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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
47 lines
1.9 KiB
Plaintext
47 lines
1.9 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("Kurtosis, tailedness (KURTOSIS)", "KURTOSIS", overlay=false, precision=8)
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//@function Calculates the excess kurtosis of a series over a lookback period.
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//@param src Source series.
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//@param len Lookback period. Must be greater than 1.
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//@returns The excess kurtosis value.
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kurtosis(series float src, simple int len) =>
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if len <= 1
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runtime.error("Length must be greater than 1")
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var float sumY = 0.0, var float sumY2 = 0.0, var float sumY3 = 0.0, var float sumY4 = 0.0
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var int validCount = 0, var array<float> y_values = array.new_float(len), var int head = 0, var bool filled = false
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float oldY = filled ? array.get(y_values, head) : na
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if not na(oldY)
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sumY -= oldY, sumY2 -= oldY * oldY, sumY3 -= oldY * oldY * oldY, sumY4 -= oldY * oldY * oldY * oldY, validCount -= 1
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float currentY = src
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array.set(y_values, head, currentY)
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if not na(currentY)
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sumY += currentY, sumY2 += currentY * currentY, sumY3 += currentY * currentY * currentY, sumY4 += currentY * currentY * currentY * currentY, validCount += 1
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head := (head + 1) % len
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if not filled and head == 0
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filled := true
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float excessKurtosis = na
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if validCount >= 4
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float n = float(validCount), mean = sumY / n, m2 = sumY2 / n, m3 = sumY3 / n, m4 = sumY4 / n
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float variance = math.max(m2 - mean * mean, 0.0)
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if variance > 1e-10
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float moment4 = m4 - 4 * mean * m3 + 6 * mean * mean * m2 - 3 * mean * mean * mean * mean
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excessKurtosis := moment4 / (variance * variance) - 3.0
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else
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excessKurtosis := 0.0
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excessKurtosis
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(14, "Period", minval=4) // Minval 4 for kurtosis
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i_source = input.source(close, "Source")
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// Calculation
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k = kurtosis(i_source, i_period)
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// Plot
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plot(k, "Kurtosis", color=color.yellow, linewidth=2)
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