-
Notifications
You must be signed in to change notification settings - Fork 1
/
LS Volatility Index.pine
386 lines (324 loc) · 26 KB
/
LS Volatility Index.pine
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
// @version=5
// @License This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// @Author andre_007
// @description LS Volatility Index
// @Thanks and credits:
// - Alexandre Wolwacz (Stormer), Fabrício Lorenz, Fábio Figueiredo (Vlad): for explanation of the original indicator
// - Feature scaler (for normalization)
// - HPotter (for calc of Historical Volatility)
// - © The_Caretaker (for theme of color spectrum)
indicator("LS Volatility Index", shorttitle='LS Volatility Index', format=format.price, precision=2, timeframe="")
// ------------------------- Constants {
var string GROUP_MA = 'Moving Average of Price'
var string GROUP_LS = 'LS Volatility Index'
var string GROUP_LS_AL = 'Alerts for LS'
var string GROUP_ATR = 'ATR - Average True Range'
var string GROUP_ATR_AL = 'Alerts for ATR'
var string TOOLTIP_1 = 'Moving Average of price.\n' +
'The distance of the price to this moving average will be calculate through the LS indicator.\n' +
'The period has no effect on the VWAP.'
var string TOOLTIP_2 = 'Period used in normalization calculation.\n' +
'Normalization involves transforming the indicator in the range from 0 to 100.\n' +
'High values decrease noise, but as a side effect they can make it difficult to visualize current movements.\n' +
'Low values increase noise, and as a side effect it generates a lot of pollution and false flags.'
var string TOOLTIP_4 = 'This will show the ATR (Average True Range)'
var string TOOLTIP_6 = 'Values used in normalization range'
var string TOOLTIP_7 = 'Calculates the index dividing by historical volatility, that is, obtaining the ratio between candle variation and historical volatility.'
var string TOOLTIP_8 = 'Individual colors do not apply when the theme is not the default'
var string SMA = 'Simple Moving Average'
var string EMA = 'Exponential Moving Average'
var string HMA = 'Hull Moving Average'
var string ALMA = 'Arnaud Legoux Moving Average'
var string MEDIAN = 'Median'
var string VWAP = 'VWAP'
var color TRANSPARENT = color.new(color.white, 100)
var arrayColorBGR = array.new_color(na)
var arrayColorBR = array.new_color(na)
if barstate.isfirst
array.push ( arrayColorBGR, #0000FF )
array.push ( arrayColorBGR, #000AFF ), array.push ( arrayColorBGR, #0014FF ), array.push ( arrayColorBGR, #001FFF ), array.push ( arrayColorBGR, #0029FF ), array.push ( arrayColorBGR, #0033FF ),
array.push ( arrayColorBGR, #003DFF ), array.push ( arrayColorBGR, #0047FF ), array.push ( arrayColorBGR, #0052FF ), array.push ( arrayColorBGR, #005CFF ), array.push ( arrayColorBGR, #0066FF ),
array.push ( arrayColorBGR, #0070FF ), array.push ( arrayColorBGR, #007AFF ), array.push ( arrayColorBGR, #0085FF ), array.push ( arrayColorBGR, #008FFF ), array.push ( arrayColorBGR, #0099FF ),
array.push ( arrayColorBGR, #00A3FF ), array.push ( arrayColorBGR, #00ADFF ), array.push ( arrayColorBGR, #00B8FF ), array.push ( arrayColorBGR, #00C2FF ), array.push ( arrayColorBGR, #00CCFF ),
array.push ( arrayColorBGR, #00D6FF ), array.push ( arrayColorBGR, #00E0FF ), array.push ( arrayColorBGR, #00EBFF ), array.push ( arrayColorBGR, #00F5FF ), array.push ( arrayColorBGR, #00FFFF ),
