mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +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.
78 lines
2.3 KiB
Plaintext
78 lines
2.3 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Jurik Composite Fractal Behavior", "CFB", overlay=false)
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//@function Calculates Jurik Composite Fractal Behavior (Trend Duration Index)
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//@param source Series to calculate CFB from
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//@param maxLength Maximum lookback length (default 192, lengths 2,4,6,...,maxLength used)
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//@returns CFB value - weighted average of efficient trend lengths, minimum 1
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cfb(series float source, simple int maxLength = 192) =>
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// Generate lengths array: 2, 4, 6, ..., maxLength
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int numLengths = int(maxLength / 2)
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// Persistent state
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var float prevCfb = 1.0
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var array<float> runningSums = array.new_float(numLengths, 0.0)
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float currentVol = bar_index == 0 ? 0.0 : math.abs(source - source[1])
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float sumWeightedLen = 0.0
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float sumWeights = 0.0
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// Update running sums and calculate ratios for each length
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for i = 0 to numLengths - 1
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int L = (i + 1) * 2
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// Update running sum of volatility
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float oldSum = array.get(runningSums, i)
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float volToRemove = bar_index > L ? math.abs(source[L] - source[L + 1]) : 0.0
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float newSum = oldSum + currentVol - volToRemove
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array.set(runningSums, i, newSum)
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// Skip if not enough bars
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if bar_index < L
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continue
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// Skip if very small volatility
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if newSum < 1e-12
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continue
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// Net move over L bars
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float netMove = math.abs(source - source[L])
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float ratio = netMove / newSum
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if ratio >= 0.25
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sumWeightedLen += float(L) * ratio
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sumWeights += ratio
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// Calculate CFB
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float cfbVal = 1.0
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if sumWeights > 0.25
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cfbVal := sumWeightedLen / sumWeights
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else
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cfbVal := prevCfb > 1.0 ? prevCfb * 0.5 : 1.0
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if cfbVal < 1.0
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cfbVal := 1.0
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cfbVal := math.round(cfbVal)
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if cfbVal < 1.0
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cfbVal := 1.0
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prevCfb := cfbVal
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cfbVal
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// ---------- Main loop ----------
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// Inputs
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i_maxLength = input.int(192, "Max Length", minval=4, step=2, tooltip="Maximum lookback length. Lengths 2,4,6,...,maxLength are used")
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i_source = input.source(close, "Source")
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// Calculation
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cfb_value = cfb(i_source, i_maxLength)
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// Plot
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plot(cfb_value, "CFB", color=color.yellow, linewidth=2)
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hline(1, "Min", color=color.gray, linestyle=hline.style_dotted)
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