mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-28 01:37:43 +00:00
Miha Kralj
55 lines
2.2 KiB
Plaintext
55 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("Quantile (QUANTILE)", shorttitle="QUANTILE", overlay=true, precision=8)
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//@function Calculates the quantile of a series over a lookback period using linear interpolation.
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//@param src {series float} The source series to calculate the quantile from.
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//@param len {simple int} The lookback period. Must be greater than 0.
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//@param q_level {simple float} The quantile level to calculate (between 0.0 and 1.0).
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//@returns {series float} The calculated quantile value, or na if insufficient data.
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quantile(series float src, simple int len, simple float q_level) =>
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if len <= 0
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runtime.error("Period must be greater than 0.")
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if q_level < 0.0 or q_level > 1.0
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runtime.error("Quantile Level must be between 0.0 and 1.0.")
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var float[] values_arr = array.new_float(0)
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array.clear(values_arr)
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for i = 0 to len - 1
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if not na(src[i])
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array.push(values_arr, src[i])
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int n_valid = array.size(values_arr)
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if n_valid == 0
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na
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else if n_valid == 1
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array.get(values_arr, 0)
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else
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array.sort(values_arr)
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if q_level == 0.0
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array.min(values_arr)
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else if q_level == 1.0
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array.max(values_arr)
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else
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float rank = q_level * (n_valid - 1)
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int k_floor = int(math.floor(rank))
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int k_ceil = int(math.ceil(rank))
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if k_floor == k_ceil
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array.get(values_arr, k_floor)
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else
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float val_floor = array.get(values_arr, k_floor)
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float val_ceil = array.get(values_arr, k_ceil)
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val_floor + (rank - k_floor) * (val_ceil - val_floor)
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, title="Source")
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i_length = input.int(14, title="Period", minval=1)
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i_quantile_level = input.float(0.25, title="Quantile Level (0.0-1.0)", minval=0.0, maxval=1.0, step=0.01)
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// Calculate Quantile
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quantile_value = quantile(i_source, i_length, i_quantile_level)
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// Plot
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plot(quantile_value, title="Quantile", color=color.new(color.yellow, 0, color=color.yellow, linewidth=2), linewidth=2)
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