumSq -= oldest * oldest
        count -= 1
    float current_val = nz(source)
    sum += current_val
    sumSq += current_val * current_val
    count += 1
    array.set(buffer, head, current_val)
    head := (head + 1) % p
    float basis = nz(sum / count, source)
    float dev = count > 1 ? multiplier * math.sqrt(math.max(0.0, sumSq / count - basis * basis)) : 0.0
    float bbw = basis != 0.0 ? 2 * dev / basis : 0.0
    var int l = math.max(1, lookback), var int hist_head = 0, var int hist_count = 0
    var array<float> hist_buffer = array.new_float(l, na)
    float hist_oldest = array.get(hist_buffer, hist_head)
    if not na(hist_oldest)
        hist_count -= 1
    if not na(bbw)
        hist_count += 1
    array.set(hist_buffer, hist_head, bbw)
    hist_head := (hist_head + 1) % l
    if hist_count < 2
        0.5
    else
        int below_count = 0
        for i = 0 to hist_count - 1
            float val = array.get(hist_buffer, i)
            if not na(val) and val < bbw
                below_count += 1
        below_count / hist_count

// ---------- Main loop ----------

// Inputs
i_period = input.int(20, "Period", minval=1)
i_source = input.source(close, "Source")
i_multiplier = input.float(2.0, "StdDev Multiplier", minval=0.001)
i_lookback = input.int(252, "Lookback Period", minval=1)

// Calculation
bbwp_value = bbwp(i_source, i_period, i_multiplier, i_lookback)

// Plot
plot(bbwp_value, "BBWP", color=color.yellow, linewidth=2)