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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
55 lines
2.3 KiB
Plaintext
55 lines
2.3 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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// Ultimate Bands logic based on work by John F. Ehlers (c) 2024
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indicator("Ehlers Ultimate Bands (UBANDS)", "UBANDS", overlay=true)
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//@function Calculates Ultimate Bands
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//@param src Source series for the bands
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//@param length Lookback period for the Ehlers Ultrasmooth Filter and RMS
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//@param mult RMS multiplier for band width
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//@returns tuple [upperBand, middleBand, lowerBand]
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ubands(series float src, simple int length, simple float mult) =>
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var float usf_state = na, var float c1=0.0, var float c2=0.0, var float c3=0.0, var int prev_len = 0
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if prev_len != length or na(c1)
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float arg = (math.sqrt(2)*math.pi)/math.max(1,float(length))
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float exp_arg = math.exp(-arg)
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c2 := 2*exp_arg*math.cos(arg)
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c3 := -exp_arg*exp_arg
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c1 := (1+c2-c3)/4.0
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prev_len := length
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usf_state := na
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float s = nz(src,src[1]), s1 = nz(src[1],s), s2 = nz(src[2],s1)
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float current_usf = na(usf_state) or na(usf_state[1]) or na(usf_state[2]) ? s :
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(1-c1)*s + (2*c1-c2)*s1 - (c1+c3)*s2 + c2*nz(usf_state[1],s1) + c3*nz(usf_state[2],s2)
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usf_state := current_usf
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float smooth = usf_state
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series float residuals = src - smooth
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float rms = 0.0
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if length > 0
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float sumSq_r = 0.0, int count_r = 0
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for i = 0 to length - 1
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float val_r = residuals[i]
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if not na(val_r)
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sumSq_r += val_r*val_r
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count_r += 1
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if count_r > 0
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rms := math.sqrt(sumSq_r/count_r)
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[smooth + mult*rms, smooth, smooth - mult*rms]
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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(20, "Length", minval=1, tooltip="Lookback period for smoothing and RMS calculation.")
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i_mult = input.float(1.0, "RMS Multiplier", minval=0.01, tooltip="Band width as multiple of RMS value.")
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// Calculation
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[upperBand, middleBand, lowerBand] = ubands(i_source, i_length, i_mult)
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// Plot
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plot(middleBand, "Middle Band", color=color.yellow, linewidth=2)
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p1 = plot(upperBand, "Upper Band", color=color.yellow, linewidth=2)
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p2 = plot(lowerBand, "Lower Band", color=color.yellow, linewidth=2)
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fill(p1, p2, color=color.new(color.blue, 90), title="Band Fill")
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