mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-04 20:17:43 +00:00
Miha Kralj
78 lines
2.3 KiB
Plaintext
78 lines
2.3 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Jurik Composite Fractal Behavior", "CFB", overlay=false)
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//@function Calculates Jurik Composite Fractal Behavior (Trend Duration Index)
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//@param source Series to calculate CFB from
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//@param maxLength Maximum lookback length (default 192, lengths 2,4,6,...,maxLength used)
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//@returns CFB value - weighted average of efficient trend lengths, minimum 1
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cfb(series float source, simple int maxLength = 192) =>
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// Generate lengths array: 2, 4, 6, ..., maxLength
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int numLengths = int(maxLength / 2)
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// Persistent state
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var float prevCfb = 1.0
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var array<float> runningSums = array.new_float(numLengths, 0.0)
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float currentVol = bar_index == 0 ? 0.0 : math.abs(source - source[1])
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float sumWeightedLen = 0.0
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float sumWeights = 0.0
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// Update running sums and calculate ratios for each length
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for i = 0 to numLengths - 1
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int L = (i + 1) * 2
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// Update running sum of volatility
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float oldSum = array.get(runningSums, i)
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float volToRemove = bar_index > L ? math.abs(source[L] - source[L + 1]) : 0.0
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float newSum = oldSum + currentVol - volToRemove
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array.set(runningSums, i, newSum)
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// Skip if not enough bars
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if bar_index < L
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continue
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// Skip if very small volatility
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if newSum < 1e-12
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continue
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// Net move over L bars
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float netMove = math.abs(source - source[L])
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float ratio = netMove / newSum
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if ratio >= 0.25
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sumWeightedLen += float(L) * ratio
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sumWeights += ratio
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// Calculate CFB
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float cfbVal = 1.0
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if sumWeights > 0.25
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cfbVal := sumWeightedLen / sumWeights
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else
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cfbVal := prevCfb > 1.0 ? prevCfb * 0.5 : 1.0
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if cfbVal < 1.0
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cfbVal := 1.0
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cfbVal := math.round(cfbVal)
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if cfbVal < 1.0
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cfbVal := 1.0
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prevCfb := cfbVal
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cfbVal
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// ---------- Main loop ----------
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// Inputs
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i_maxLength = input.int(192, "Max Length", minval=4, step=2, tooltip="Maximum lookback length. Lengths 2,4,6,...,maxLength are used")
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i_source = input.source(close, "Source")
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// Calculation
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cfb_value = cfb(i_source, i_maxLength)
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// Plot
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plot(cfb_value, "CFB", color=color.yellow, linewidth=2)
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hline(1, "Min", color=color.gray, linestyle=hline.style_dotted)
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