mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
60 lines
2.2 KiB
Plaintext
60 lines
2.2 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("Percentile", "PERCENTILE", overlay=true, precision=8)
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//@function Calculates the value at a given percentile for a series over a lookback period.
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//@param src series float Input data series.
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//@param len simple int Lookback period (must be > 0).
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//@param p simple float Percentile to calculate (0-100). For example, 50 for median.
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//@returns series float The value at the specified percentile, or na if insufficient data.
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percentile(series float src, simple int len, simple float p) => // p is the target percentile (0-100)
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if len <= 0
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runtime.error("Length must be greater than 0.")
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if p < 0 or p > 100
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runtime.error("Percentile 'p' must be between 0 and 100.")
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data_points = array.new_float()
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for i = 0 to len - 1
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val = src[i]
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if not na(val)
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array.push(data_points, val)
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n_valid = array.size(data_points)
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float result = na
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if n_valid == 0
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result := na
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else if n_valid == 1
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result := array.get(data_points, 0)
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else
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array.sort(data_points)
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rank = (p / 100.0) * (n_valid - 1)
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if p == 0.0
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result := array.get(data_points, 0)
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else if p == 100.0
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result := array.get(data_points, n_valid - 1)
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else
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k_floor_idx = math.floor(rank)
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k_ceil_idx = math.ceil(rank)
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int_k_floor = int(k_floor_idx)
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int_k_ceil = int(k_ceil_idx)
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if int_k_floor == int_k_ceil
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result := array.get(data_points, int_k_floor)
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else
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val_floor = array.get(data_points, int_k_floor)
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val_ceil = array.get(data_points, int_k_ceil)
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result := val_floor + (rank - k_floor_idx) * (val_ceil - val_floor)
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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_length = input.int(14, "Period", minval=1)
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i_percentile = input.float(25, "Percentile (0-100)", minval=0, maxval=100, step=0.1)
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// Calculation
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percentile_value = percentile(i_source, i_length, i_percentile)
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// Plot
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plot(percentile_value, "Percentile", color=color.new(color.yellow, 0, color=color.yellow, linewidth=2), linewidth=2)
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