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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
51 lines
1.8 KiB
Plaintext
51 lines
1.8 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("Geometric Mean (GEOMEAN)", "GEOMEAN", overlay=true)
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//@function Calculates the Geometric Mean of a series over a lookback period.
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//@param src series float Input data series (must contain positive values).
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//@param len simple int Lookback period (must be > 0).
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//@returns series float The Geometric Mean, or na if data is not suitable (e.g., non-positive values, insufficient data).
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//@optimized for performance and dirty data
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geomean(series float src, simple int len) =>
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if len <= 0
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runtime.error("Period must be greater than 0. Found: " + str.tostring(len))
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var float sum_log_src = 0.0
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var int n_valid = 0
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var float[] src_buffer = array.new_float(len, na)
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var int current_index = 0
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float current_val = src
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float current_log_val = na
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bool current_val_is_valid = false
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if not na(current_val) and current_val > 0
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current_log_val := math.log(current_val)
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current_val_is_valid := true
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float old_src_from_buffer = array.get(src_buffer, current_index)
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if not na(old_src_from_buffer) and old_src_from_buffer > 0
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sum_log_src -= math.log(old_src_from_buffer)
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n_valid -= 1
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if current_val_is_valid
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sum_log_src += current_log_val
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n_valid += 1
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array.set(src_buffer, current_index, current_val)
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else
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array.set(src_buffer, current_index, na)
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current_index := (current_index + 1) % len
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if n_valid > 0
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math.exp(sum_log_src / n_valid)
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else
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float(na)
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, title="Source (must be positive values)")
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i_length = input.int(14, title="Lookback Period", minval=1)
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// Calculation
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geomean_value = geomean(i_source, i_length)
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// Plot
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plot(geomean_value, "GEOMEAN", color=color.yellow, linewidth=2)
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