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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.
62 lines
2.4 KiB
Plaintext
62 lines
2.4 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Kendall Rank Correlation (KENDALL)", "KENDALL", overlay=false, precision=4)
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//@function Calculates Kendall's Tau-a rank correlation coefficient.
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//@param source1 series float The first input series.
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//@param source2 series float The second input series.
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//@param length int The lookback period. Min 2, Max 60.
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//@returns series float Kendall's Tau-a coefficient, ranging from -1 to +1.
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kendall(series float source1, series float source2, simple int length) =>
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if length < 2
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float(na)
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else
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float[] src1_window = array.new_float(length)
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float[] src2_window = array.new_float(length)
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bool window_has_na = false
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for k = 0 to length - 1
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val1_k = source1[length - 1 - k]
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val2_k = source2[length - 1 - k]
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if na(val1_k) or na(val2_k)
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window_has_na := true
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break
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array.set(src1_window, k, val1_k)
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array.set(src2_window, k, val2_k)
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if window_has_na
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float(na)
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else
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concordant_pairs = 0
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discordant_pairs = 0
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for i = 0 to length - 2
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for j = i + 1 to length - 1
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val1_i = array.get(src1_window, i)
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val2_i = array.get(src2_window, i)
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val1_j = array.get(src1_window, j)
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val2_j = array.get(src2_window, j)
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diff_val1 = val1_i - val1_j
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diff_val2 = val2_i - val2_j
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product_of_signs = diff_val1 * diff_val2
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if product_of_signs > 0
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concordant_pairs += 1
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else if product_of_signs < 0
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discordant_pairs += 1
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denominator = length * (length - 1) / 2.0
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if denominator == 0.0
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float(na)
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else
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(concordant_pairs - discordant_pairs) / denominator
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// Inputs
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i_source1 = input.source(close, "Source 1")
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i_source2_ticker = input.symbol("SPY", "Source 2 Ticker (e.g., SPY, AAPL)")
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i_period = input.int(20, "Period", minval=2)
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i_source2 = request.security(i_source2_ticker, timeframe.period, close, lookahead=barmerge.lookahead_off)
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// Calculation
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kendall_value = kendall(i_source1, i_source2, i_period)
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// Plot
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plot(kendall_value, "Kendall's Tau", color=color.yellow, linewidth=2)
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