mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
71 lines
2.6 KiB
Plaintext
71 lines
2.6 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("MA Envelope (MAE)", "MAE", overlay=true)
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//@function Calculates MA Envelope bands using a fixed percentage
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//@param source Series to calculate moving average from
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//@param length Lookback period for MA calculation
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//@param percentage Distance of bands from MA as percentage
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//@param ma_type Type of moving average (0:SMA, 1:EMA, 2:WMA)
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//@returns tuple with [middle, upper, lower] band values
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//@optimized SMA uses circular buffer O(1), EMA uses warmup O(1), WMA is O(n)
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mae(series float source, simple int length, simple float percentage, simple int ma_type = 1) =>
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if length <= 0 or percentage <= 0.0
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runtime.error("Length and percentage must be greater than 0")
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float middle = na
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if ma_type == 0
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var int head = 0
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var int count = 0
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var array<float> buffer = array.new_float(length, na)
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var float sum = 0.0
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sum -= oldest
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count -= 1
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float current = nz(source)
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sum += current
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count += 1
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array.set(buffer, head, current)
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head := (head + 1) % length
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middle := sum / count
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else if ma_type == 1
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var float alpha = 2.0 / (length + 1)
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var float sum = 0.0
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var float weight = 0.0
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if na(sum)
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sum := source
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weight := 1.0
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sum := sum * (1.0 - alpha) + source * alpha
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weight := weight * (1.0 - alpha) + alpha
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middle := sum / weight
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else if ma_type == 2
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float norm = 0.0
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float sum = 0.0
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for i = 0 to length - 1
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float w = float((length - i) * length)
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norm += w
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sum += nz(source[i]) * w
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middle := sum / norm
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else
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runtime.error("MA type must be 0 (SMA), 1 (EMA), or 2 (WMA)")
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float dist = middle * percentage / 100.0
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[middle, middle + dist, middle - dist]
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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_length = input.int(20, "Length", minval=1)
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i_percentage = input.float(1.0, "Percentage", minval=0.001)
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i_ma_type = input.int(1, "MA Type", minval=0, maxval=2, tooltip="0:SMA, 1:EMA, 2:WMA")
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// Calculation
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[middle, upper, lower] = mae(i_source, i_length, i_percentage, i_ma_type)
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// Plot
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plot(middle, "Middle", color=color.yellow, linewidth=2)
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p1 = plot(upper, "Upper", color=color.yellow, linewidth=2)
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p2 = plot(lower, "Lower", color=color.yellow, linewidth=2)
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fill(p1, p2, color=color.new(color.blue, 90), title="Band Fill")
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