mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
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>
65 lines
2.5 KiB
Plaintext
65 lines
2.5 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Bollinger Band Width Percentile (BBWP)", "BBWP", overlay=false, format=format.percent)
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//@function Calculates Bollinger Band Width Percentile relative to historical range
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//@param source Series to calculate Bollinger Bands from
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//@param period Lookback period for BB calculations
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//@param multiplier Standard deviation multiplier for band width
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//@param lookback Historical lookback period for percentile calculation
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//@returns BBWP value representing current BBW percentile in historical range
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//@optimized for performance and dirty data
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bbwp(series float source, simple int period, simple float multiplier, simple int lookback) =>
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if period <= 0 or multiplier <= 0.0 or lookback <= 0
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runtime.error("Period, multiplier, and lookback must be greater than 0")
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var int p = math.max(1, period), var int head = 0, var int count = 0
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var array<float> buffer = array.new_float(p, na)
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var float sum = 0.0, var float sumSq = 0.0
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sum -= oldest
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sumSq -= oldest * oldest
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count -= 1
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float current_val = nz(source)
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sum += current_val
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sumSq += current_val * current_val
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count += 1
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array.set(buffer, head, current_val)
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head := (head + 1) % p
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float basis = nz(sum / count, source)
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float dev = count > 1 ? multiplier * math.sqrt(math.max(0.0, sumSq / count - basis * basis)) : 0.0
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float bbw = 2 * dev
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var int l = math.max(1, lookback), var int hist_head = 0, var int hist_count = 0
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var array<float> hist_buffer = array.new_float(l, na)
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float hist_oldest = array.get(hist_buffer, hist_head)
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if not na(hist_oldest)
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hist_count -= 1
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if not na(bbw)
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hist_count += 1
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array.set(hist_buffer, hist_head, bbw)
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hist_head := (hist_head + 1) % l
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if hist_count < 2
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0.5
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else
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int below_count = 0
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for i = 0 to hist_count - 1
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float val = array.get(hist_buffer, i)
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if not na(val) and val < bbw
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below_count += 1
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below_count / hist_count
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(20, "Period", minval=1)
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i_source = input.source(close, "Source")
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i_multiplier = input.float(2.0, "StdDev Multiplier", minval=0.001)
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i_lookback = input.int(252, "Lookback Period", minval=1)
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// Calculation
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bbwp_value = bbwp(i_source, i_period, i_multiplier, i_lookback)
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// Plot
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plot(bbwp_value, "BBWP", color=color.yellow, linewidth=2)
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