array.push ( arrayColorBGR, #00FFF5 ), array.push ( arrayColorBGR, #00FFEB ), array.push ( arrayColorBGR, #00FFE0 ), array.push ( arrayColorBGR, #00FFD6 ), array.push ( arrayColorBGR, #00FFCC ),
array.push ( arrayColorBGR, #00FFC2 ), array.push ( arrayColorBGR, #00FFB8 ), array.push ( arrayColorBGR, #00FFAD ), array.push ( arrayColorBGR, #00FFA3 ), array.push ( arrayColorBGR, #00FF99 ),
array.push ( arrayColorBGR, #00FF8F ), array.push ( arrayColorBGR, #00FF85 ), array.push ( arrayColorBGR, #00FF7A ), array.push ( arrayColorBGR, #00FF70 ), array.push ( arrayColorBGR, #00FF66 ),
array.push ( arrayColorBGR, #00FF5C ), array.push ( arrayColorBGR, #00FF52 ), array.push ( arrayColorBGR, #00FF47 ), array.push ( arrayColorBGR, #00FF3D ), array.push ( arrayColorBGR, #00FF33 ),
array.push ( arrayColorBGR, #00FF29 ), array.push ( arrayColorBGR, #00FF1F ), array.push ( arrayColorBGR, #00FF14 ), array.push ( arrayColorBGR, #00FF0A ), array.push ( arrayColorBGR, #00FF00 ),
array.push ( arrayColorBGR, #0AFF00 ), array.push ( arrayColorBGR, #14FF00 ), array.push ( arrayColorBGR, #1FFF00 ), array.push ( arrayColorBGR, #29FF00 ), array.push ( arrayColorBGR, #33FF00 ),
array.push ( arrayColorBGR, #3DFF00 ), array.push ( arrayColorBGR, #47FF00 ), array.push ( arrayColorBGR, #52FF00 ), array.push ( arrayColorBGR, #5CFF00 ), array.push ( arrayColorBGR, #66FF00 ),
array.push ( arrayColorBGR, #70FF00 ), array.push ( arrayColorBGR, #7AFF00 ), array.push ( arrayColorBGR, #85FF00 ), array.push ( arrayColorBGR, #8FFF00 ), array.push ( arrayColorBGR, #99FF00 ),
array.push ( arrayColorBGR, #A3FF00 ), array.push ( arrayColorBGR, #ADFF00 ), array.push ( arrayColorBGR, #B8FF00 ), array.push ( arrayColorBGR, #C2FF00 ), array.push ( arrayColorBGR, #CCFF00 ),
array.push ( arrayColorBGR, #D6FF00 ), array.push ( arrayColorBGR, #E0FF00 ), array.push ( arrayColorBGR, #EBFF00 ), array.push ( arrayColorBGR, #F5FF00 ), array.push ( arrayColorBGR, #FFFF00 ),
array.push ( arrayColorBGR, #FFF500 ), array.push ( arrayColorBGR, #FFEB00 ), array.push ( arrayColorBGR, #FFE000 ), array.push ( arrayColorBGR, #FFD600 ), array.push ( arrayColorBGR, #FFCC00 ),
array.push ( arrayColorBGR, #FFC200 ), array.push ( arrayColorBGR, #FFB800 ), array.push ( arrayColorBGR, #FFAD00 ), array.push ( arrayColorBGR, #FFA300 ), array.push ( arrayColorBGR, #FF9900 ),
array.push ( arrayColorBGR, #FF8F00 ), array.push ( arrayColorBGR, #FF8500 ), array.push ( arrayColorBGR, #FF7A00 ), array.push ( arrayColorBGR, #FF7000 ), array.push ( arrayColorBGR, #FF6600 ),
array.push ( arrayColorBGR, #FF5C00 ), array.push ( arrayColorBGR, #FF5200 ), array.push ( arrayColorBGR, #FF4700 ), array.push ( arrayColorBGR, #FF3D00 ), array.push ( arrayColorBGR, #FF3300 ),
array.push ( arrayColorBGR, #FF2900 ), array.push ( arrayColorBGR, #FF1F00 ), array.push ( arrayColorBGR, #FF1400 ), array.push ( arrayColorBGR, #FF0000 ), array.push ( arrayColorBGR, #FF0000 )
array.push ( arrayColorBR, #0000FF )
array.push ( arrayColorBR, #0200FC ), array.push ( arrayColorBR, #0500F9 ), array.push ( arrayColorBR, #0700F7 ), array.push ( arrayColorBR, #0A00F4 ), array.push ( arrayColorBR, #0C00F2 ),
array.push ( arrayColorBR, #0F00EF ), array.push ( arrayColorBR, #1100ED ), array.push ( arrayColorBR, #1400EA ), array.push ( arrayColorBR, #1600E8 ), array.push ( arrayColorBR, #1900E5 ),
