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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
48 lines
1.8 KiB
Plaintext
48 lines
1.8 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("Exponential Distribution CDF (EXPDIST)", "EXPDIST", overlay=false, precision=6)
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//@function Computes Exponential Distribution CDF for a normalized price series
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//@param source Series to transform
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//@param period Lookback period for min-max normalization to [0,1]
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//@param lambda Rate parameter (λ > 0); higher = steeper rise toward 1
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//@returns CDF value in [0,1]: F(x) = 1 - exp(-λ * x)
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//@optimized O(period) per bar for min-max scan; CDF itself is O(1)
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expdist(series float source, simple int period, simple float lambda) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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if lambda <= 0.0
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runtime.error("Lambda must be greater than 0")
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float minVal = source
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float maxVal = source
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for i = 1 to period - 1
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float v = source[i]
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if not na(v)
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if v < minVal
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minVal := v
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if v > maxVal
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maxVal := v
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float range = maxVal - minVal
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float x = range > 0.0 ? (source - minVal) / range : 0.5
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x <= 0.0 ? 0.0 : 1.0 - math.exp(-lambda * x)
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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(50, "Lookback Period", minval=2, maxval=5000, tooltip="Min-max normalization window")
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i_lambda = input.float(3.0, "Lambda (λ)", minval=0.01, step=0.1, tooltip="Rate parameter; higher = faster rise toward 1")
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// Calculation
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float result = expdist(i_source, i_period, i_lambda)
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// Plot
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plot(result, "EXPDIST", color=color.yellow, linewidth=2)
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hline(0.5, "Midline", color=color.gray, linestyle=hline.style_dotted)
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hline(0.95, "Upper", color=color.red, linestyle=hline.style_dashed)
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hline(0.05, "Lower", color=color.green, linestyle=hline.style_dashed)
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