volatility indicators

lib/volatility/jvolty/jvolty.pine

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-// The MIT License (MIT)
-// © mihakralj
-//@version=6
-indicator("Jurik Volatility (JVOLTY)", "JVOLTY", overlay=false)
-
-//@function Calculates JVOLTY using adaptive techniques to adjust to market volatility
-//@param source Series to calculate Jvolty from
-//@param period Number of bars used in the calculation
-//@returns JVOLTY volatility
-//@optimized for performance and dirty data
-jvolty(series float source, simple int period) =>
-    var simple float LEN1 = math.max((math.log(math.sqrt(0.5*(period-1))) / math.log(2.0)) + 2.0, 0)
-    var simple float POW1 = math.max(LEN1 - 2.0, 0.5)
-    var simple float LEN2 = math.sqrt(0.5*(period-1))*LEN1
-    var simple float AVG_VOLTY_ALPHA = 2.0 / (math.max(4.0 * period, 65) + 1.0)
-    var simple float DIV = 1.0/(10.0 + 10.0*(math.min(math.max(period-10,0),100))/100.0)
-    var float upperBand = nz(source)
-    var float lowerBand = nz(source)
-    var float vSum = 0.0
-    var float avgVolty = 0.0
-    if na(source)
-        na
-    else
-        float del1 = source - upperBand
-        float del2 = source - lowerBand
-        float volty = math.max(math.abs(del1), math.abs(del2))
-        float past_volty = na(volty[10]) ? 0.0 : volty[10]
-        vSum := vSum + (volty - past_volty) * DIV
-        avgVolty := na(avgVolty) ? vSum : avgVolty + AVG_VOLTY_ALPHA * (vSum - avgVolty)
-        float rvolty = 1.0
-        if avgVolty > 0
-            rvolty := volty / avgVolty
-            rvolty := math.min(math.max(rvolty, 1.0), math.pow(LEN1, 1.0 / POW1))
-        float Kv = math.pow(LEN2/(LEN2+1), math.sqrt(math.pow(rvolty, POW1)))
-        upperBand := del1 > 0 ? source : source - Kv * del1
-        lowerBand := del2 < 0 ? source : source - Kv * del2
-        rvolty
-
-
-// ---------- Main loop ----------
-
-// Inputs
-i_period = input.int(10, "Period", minval=1, tooltip="Number of bars used in the calculation")
-i_source = input.source(close, "Source")
-
-// Calculation
-jvolty= jvolty(i_source, i_period)
-
-// Plot
-plot(jvolty, "JVolty", color=color.yellow, linewidth=2)