array.push ( arrayColorBR, #1C00E2 ), array.push ( arrayColorBR, #1E00E0 ), array.push ( arrayColorBR, #2100DD ), array.push ( arrayColorBR, #2300DB ), array.push ( arrayColorBR, #2600D8 ),
array.push ( arrayColorBR, #2800D6 ), array.push ( arrayColorBR, #2B00D3 ), array.push ( arrayColorBR, #2D00D1 ), array.push ( arrayColorBR, #3000CE ), array.push ( arrayColorBR, #3300CC ),
array.push ( arrayColorBR, #3500C9 ), array.push ( arrayColorBR, #3800C6 ), array.push ( arrayColorBR, #3A00C4 ), array.push ( arrayColorBR, #3D00C1 ), array.push ( arrayColorBR, #3F00BF ),
array.push ( arrayColorBR, #4200BC ), array.push ( arrayColorBR, #4400BA ), array.push ( arrayColorBR, #4700B7 ), array.push ( arrayColorBR, #4900B5 ), array.push ( arrayColorBR, #4C00B2 ),
array.push ( arrayColorBR, #4F00AF ), array.push ( arrayColorBR, #5100AD ), array.push ( arrayColorBR, #5400AA ), array.push ( arrayColorBR, #5600A8 ), array.push ( arrayColorBR, #5900A5 ),
array.push ( arrayColorBR, #5B00A3 ), array.push ( arrayColorBR, #5E00A0 ), array.push ( arrayColorBR, #60009E ), array.push ( arrayColorBR, #63009B ), array.push ( arrayColorBR, #660099 ),
array.push ( arrayColorBR, #680096 ), array.push ( arrayColorBR, #6B0093 ), array.push ( arrayColorBR, #6D0091 ), array.push ( arrayColorBR, #70008E ), array.push ( arrayColorBR, #72008C ),
array.push ( arrayColorBR, #750089 ), array.push ( arrayColorBR, #770087 ), array.push ( arrayColorBR, #7A0084 ), array.push ( arrayColorBR, #7C0082 ), array.push ( arrayColorBR, #7F007F ),
array.push ( arrayColorBR, #82007C ), array.push ( arrayColorBR, #84007A ), array.push ( arrayColorBR, #870077 ), array.push ( arrayColorBR, #890075 ), array.push ( arrayColorBR, #8C0072 ),
array.push ( arrayColorBR, #8E0070 ), array.push ( arrayColorBR, #91006D ), array.push ( arrayColorBR, #93006B ), array.push ( arrayColorBR, #960068 ), array.push ( arrayColorBR, #990066 ),
array.push ( arrayColorBR, #9B0063 ), array.push ( arrayColorBR, #9E0060 ), array.push ( arrayColorBR, #A0005E ), array.push ( arrayColorBR, #A3005B ), array.push ( arrayColorBR, #A50059 ),
array.push ( arrayColorBR, #A80056 ), array.push ( arrayColorBR, #AA0054 ), array.push ( arrayColorBR, #AD0051 ), array.push ( arrayColorBR, #AF004F ), array.push ( arrayColorBR, #B2004C ),
array.push ( arrayColorBR, #B50049 ), array.push ( arrayColorBR, #B70047 ), array.push ( arrayColorBR, #BA0044 ), array.push ( arrayColorBR, #BC0042 ), array.push ( arrayColorBR, #BF003F ),
array.push ( arrayColorBR, #C1003D ), array.push ( arrayColorBR, #C4003A ), array.push ( arrayColorBR, #C60038 ), array.push ( arrayColorBR, #C90035 ), array.push ( arrayColorBR, #CC0033 ),
array.push ( arrayColorBR, #CE0030 ), array.push ( arrayColorBR, #D1002D ), array.push ( arrayColorBR, #D3002B ), array.push ( arrayColorBR, #D60028 ), array.push ( arrayColorBR, #D80026 ),
array.push ( arrayColorBR, #DB0023 ), array.push ( arrayColorBR, #DD0021 ), array.push ( arrayColorBR, #E0001E ), array.push ( arrayColorBR, #E2001C ), array.push ( arrayColorBR, #E50019 ),
array.push ( arrayColorBR, #E80016 ), array.push ( arrayColorBR, #EA0014 ), array.push ( arrayColorBR, #ED0011 ), array.push ( arrayColorBR, #EF000F ), array.push ( arrayColorBR, #F2000C ),
