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https://github.com/mihakralj/QuanTAlib.git
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68 lines
2.0 KiB
Plaintext
68 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("Forecast Oscillator (FOSC)", "FOSC", overlay=false)
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//@function Calculates Forecast Oscillator — percentage deviation from linear regression forecast
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//@param source Series to calculate from
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//@param period Lookback period for linear regression
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//@returns FOSC value: 100 * (source - LinReg) / source
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//@optimized O(1) complexity using incremental running sums for linear regression
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fosc(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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if period > 5000
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runtime.error("Period exceeds maximum of 5000")
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var int count = 0
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var int head = 0
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var float sumY = 0.0
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var float sumXY = 0.0
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var array<float> buffer = array.new_float(period, na)
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if na(source)
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na
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else
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sumY -= oldest
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sumXY -= sumY
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sumXY += (period - 1) * source
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else
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sumXY += count * source
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count += 1
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sumY += source
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array.set(buffer, head, source)
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head := (head + 1) % period
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if count < 2
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0.0
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else
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float n = float(count)
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float sumX = n * (n - 1.0) / 2.0
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float sumX2 = n * (n - 1.0) * (2.0 * n - 1.0) / 6.0
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float denomX = n * sumX2 - sumX * sumX
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if denomX == 0.0
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0.0
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else
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float slope = (n * sumXY - sumX * sumY) / denomX
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float intercept = (sumY - slope * sumX) / n
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float forecast = slope * (n - 1.0) + intercept
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source != 0.0 ? (source - forecast) / source * 100.0 : 0.0
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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i_period = input.int(14, "Period", minval=2, maxval=5000)
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// Calculation
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float result = fosc(i_source, i_period)
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// Plot
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plot(result, "FOSC", color=color.yellow, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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