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>
63 lines
2.0 KiB
Plaintext
63 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("Average Daily Range (ADR)", "ADR", overlay=false)
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//@function Calculates Average Daily Range with choice of smoothing method
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//@param length Period for smoothing calculations
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//@param method Smoothing method (1=SMA, 2=EMA, 3=WMA)
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//@returns float ADR value
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//@optimized for performance and dirty data
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adr(simple int length, simple int method = 1) =>
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if length <= 0
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runtime.error("Length must be greater than 0")
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if method < 1 or method > 3
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runtime.error("Method must be 1 (SMA), 2 (EMA), or 3 (WMA)")
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var int p = math.max(1, length)
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var int head = 0
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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
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var float wsum = 0.0
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float dayRange = high - low
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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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count -= 1
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sum += dayRange
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count += 1
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array.set(buffer, head, dayRange)
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head := (head + 1) % p
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var float EPSILON = 1e-10
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var float raw_ema = 0.0
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var float e = 1.0
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float result = na
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if method == 1 // SMA
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result := nz(sum / count, dayRange)
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else if method == 2 // EMA
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float alpha = 1.0/float(length)
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raw_ema := (raw_ema * (length - 1) + dayRange) / length
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e := (1 - alpha) * e
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result := e > EPSILON ? raw_ema / (1.0 - e) : raw_ema
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else // WMA
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wsum := 0.0
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float weight = length
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for i = 0 to length - 1
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wsum += nz(array.get(buffer, (head - i - 1 + p) % p)) * weight
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weight -= 1.0
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float divisor = length * (length + 1) / 2
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result := wsum / divisor
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result
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// ---------- Main loop ----------
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// Inputs
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i_length = input.int(14, "Length", minval=1, maxval=500, tooltip="Number of bars to average the daily range over")
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i_method = input.int(1, "Method", minval=1, maxval=3, tooltip="1=SMA, 2=EMA, 3=WMA")
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// Calculation
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adrValue = adr(i_length, i_method)
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// Plot
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plot(adrValue, "ADR", color=color.yellow, linewidth=2)
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