mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
87 lines
3.2 KiB
Plaintext
87 lines
3.2 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("Coppock Curve (COPPOCK)", "COPPOCK", overlay=false)
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//@function Calculates the Coppock Curve as WMA of summed long and short ROC
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//@param source Series to calculate from
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//@param longRoc Long ROC lookback period
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//@param shortRoc Short ROC lookback period
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//@param wmaPeriod WMA smoothing period
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//@returns Coppock Curve value
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coppock(series float source, simple int longRoc, simple int shortRoc, simple int wmaPeriod) =>
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if longRoc <= 0 or shortRoc <= 0 or wmaPeriod <= 0
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runtime.error("All periods must be greater than 0")
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// ROC buffer — stores historical close values for both ROC lookbacks
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int maxRoc = math.max(longRoc, shortRoc)
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var array<float> rocBuf = array.new_float(maxRoc, na)
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var int rocHead = 0
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var int rocCount = 0
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// WMA buffer — stores combined ROC for weighted smoothing
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var array<float> wmaBuf = array.new_float(wmaPeriod, na)
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var int wmaHead = 0
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var int wmaCount = 0
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var float wmaSum = 0.0
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var float wmaWeightedSum = 0.0
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var float wmaNorm = 0.0
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float current = nz(source)
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// Compute ROC values from circular buffer
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// ROC(n) = (close - close[n]) / close[n] * 100
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int longIdx = (rocHead - longRoc + maxRoc) % maxRoc
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int shortIdx = (rocHead - shortRoc + maxRoc) % maxRoc
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float longClose = array.get(rocBuf, longIdx)
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float shortClose = array.get(rocBuf, shortIdx)
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// Store current close in ROC buffer
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if na(array.get(rocBuf, rocHead))
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rocCount := math.min(rocCount + 1, maxRoc)
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array.set(rocBuf, rocHead, current)
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rocHead := (rocHead + 1) % maxRoc
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// Calculate individual ROCs (only when enough history)
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float longRocVal = not na(longClose) and longClose != 0.0 and rocCount >= longRoc
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? ((current - longClose) / longClose) * 100.0 : 0.0
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float shortRocVal = not na(shortClose) and shortClose != 0.0 and rocCount >= shortRoc
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? ((current - shortClose) / shortClose) * 100.0 : 0.0
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float combinedRoc = longRocVal + shortRocVal
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// WMA smoothing using dual running sums (O(1) per bar)
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float wmaOldest = array.get(wmaBuf, wmaHead)
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if not na(wmaOldest)
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float oldSum = wmaSum
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wmaSum -= wmaOldest
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wmaSum += combinedRoc
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wmaWeightedSum := wmaWeightedSum - oldSum + (wmaPeriod * combinedRoc)
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else
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wmaCount += 1
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wmaSum += combinedRoc
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wmaWeightedSum := wmaWeightedSum + (wmaCount * combinedRoc)
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wmaNorm := wmaCount * (wmaCount + 1) * 0.5
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array.set(wmaBuf, wmaHead, combinedRoc)
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wmaHead := (wmaHead + 1) % wmaPeriod
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float result = wmaNorm != 0.0 ? wmaWeightedSum / wmaNorm : 0.0
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result
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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_longRoc = input.int(14, "Long ROC Period", minval=1, maxval=500)
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i_shortRoc = input.int(11, "Short ROC Period", minval=1, maxval=500)
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i_wmaPeriod = input.int(10, "WMA Period", minval=1, maxval=500)
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// Calculation
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coppock_value = coppock(i_source, i_longRoc, i_shortRoc, i_wmaPeriod)
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// Plot
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plot(coppock_value, "Coppock", color.new(color.yellow, 0), 2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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