mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
46 lines
1.7 KiB
Plaintext
46 lines
1.7 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("Volatility Ratio (VR)", shorttitle="VR", format=format.price, precision=2, overlay=false)
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//@function Calculates the Volatility Ratio (VR).
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// All logic for True Range and ATR calculation is encapsulated within this function.
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// ATR uses Wilder's RMA with bias correction for initialization.
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//@param atrPeriod The lookback period for ATR. Must be > 0.
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//@returns float The Volatility Ratio value for the current bar.
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vr(int atrPeriod) =>
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var float EPSILON_ATR = 1e-10
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var float raw_atr = 0.0
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var float e_compensator = 1.0
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float tr = na
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float h_l = high - low
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if not na(close[1])
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float h_pc = math.abs(high - close[1])
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float l_pc = math.abs(low - close[1])
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tr := math.max(h_l, h_pc, l_pc)
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else
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tr := h_l
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float trForAtr = nz(tr)
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float atrCurrent = na
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if not na(trForAtr)
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float alpha = 1.0 / float(atrPeriod)
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if na(raw_atr[1]) and e_compensator == 1.0
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raw_atr := trForAtr
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else
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raw_atr := (nz(raw_atr[1]) * (atrPeriod - 1) + trForAtr) / atrPeriod
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e_compensator := (1.0 - alpha) * e_compensator
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atrCurrent := e_compensator > EPSILON_ATR ? raw_atr / (1.0 - e_compensator) : raw_atr
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float volatilityRatio = na
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if not na(atrCurrent) and atrCurrent != 0
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volatilityRatio := tr / atrCurrent
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volatilityRatio
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// Inputs
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i_atrPeriod = input.int(14, title="ATR Period", minval=1, tooltip="The lookbook period for calculating the Average True Range (ATR).")
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// Calculation
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vrValue = vr(i_atrPeriod)
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// Plot
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plot(vrValue, title="VR", color=color.yellow, linewidth=2)
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