mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
71 lines
2.4 KiB
Plaintext
71 lines
2.4 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("Adaptive Price Zone", "APZ", overlay=true)
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//@function Calculates Adaptive Price Zone using double-smoothed EMA
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//@param source Series to calculate middle line from
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//@param period Lookback period (sqrt applied internally for smoothing)
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//@param bandPct Band width multiplier
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//@returns tuple with [middle, upper, lower] band values
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//@optimized Uses compound warmup compensation for nested EMAs, O(1) complexity per bar
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apz(series float source, simple int period, simple float bandPct) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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if period > 5000
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runtime.error("Period exceeds maximum of 5000")
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if bandPct <= 0.0
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runtime.error("Band multiplier must be greater than 0")
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float smoothPeriod = math.sqrt(period)
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float alpha = 2.0 / (smoothPeriod + 1.0)
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float beta = 1.0 - alpha
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var float ema1_price = 0.0
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var float ema2_price = 0.0
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var float ema1_range = 0.0
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var float ema2_range = 0.0
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var float e = 1.0
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var bool warmup = true
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float current_price = nz(source)
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float current_range = nz(high - low)
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ema1_price := alpha * current_price + beta * ema1_price
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ema2_price := alpha * ema1_price + beta * ema2_price
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ema1_range := alpha * current_range + beta * ema1_range
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ema2_range := alpha * ema1_range + beta * ema2_range
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float middle = ema2_price
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float adaptiveRange = ema2_range
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if warmup
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e *= beta * beta
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float compensator = 1.0 / (1.0 - e)
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middle := compensator * ema2_price
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adaptiveRange := compensator * ema2_range
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warmup := e > 1e-10
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float width = bandPct * adaptiveRange
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float upper = middle + width
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float lower = middle - width
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[middle, upper, lower]
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(20, "Period", minval=1, maxval=5000)
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i_bandPct = input.float(2.0, "Band Multiplier", minval=0.001, step=0.1)
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i_source = input.source(close, "Source")
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// Calculation
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[middle, upper, lower] = apz(i_source, i_period, i_bandPct)
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// Plot
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plot(middle, "Middle", color=color.yellow, linewidth=2)
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p1 = plot(upper, "Upper", color=color.new(color.yellow, 50), linewidth=1)
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p2 = plot(lower, "Lower", color=color.new(color.yellow, 50), linewidth=1)
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fill(p1, p2, color=color.new(color.yellow, 90), title="Band Fill")
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