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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.
48 lines
1.4 KiB
Plaintext
48 lines
1.4 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Theil Index (THEIL)", "THEIL", overlay=false, precision=6)
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//@function Calculates Theil's T Index for a series over a lookback period.
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//@param src series float Input data series (must be positive values).
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//@param len simple int Lookback period (must be > 0).
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//@returns series float The Theil's T Index, or na if data is not suitable.
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theil_t_index(series float src, simple int len) =>
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if len <= 0
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float(na)
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float sum_src = 0.0
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int n_valid = 0
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float[] values_arr = array.new_float()
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for i = 0 to len - 1
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val = src[i]
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if not na(val) and val > 0
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array.push(values_arr, val)
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sum_src += val
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n_valid += 1
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if n_valid == 0
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float(na)
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float mean_val = sum_src / n_valid
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if mean_val <= 0
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float(na)
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float theil_sum = 0.0
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for i = 0 to n_valid - 1
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xi = array.get(values_arr, i)
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ratio = xi / mean_val
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if ratio > 0
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theil_sum += ratio * math.log(ratio)
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float theil_t = na
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if n_valid > 0
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theil_t := theil_sum / n_valid
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theil_t
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// Inputs
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i_source = input.source(close, title="Source (must be positive values)")
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i_length = input.int(14, title="Lookback Period", minval=1)
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// Calculation
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theil_value = theil_t_index(i_source, i_length)
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// Plot
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plot(theil_value, "Theil T Index", color=color.yellow, linewidth=2)
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