mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +00:00
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>
56 lines
2.1 KiB
Plaintext
56 lines
2.1 KiB
Plaintext
// The MIT License (MIT)
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Variable Index Dynamic Average (VIDYA)", "VIDYA", overlay=true)
|
|
|
|
//@function Calculates VIDYA using adaptive smoothing based on market volatility
|
|
//@param source Series to calculate VIDYA from
|
|
//@param period Length of the smoothing period
|
|
//@param std_period Length of the standard deviation period, defaults to same as period
|
|
//@returns VIDYA value that adapts to market volatility
|
|
//@optimized Uses volatility index calculation with O(n) complexity per bar due to lookback loops
|
|
vidya(series float source, simple int period, simple int std_period=0) =>
|
|
if period <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
float alpha = 2.0 / (period + 1.0)
|
|
var float vidya = na
|
|
if not na(source)
|
|
int p = std_period > 0 ? std_period : period
|
|
float sum_p = 0.0
|
|
float sumSq_p = 0.0
|
|
float count_p = 0.0
|
|
float sum_5 = 0.0
|
|
float sumSq_5 = 0.0
|
|
float count_5 = 0.0
|
|
for i = 0 to math.max(p, 5) - 1
|
|
if not na(source[i])
|
|
float val = source[i]
|
|
if i < p
|
|
sum_p += val
|
|
sumSq_p += val * val
|
|
count_p += 1
|
|
if i < 5
|
|
sum_5 += val
|
|
sumSq_5 += val * val
|
|
count_5 += 1
|
|
float std = count_p > 0 ? math.sqrt(math.max((sumSq_p / count_p) - (sum_p / count_p) * (sum_p / count_p), 0.0)) : 0.0
|
|
float std_5 = count_5 > 0 ? math.sqrt(math.max((sumSq_5 / count_5) - (sum_5 / count_5) * (sum_5 / count_5), 0.0)) : 0.0
|
|
float vol_idx = std > 0 ? std_5 / std : 1.0
|
|
vol_idx := math.min(math.max(vol_idx, 0.0), 1.0)
|
|
float sc = alpha * vol_idx
|
|
vidya := na(vidya) ? source : source * sc + vidya * (1.0 - sc)
|
|
vidya
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_std_period = input.int(0, "Std Dev Period (0=use Period)", minval=0)
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
vidya_value = vidya(i_source, i_period, i_std_period)
|
|
|
|
// Plot
|
|
plot(vidya_value, "VIDYA", color=color.yellow, linewidth=2)
|