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86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
52 lines
2.0 KiB
Plaintext
52 lines
2.0 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Normalized Jurik Volatility (JVOLTYN)", "JVOLTYN", overlay=false)
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//@function Calculates normalized JVOLTYN using adaptive techniques to adjust to market volatility
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//@param source Series to calculate Jvolty from
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//@param period Number of bars used in the calculation
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//@returns JVOLTYN volatility
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//@optimized for performance and dirty data
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jvoltyn(series float source, simple int period) =>
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var simple float LEN1 = math.max((math.log(math.sqrt(0.5*(period-1))) / math.log(2.0)) + 2.0, 0)
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var simple float POW1 = math.max(LEN1 - 2.0, 0.5)
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var simple float LEN2 = math.sqrt(0.5*(period-1))*LEN1
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var simple float AVG_VOLTY_ALPHA = 2.0 / (math.max(4.0 * period, 65) + 1.0)
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var simple float DIV = 1.0/(10.0 + 10.0*(math.min(math.max(period-10,0),100))/100.0)
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var float upperBand = nz(source)
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var float lowerBand = nz(source)
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var float vSum = 0.0
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var float avgVolty = 0.0
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if na(source)
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na
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else
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float del1 = source - upperBand
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float del2 = source - lowerBand
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float volty = math.max(math.abs(del1), math.abs(del2))
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float past_volty = na(volty[10]) ? 0.0 : volty[10]
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vSum := vSum + (volty - past_volty) * DIV
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avgVolty := na(avgVolty) ? vSum : avgVolty + AVG_VOLTY_ALPHA * (vSum - avgVolty)
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float rvolty = 1.0
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if avgVolty > 0
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rvolty := volty / avgVolty
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rvolty := math.min(math.max(rvolty, 1.0), math.pow(LEN1, 1.0 / POW1))
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float Kv = math.pow(LEN2/(LEN2+1), math.sqrt(math.pow(rvolty, POW1)))
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upperBand := del1 > 0 ? source : source - Kv * del1
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lowerBand := del2 < 0 ? source : source - Kv * del2
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1.0 / (1.0 + math.exp(-(rvolty - 1.0) * 1.5))
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1, tooltip="Number of bars used in the calculation")
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i_source = input.source(close, "Source")
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// Calculation
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jvoltyn= jvoltyn(i_source, i_period)
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// Plot
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plot(jvoltyn, "JVoltyN", color=color.yellow, linewidth=2)
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