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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
48 lines
1.4 KiB
Plaintext
48 lines
1.4 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("Theil Index (THEIL)", "THEIL", overlay=false, precision=6)
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//@function Calculates Theil's T Index for a series over a lookback period.
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//@param src series float Input data series (must be positive values).
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//@param len simple int Lookback period (must be > 0).
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//@returns series float The Theil's T Index, or na if data is not suitable.
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theil_t_index(series float src, simple int len) =>
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if len <= 0
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float(na)
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float sum_src = 0.0
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int n_valid = 0
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float[] values_arr = 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) and val > 0
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array.push(values_arr, val)
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sum_src += val
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n_valid += 1
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if n_valid == 0
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float(na)
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float mean_val = sum_src / n_valid
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if mean_val <= 0
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float(na)
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float theil_sum = 0.0
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for i = 0 to n_valid - 1
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xi = array.get(values_arr, i)
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ratio = xi / mean_val
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if ratio > 0
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theil_sum += ratio * math.log(ratio)
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float theil_t = na
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if n_valid > 0
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theil_t := theil_sum / n_valid
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theil_t
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// Inputs
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i_source = input.source(close, title="Source (must be positive values)")
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i_length = input.int(14, title="Lookback Period", minval=1)
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// Calculation
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theil_value = theil_t_index(i_source, i_length)
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// Plot
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plot(theil_value, "Theil T Index", color=color.yellow, linewidth=2)
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