mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-29 18:17:43 +00:00
Miha Kralj
73 lines
2.3 KiB
Plaintext
73 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("Efficiency Ratio (ER)", "ER", overlay=false)
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//@function Calculates Kaufman's Efficiency Ratio as signal-to-noise measure
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//@param source Series to calculate from
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//@param period Lookback period for efficiency measurement
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//@returns ER value (0 to 1) where 1 = trending, 0 = choppy
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//@optimized O(1) per bar using dual circular buffers with running sum
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er(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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var int p = math.max(1, period)
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// Close buffer: stores source values for signal (net change over period)
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var array<float> closeBuf = array.new_float(p + 1, na)
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var int closeHead = 0
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var int closeCount = 0
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// Noise buffer: stores |change| values for running sum
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var array<float> noiseBuf = array.new_float(p, na)
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var int noiseHead = 0
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var float noiseSum = 0.0
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var float prevVal = na
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float current = nz(source)
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// Compute bar-to-bar absolute change
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float absChange = not na(prevVal) ? math.abs(current - prevVal) : 0.0
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// Update noise running sum
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float oldNoise = array.get(noiseBuf, noiseHead)
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if not na(oldNoise)
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noiseSum -= oldNoise
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noiseSum += absChange
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array.set(noiseBuf, noiseHead, absChange)
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noiseHead := (noiseHead + 1) % p
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// Update close buffer
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if na(array.get(closeBuf, closeHead))
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closeCount := math.min(closeCount + 1, p + 1)
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array.set(closeBuf, closeHead, current)
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// Get close from period bars ago
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int oldIdx = (closeHead - p + p + 1) % (p + 1)
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float oldClose = array.get(closeBuf, oldIdx)
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closeHead := (closeHead + 1) % (p + 1)
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prevVal := current
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// Signal = |close - close[period]|
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float signal = not na(oldClose) and closeCount > p ? math.abs(current - oldClose) : 0.0
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// ER = signal / noise (0 when noise is 0)
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float result = noiseSum != 0.0 ? signal / noiseSum : 0.0
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math.max(0.0, math.min(1.0, result))
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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i_period = input.int(10, "Period", minval=1, maxval=500)
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// Calculation
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er_value = er(i_source, i_period)
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// Plot
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plot(er_value, "ER", color.new(color.yellow, 0), 2)
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hline(0.5, "Midline", color=color.gray, linestyle=hline.style_dotted)
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