mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
78 lines
3.1 KiB
Plaintext
78 lines
3.1 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("Decay Min-Max Channel (DECAYCHANNEL)", "DECAYCHANNEL", overlay=true)
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//@function Calculates the Decaying Min-Max Channel with decay towards midpoint
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//@param period Lookback period (period > 0)
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//@param hi Source series for the highest high calculation (usually high)
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//@param lo Source series for the lowest low calculation (usually low)
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//@returns Tuple containing [decaying_highest_high, decaying_lowest_low]
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//@optimized Uses exponential decay with O(n) complexity per bar
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decaychannel(simple int period, series float hi = high, series float lo = low) =>
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if period <= 0
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runtime.error("Period must be > 0")
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float decayLambda = math.log(2.0) / period
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var float[] hbuf = array.new_float(period, na)
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var float[] lbuf = array.new_float(period, na)
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var float currentMax = na
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var float currentMin = na
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var int timeSinceNewMax = 0
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var int timeSinceNewMin = 0
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int idx = bar_index % period
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array.set(hbuf, idx, hi)
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array.set(lbuf, idx, lo)
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float periodMax = na
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float periodMin = na
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float periodSum = 0.0
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int validCount = 0
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for i = 0 to period - 1
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float hVal = array.get(hbuf, i)
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float lVal = array.get(lbuf, i)
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if not na(hVal) and not na(lVal)
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periodMax := na(periodMax) ? hVal : math.max(periodMax, hVal)
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periodMin := na(periodMin) ? lVal : math.min(periodMin, lVal)
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periodSum := periodSum + (hVal + lVal) / 2.0
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validCount := validCount + 1
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float periodAverage = validCount > 0 ? periodSum / validCount : (hi + lo) / 2.0
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if na(currentMax) or na(currentMin)
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currentMax := na(periodMax) ? hi : periodMax
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currentMin := na(periodMin) ? lo : periodMin
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timeSinceNewMax := 0
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timeSinceNewMin := 0
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else
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if hi >= currentMax
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currentMax := hi
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timeSinceNewMax := 0
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else
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timeSinceNewMax := timeSinceNewMax + 1
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if lo <= currentMin
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currentMin := lo
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timeSinceNewMin := 0
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else
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timeSinceNewMin := timeSinceNewMin + 1
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if validCount > 0
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float midpoint = (currentMax + currentMin) / 2.0
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float maxDecayRate = 1 - math.exp(-decayLambda * timeSinceNewMax)
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float minDecayRate = 1 - math.exp(-decayLambda * timeSinceNewMin)
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currentMax := currentMax - maxDecayRate * (currentMax - midpoint)
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currentMin := currentMin - minDecayRate * (currentMin - midpoint)
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if not na(periodMax)
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currentMax := math.min(currentMax, periodMax)
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if not na(periodMin)
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currentMin := math.max(currentMin, periodMin)
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[currentMax, currentMin]
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(100, "Period", minval=1)
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// Calculation
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[highest, lowest] = decaychannel(i_period)
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// Plot
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p1 = plot(highest, "Decaying High", color=color.yellow, linewidth=2)
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p2 = plot(lowest, "Decaying Low", color=color.yellow, linewidth=2)
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fill(p1, p2, color=color.new(color.blue, 90), title="Channel Fill")
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