array.push ( arrayColorBR, #F4000A ), array.push ( arrayColorBR, #F70007 ), array.push ( arrayColorBR, #F90005 ), array.push ( arrayColorBR, #FC0002 ), array.push ( arrayColorBR, #FF0000 )
// ------------------------- }
// ------------------------- Inputs {
//---------------------
// LS Index
//---------------------
// Moving Average of Price
float srcMaPrice = input.source(defval=close, title='Source', inline='1', group=GROUP_MA, tooltip=TOOLTIP_1)
var string typeMaPrice = input.string(defval=EMA, title='Type',
options=[SMA, EMA, HMA, ALMA, MEDIAN, VWAP],
inline='1', group=GROUP_MA)
var int lenMaPrice = input.int(defval=55, title='Length', inline='1', minval=1, group=GROUP_MA)
// LS Volatility Index
var int lenHistVol = input.int(defval=89, title='Length for Historical Volatility', inline='4', minval=1, group=GROUP_LS)
var int lenNormal = input.int(defval=89, title='Normalization Length', inline='5', minval=1, tooltip=TOOLTIP_2, group=GROUP_LS)
var color colorBottom = input.color(defval=color.new(#3af13c, 0), title='Bottom', inline='6', group=GROUP_LS)
var int lowerEndLs = input.int(defval=0, title='', inline='6', group=GROUP_LS, tooltip=TOOLTIP_6)
var color colorTop = input.color(defval=color.new(#ff0000, 0), title='Top', inline='6', group=GROUP_LS)
var int upperEndLs = input.int(defval=100, title='', inline='6', group=GROUP_LS, tooltip=TOOLTIP_6)
// Smooth LS
var bool boolSmoothLS = input.bool(defval=false, title='Smooth indicator?', inline='10', group=GROUP_LS)
var string typeMaSmooth = input.string(defval=EMA, title='Type',
options=[SMA, EMA, HMA, ALMA], inline='10', group=GROUP_LS)
var int lenSmoothLS = input.int(defval=5, title='Length', inline='10', minval=1, group=GROUP_LS)
// Moving Average of LS
var bool showMaLS = input.bool(defval=true, title='Show moving average?', inline='20', group=GROUP_LS)
var string typeMaLS = input.string(defval=EMA, title='Type',
options=[SMA, EMA, HMA, ALMA, MEDIAN], inline='20', group=GROUP_LS)
var int lenMaLS = input.int(defval=5, title='Length', inline='20', minval=1, group=GROUP_LS)
var color colorMaLS = input.color(defval=color.white, title='Color of MA', inline='21', group=GROUP_LS)
var bool alterColorMaLs = input.bool(defval=false, title='Change color of MA when above or bellow indicator?', inline='21', group=GROUP_LS)
var color colorAboveMaLS = input.color(defval=color.new(#ff0000, 0), title='MA bellow indicator', inline='22', group=GROUP_LS)
var color colorBellowMaLS = input.color(defval=color.new(#3af13c, 0), title='MA above indicator', inline='22', group=GROUP_LS)
var bool ribbonMaLs = input.bool(defval=false, title='Apply ribbon filling between indicator and MA?', inline='23', group=GROUP_LS)
// Theme
var string themeLS = input.string(defval='Default', title='Theme for LS',
options=['Default', 'Spectrum Blue-Green-Red', 'Spectrum Blue-Red'], inline='25', group=GROUP_LS, tooltip=TOOLTIP_8)
//--> Alerts
// Markers
var bool showMarkers = input.bool(defval=true, title='Show markers when indicator reaches limit?', inline='30', group=GROUP_LS_AL)
var color colorMarkerBottom = input.color(defval=color.new(#3af13c, 0), title='Bottom', inline='31', group=GROUP_LS_AL)
var int bottomMarkerLS = input.int(defval=0, title='', inline='31', group=GROUP_LS_AL)
