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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
125 lines
5.3 KiB
Plaintext
125 lines
5.3 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("Parabolic SAR Extended (SAREXT)", "SAREXT", overlay=true)
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//@function Parabolic SAR Extended — asymmetric PSAR with separate long/short AF parameters,
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// auto-detect or forced initial direction, and an offset applied on reversal.
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// Output is sign-encoded: positive SAR = long mode, negative SAR = short mode.
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//@param start_value Initial direction: >0 force long, <0 force short, 0 auto-detect from DM
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//@param offset_on_reverse Gap added to SAR on reversal (default 0)
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//@param af_init_long Initial AF for long positions (default 0.02)
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//@param af_long AF increment per new EP in long (default 0.02)
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//@param af_max_long Maximum AF for long (default 0.20)
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//@param af_init_short Initial AF for short positions (default 0.02)
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//@param af_short AF increment per new EP in short (default 0.02)
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//@param af_max_short Maximum AF for short (default 0.20)
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//@returns Sign-encoded SAR value (positive = long, negative = short)
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//@reference J. Welles Wilder Jr., "New Concepts in Technical Trading Systems" (1978)
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//@optimized O(1) per bar, state-machine with asymmetric acceleration factors
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sarext(simple float start_value = 0.0, simple float offset_on_reverse = 0.0,
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simple float af_init_long = 0.02, simple float af_long = 0.02, simple float af_max_long = 0.20,
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simple float af_init_short = 0.02, simple float af_short = 0.02, simple float af_max_short = 0.20) =>
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if af_init_long <= 0 or af_long <= 0 or af_max_long <= af_init_long
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runtime.error("Long AF parameters invalid")
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if af_init_short <= 0 or af_short <= 0 or af_max_short <= af_init_short
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runtime.error("Short AF parameters invalid")
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if offset_on_reverse < 0
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runtime.error("Offset must be >= 0")
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var bool is_long = true
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var float sar = low
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var float ep = high
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var float af = af_init_long
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if bar_index == 0
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// Bar 0: collect first bar data
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is_long := true
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sar := high
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ep := low
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af := af_init_short
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float(na)
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else if bar_index == 1
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// Bar 1: determine initial direction
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if start_value > 0
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is_long := true
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sar := math.min(low[1], low)
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ep := math.max(high[1], high)
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af := af_init_long
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else if start_value < 0
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is_long := false
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sar := math.max(high[1], high)
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ep := math.min(low[1], low)
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af := af_init_short
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else
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// Auto-detect from DM
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float plus_dm = high - high[1]
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float minus_dm = low[1] - low
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if plus_dm > minus_dm and plus_dm > 0
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is_long := true
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sar := math.min(low[1], low)
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ep := math.max(high[1], high)
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af := af_init_long
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else
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is_long := false
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sar := math.max(high[1], high)
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ep := math.min(low[1], low)
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af := af_init_short
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is_long ? sar : -sar
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else
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// Bar 2+: standard SAR state machine with asymmetric AF
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float new_sar = sar + af * (ep - sar)
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if is_long
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new_sar := math.min(new_sar, low[1])
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if bar_index > 1
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new_sar := math.min(new_sar, low[2])
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if low <= new_sar
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// Reverse to short
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is_long := false
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new_sar := ep + offset_on_reverse
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ep := low
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af := af_init_short
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else
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if high > ep
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ep := high
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af := math.min(af + af_long, af_max_long)
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else
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new_sar := math.max(new_sar, high[1])
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if bar_index > 1
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new_sar := math.max(new_sar, high[2])
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if high >= new_sar
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// Reverse to long
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is_long := true
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new_sar := ep - offset_on_reverse
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ep := high
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af := af_init_long
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else
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if low < ep
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ep := low
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af := math.min(af + af_short, af_max_short)
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sar := new_sar
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is_long ? sar : -sar
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// ── Inputs ──
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float i_start = input.float(0.0, "Start Value (0=auto)")
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float i_offset = input.float(0.0, "Offset on Reverse", minval=0)
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float i_af_init_long = input.float(0.02, "AF Init Long", minval=0.001, step=0.001)
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float i_af_long = input.float(0.02, "AF Long", minval=0.001, step=0.001)
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float i_af_max_long = input.float(0.20, "AF Max Long", minval=0.01, step=0.01)
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float i_af_init_short = input.float(0.02, "AF Init Short", minval=0.001, step=0.001)
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float i_af_short = input.float(0.02, "AF Short", minval=0.001, step=0.001)
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float i_af_max_short = input.float(0.20, "AF Max Short", minval=0.01, step=0.01)
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// ── Calculation ──
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float result = sarext(i_start, i_offset, i_af_init_long, i_af_long, i_af_max_long,
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i_af_init_short, i_af_short, i_af_max_short)
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float sar_val = math.abs(nz(result))
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bool is_long = nz(result) > 0
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float sar_above = not is_long ? sar_val : na
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float sar_below = is_long ? sar_val : na
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// ── Plot ──
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plot(sar_above, "SAREXT Above", color=color.red, style=plot.style_linebr, linewidth=2)
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plot(sar_below, "SAREXT Below", color=color.green, style=plot.style_linebr, linewidth=2)
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