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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
61 lines
2.2 KiB
Plaintext
61 lines
2.2 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("Weighted Average (WAVG)", "WAVG", overlay=true)
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//@function Calculates rolling linearly-weighted average over a lookback window
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//@param source Series to evaluate (typically close)
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//@param period Lookback period (number of bars)
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//@returns Weighted average where weight[i] = position from oldest (1) to newest (period)
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//@description WAVG assigns linearly increasing weights to the lookback window:
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// weight_i = i + 1 for i = 0 (oldest) to period-1 (newest)
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// WAVG = Σ(weight_i × value_i) / Σ(weight_i)
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// Σ(weight_i) = period × (period + 1) / 2
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// Uses a circular buffer for O(1) updates per bar. On each new bar:
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// 1. Subtract the departing oldest value's contribution from weightedSum
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// 2. Shift all existing weights down by 1 (subtract runningSum from weightedSum)
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// 3. Add the new value with weight = count (current fill level)
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// runningSum tracks the unweighted sum for the shift operation.
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// §3 count-based warmup: during filling, actual count < period, and
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// denominator = count × (count + 1) / 2.
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// This is mathematically identical to WMA but categorized as a statistical measure.
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wavg(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 array<float> buffer = array.new_float(period, na)
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var int head = 0
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var float weightedSum = 0.0
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var float runningSum = 0.0
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var int count = 0
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float srcVal = nz(source)
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float oldest = array.get(buffer, head)
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if not na(oldest)
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runningSum -= oldest
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else
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count += 1
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weightedSum -= runningSum
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runningSum += srcVal
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weightedSum += float(count) * srcVal
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array.set(buffer, head, srcVal)
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head := (head + 1) % period
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float denom = float(count) * float(count + 1) / 2.0
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denom > 0.0 ? weightedSum / denom : srcVal
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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(14, "Period", minval=1)
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// Calculation
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wavg_value = wavg(i_source, i_period)
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// Plot
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plot(wavg_value, "WAVG", color=color.yellow, linewidth=2)
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