mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 20:47:43 +00:00
Miha Kralj
67 lines
2.3 KiB
Plaintext
67 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("Bessel-Weighted Moving Average (BWMA)", "BWMA", overlay=true)
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//@function Calculates BWMA using Bessel window weighting
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//@param source Series to calculate BWMA from
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//@param period Lookback period - FIR window size
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//@param order Bessel function order (default: 0)
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//@returns BWMA value, calculates from first bar using available data
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//@optimized Uses Bessel window coefficients with O(n) complexity per bar due to lookback loop
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bwma(series float source, simple int period, simple int order=0) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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if order < 0
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runtime.error("Bessel order must be non-negative")
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int p = math.min(bar_index + 1, period)
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var array<float> weights = array.new_float(1, 1.0)
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var int last_p = 1
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var int last_order = order
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if last_p != p or last_order != order
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weights := array.new_float(p, 0.0)
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float total_weight = 0.0
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float scale = 2.0 / (p - 1)
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float power = order / 2.0 + 0.5
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for i = 0 to p - 1
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float x = i * scale - 1.0
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float arg = 1.0 - x * x
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float w = 0.0
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if arg > 0.0
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if order == 0
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w := arg
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else if order == 1
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w := arg * math.sqrt(arg)
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else
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w := math.pow(arg, power)
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array.set(weights, i, w)
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total_weight += w
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if total_weight > 0.0
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float inv_total = 1.0 / total_weight
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for i = 0 to p - 1
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array.set(weights, i, array.get(weights, i) * inv_total)
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last_p := p
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last_order := order
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float sum = 0.0
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float weight_sum = 0.0
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for i = 0 to p - 1
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float price = source[i]
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if not na(price)
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float w = array.get(weights, i)
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sum += price * w
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weight_sum += w
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nz(sum / weight_sum, source)
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1)
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i_order = input.int(0, "Bessel Order", minval=0, maxval=3, tooltip="Order of the Bessel function (0-3)")
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i_source = input.source(close, "Source")
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// Calculation
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bwma_value = bwma(i_source, i_period, i_order)
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// Plot
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plot(bwma_value, "BWMA", color=color.yellow, linewidth=2)
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