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https://github.com/mihakralj/QuanTAlib.git
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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.
72 lines
2.5 KiB
Plaintext
72 lines
2.5 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Beta Function (BETA)", "BETA", overlay=false)
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//@function Calculates the financial Beta indicator comparing src1 volatility to src2
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//@param src1 series float Series to analyze
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//@param src2 series float src2 series to compare against
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//@param period simple int Lookback period for calculation
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//@returns float Beta value showing src1 volatility relative to src2
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//@optimized for performance and dirty data
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beta(series float src1, series float src2, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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var float last_src1 = na
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var float last_src2 = na
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src1_return = last_src1 != 0 and not na(last_src1) ? (src1 - last_src1) / last_src1 : na
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bench_return = last_src2 != 0 and not na(last_src2) ? (src2 - last_src2) / last_src2 : na
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last_src1 := src1
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last_src2 := src2
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var int count = 0
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var float sum_sr = 0.0, var float sum_br = 0.0
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var float sum_sr2 = 0.0, var float sum_br2 = 0.0
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var float sum_sbr = 0.0
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var sr_buf = array.new_float(period)
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var br_buf = array.new_float(period)
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var int index = 0
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if not na(src1_return) and not na(bench_return)
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old_sr = array.get(sr_buf, index)
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old_br = array.get(br_buf, index)
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if count >= period
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sum_sr -= old_sr, sum_br -= old_br
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sum_sr2 -= old_sr * old_sr, sum_br2 -= old_br * old_br
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sum_sbr -= old_sr * old_br
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else
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count += 1
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sum_sr += src1_return, sum_br += bench_return
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sum_sr2 += src1_return * src1_return
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sum_br2 += bench_return * bench_return
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sum_sbr += src1_return * bench_return
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array.set(sr_buf, index, src1_return)
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array.set(br_buf, index, bench_return)
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index := (index + 1) % period
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if count > 0
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mean_sr = sum_sr / count
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mean_br = sum_br / count
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cov = (sum_sbr / count) - (mean_sr * mean_br)
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var_bench = (sum_br2 / count) - (mean_br * mean_br)
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if var_bench > 1e-10
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cov / var_bench
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else
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na
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else
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na
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// ---------- Main loop ----------
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// Inputs
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i_symbol = input.symbol("SPY", "src2 Symbol")
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i_period = input.int(14, "Period", minval=1)
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i_src1 = input.source(close, "src1")
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// Get src2 data
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src2Price = request.security(i_symbol, timeframe.period, close)
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// Calculate beta
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beta_value = beta(i_src1, src2Price, i_period)
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// Plot
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plot(beta_value, "Beta", color=color.yellow, linewidth=2)
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