var color colorMarkerTop = input.color(defval=color.new(#ff0000, 0), title='Top', inline='31', group=GROUP_LS_AL)
var int topMarkerLS = input.int(defval=100, title='', inline='31', group=GROUP_LS_AL)
// Fill Background
var bool showFill = input.bool(defval=false, title='Fill background when indicator reaches limit?', inline='40', group=GROUP_LS_AL)
var color colorNearBg = input.color(defval=color.new(#3af13c, 75), title='Bottom', inline='41', group=GROUP_LS_AL)
var int bottomFillLS = input.int(defval=0, title='', inline='41', group=GROUP_LS_AL)
var color colorFarBg = input.color(defval=color.new(#ff0000, 75), title='Top', inline='41', group=GROUP_LS_AL)
var int topFillLS = input.int(defval=100, title='', inline='41', group=GROUP_LS_AL)
// Bar Color
var bool showBarColor = input.bool(defval=true, title='Change bar color when indicator reaches limit?', inline='50', group=GROUP_LS_AL)
var color colorNearBar = input.color(defval=color.new(#1101ff, 0), title='Bottom', inline='51', group=GROUP_LS_AL)
var int bottomBarLS = input.int(defval=0, title='', inline='51', group=GROUP_LS_AL)
var color colorFarBar = input.color(defval=color.new(#1101ff, 0), title='Top', inline='51', group=GROUP_LS_AL)
var int topBarLS = input.int(defval=100, title='', inline='51', group=GROUP_LS_AL)
// Cross
var bool crossLS = input.bool(defval=false, title='Show marker when indicator crosses moving average?', inline='52', group=GROUP_LS_AL)
var color colorCrossOver = input.color(defval=color.new(#ff0000, 0), title='Cross Over', inline='53', group=GROUP_LS_AL)
var color colorCrossUnder = input.color(defval=color.new(#3af13c, 0), title='Cross Under', inline='53', group=GROUP_LS_AL)
var bool showFillCross = input.bool(defval=false, title='Fill background when indicator crosses MA?', inline='54', group=GROUP_LS_AL)
var color colorCrossOverBg = input.color(defval=color.new(#ff0000, 75), title='Cross Over', inline='55', group=GROUP_LS_AL)
var color colorCrossUnderBg = input.color(defval=color.new(#3af13c, 75), title='Cross Under', inline='55', group=GROUP_LS_AL)
//---------------------
// ATR
//---------------------
var bool showATRvol = input.bool(defval=true, title='Show ATR?', inline='60', group=GROUP_ATR, tooltip=TOOLTIP_4)
var int lenATR = input.int(defval=1, minval=1, title='Length', inline='60', group=GROUP_ATR, tooltip=TOOLTIP_4)
var bool calcHistVol = input.bool(defval=true, title='Consider Historical Volatility?', inline='61', group=GROUP_ATR, tooltip=TOOLTIP_7)
var color colorATRbottom = input.color(defval=color.new(#0EEAFF, 50), title='Bottom', inline='62', group=GROUP_ATR)
var int bottomATR = input.int(defval=0, title='', inline='62', group=GROUP_ATR)
var color colorATRtop = input.color(defval=color.new(#1101ff, 0), title='Top', inline='62', group=GROUP_ATR)
var int topATR = input.int(defval=100, title='', inline='62', group=GROUP_ATR, tooltip=TOOLTIP_6)
// Smooth
var bool boolSmoothATR = input.bool(defval=true, title='Smooth ATR?', inline='65', group=GROUP_ATR)
var string typeMaSmoothATR = input.string(defval=EMA, title='Type',
options=[SMA, EMA, HMA, ALMA], inline='65', group=GROUP_ATR)
var int lenSmoothATR = input.int(defval=5, title='Length', inline='65', minval=1, group=GROUP_ATR)
// Theme
var string themeATR = input.string(defval='Spectrum Blue-Red', title='Theme for ATR',
