mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 19:37:43 +00:00
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
1.7 KiB
Plaintext
48 lines
1.7 KiB
Plaintext
// The MIT License (MIT)
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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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if atrPeriod <= 0
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runtime.error("ATR Period must be greater than 0")
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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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