mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
72 lines
2.5 KiB
Plaintext
72 lines
2.5 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Beta Function (BETA)", "BETA", overlay=false)
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//@function Calculates the financial Beta indicator comparing src1 volatility to src2
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//@param src1 series float Series to analyze
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//@param src2 series float src2 series to compare against
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//@param period simple int Lookback period for calculation
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//@returns float Beta value showing src1 volatility relative to src2
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//@optimized for performance and dirty data
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beta(series float src1, series float src2, 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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var float last_src1 = na
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var float last_src2 = na
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src1_return = last_src1 != 0 and not na(last_src1) ? (src1 - last_src1) / last_src1 : na
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bench_return = last_src2 != 0 and not na(last_src2) ? (src2 - last_src2) / last_src2 : na
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last_src1 := src1
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last_src2 := src2
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var int count = 0
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var float sum_sr = 0.0, var float sum_br = 0.0
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var float sum_sr2 = 0.0, var float sum_br2 = 0.0
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var float sum_sbr = 0.0
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var sr_buf = array.new_float(period)
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var br_buf = array.new_float(period)
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var int index = 0
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if not na(src1_return) and not na(bench_return)
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old_sr = array.get(sr_buf, index)
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old_br = array.get(br_buf, index)
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if count >= period
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sum_sr -= old_sr, sum_br -= old_br
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sum_sr2 -= old_sr * old_sr, sum_br2 -= old_br * old_br
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sum_sbr -= old_sr * old_br
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else
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count += 1
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sum_sr += src1_return, sum_br += bench_return
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sum_sr2 += src1_return * src1_return
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sum_br2 += bench_return * bench_return
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sum_sbr += src1_return * bench_return
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array.set(sr_buf, index, src1_return)
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array.set(br_buf, index, bench_return)
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index := (index + 1) % period
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if count > 0
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mean_sr = sum_sr / count
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mean_br = sum_br / count
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cov = (sum_sbr / count) - (mean_sr * mean_br)
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var_bench = (sum_br2 / count) - (mean_br * mean_br)
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if var_bench > 1e-10
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cov / var_bench
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else
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na
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else
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na
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// ---------- Main loop ----------
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// Inputs
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i_symbol = input.symbol("SPY", "src2 Symbol")
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i_period = input.int(14, "Period", minval=1)
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i_src1 = input.source(close, "src1")
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// Get src2 data
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src2Price = request.security(i_symbol, timeframe.period, close)
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// Calculate beta
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beta_value = beta(i_src1, src2Price, i_period)
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// Plot
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plot(beta_value, "Beta", color=color.yellow, linewidth=2)
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