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>
48 lines
1.8 KiB
Plaintext
48 lines
1.8 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=5
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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.new(color.yellow, 0, color=color.yellow, linewidth=2), linewidth=2)
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