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Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
55 lines
2.1 KiB
Plaintext
55 lines
2.1 KiB
Plaintext
// The MIT License (MIT)
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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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