mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 19:37:43 +00:00
Miha Kralj
66 lines
2.3 KiB
Plaintext
66 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("Interquartile Range (IQR)", "IQR", overlay=false, precision=4)
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//@function Function to calculate percentile using linear interpolation
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//@param src Source series for calculation
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//@param len Lookback period for data collection
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//@param p Percentile value (0-100)
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//@returns Calculated percentile value
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// Adapted from percentile.pine
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iqr(series float src, simple int len, simple float p) =>
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if len <= 0 // Should not happen due to input minval=2
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runtime.error("Lookback Period must be greater than 0.")
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float(na)
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if p < 0 or p > 100
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runtime.error("Percentile 'p' must be between 0 and 100.")
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float(na)
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data_points = array.new_float()
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for i = 0 to len - 1
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val = src[i]
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if not na(val)
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array.push(data_points, val)
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n_valid = array.size(data_points)
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float result = na
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if n_valid == 0
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result := na
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else if n_valid == 1
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result := array.get(data_points, 0)
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else
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array.sort(data_points)
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rank = (p / 100.0) * (n_valid - 1)
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if p == 0.0
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result := array.get(data_points, 0)
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else if p == 100.0
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result := array.get(data_points, n_valid - 1)
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else
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k_floor_idx = math.floor(rank)
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k_ceil_idx = math.ceil(rank)
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int_k_floor = math.max(0, math.min(n_valid - 1, int(k_floor_idx)))
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int_k_ceil = math.max(0, math.min(n_valid - 1, int(k_ceil_idx)))
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if int_k_floor == int_k_ceil
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result := array.get(data_points, int_k_floor)
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else
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val_floor = array.get(data_points, int_k_floor)
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val_ceil = array.get(data_points, int_k_ceil)
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if val_floor == val_ceil
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result := val_floor
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else
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result := val_floor + (rank - k_floor_idx) * (val_ceil - val_floor)
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result
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// Inputs
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i_source = input.source(close, title="Source")
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i_length = input.int(20, title="Lookback Period", minval=2)
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// Calculate Q1 (25th percentile) and Q3 (75th percentile)
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q1 = iqr(i_source, i_length, 25.0)
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q3 = iqr(i_source, i_length, 75.0)
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// Calculate IQR
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iqr_value = q3 - q1
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// Plot IQR
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plot(iqr_value, title="IQR", color=color.yellow, linewidth=2)
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