options=['Default', 'Spectrum Blue-Green-Red', 'Spectrum Blue-Red'], inline='66', group=GROUP_ATR, tooltip=TOOLTIP_8)
// --> Alerts
// Markers
var bool showMarkersATR = input.bool(defval=true, title='Show markers when indicator reaches limit?', inline='70', group=GROUP_ATR_AL)
var color colorMarkerATRbot = input.color(defval=color.new(#3af13c, 0), title='Bottom', inline='71', group=GROUP_ATR_AL)
var int bottomMarkerATR = input.int(defval=5, title='', inline='71', group=GROUP_ATR_AL)
var color colorMarkerATRtop = input.color(defval=color.new(#ff0000, 0), title='Top', inline='71', group=GROUP_ATR_AL)
var int topMarkerATR = input.int(defval=65, title='', inline='71', group=GROUP_ATR_AL)
// Fill Background
var bool showFillATR = input.bool(defval=false, title='Fill background when indicator reaches limit?', inline='80', group=GROUP_ATR_AL)
var color colorNearBgATR = input.color(defval=color.new(#3af13c, 75), title='Bottom', inline='81', group=GROUP_ATR_AL)
var int bottomFillATR = input.int(defval=5, title='', inline='81', group=GROUP_ATR_AL)
var color colorFarBgATR = input.color(defval=color.new(#ff0000, 75), title='Top', inline='81', group=GROUP_ATR_AL)
var int topFillATR = input.int(defval=65, title='', inline='81', group=GROUP_ATR_AL)
// Bar Color
var bool showBarColorATR = input.bool(defval=true, title='Change bar color when indicator reaches limit?', inline='90', group=GROUP_ATR_AL)
var color colorNearBarATR = input.color(defval=color.new(#1101ff, 0), title='Bottom', inline='91', group=GROUP_ATR_AL)
var int bottomBarATR = input.int(defval=5, title='', inline='91', group=GROUP_ATR_AL)
var color colorFarBarATR = input.color(defval=color.new(#1101ff, 0), title='Top', inline='91', group=GROUP_ATR_AL)
var int topBarATR = input.int(defval=65, title='', inline='91', group=GROUP_ATR_AL)
// ------------------------- }
// ------------------------- Historical Volatility {
fHistoricalVolatility() =>
historicalVolatility = 0.0
xATR = ta.atr(lenHistVol)
historicalVolatility := ((lenHistVol - 1) * nz(historicalVolatility[1], 0) + xATR) / lenHistVol
// ------------------------- }
// ------------------------- Moving Average {
fCalcMa(series float src, simple string type, simple int len) =>
maRet = switch type
SMA => ta.sma(src, len)
EMA => ta.ema(src, len)
HMA => ta.hma(src, len)
ALMA => ta.alma(src, len, 0.85, 6, false)
MEDIAN => ta.median(src, len)
VWAP => ta.vwap(src)
// ------------------------- }
// ------------------------- Normalization {
fNormalize(series float src, simple int len, simple float _lowerEnd, simple float _upperEnd) =>
min = ta.lowest(source=src, length=len)
max = ta.highest(source=src, length=len)
valueNormal = _lowerEnd + ( (src - min) * (_upperEnd - _lowerEnd)/(max - min) )
// ------------------------- }
// ------------------------- LS Volatility Index {
ma = fCalcMa(srcMaPrice, typeMaPrice, lenMaPrice)
distance = math.abs ( (high >= ma ? high : low) - ma) / ma
distance := distance * 100
historicalVolatility = fHistoricalVolatility()
lsVolatility = (distance/historicalVolatility) * 100
// Normalization
lsNormalized = fNormalize(src=lsVolatility, len=lenNormal, _lowerEnd=lowerEndLs, _upperEnd=upperEndLs)
// Smooth
if boolSmoothLS
lsNormalized := fCalcMa(lsNormalized, typeMaSmooth, lenSmoothLS)
// Moving Average of LS Volatility Index
float maLS = na
if showMaLS
maLS := fCalcMa(lsNormalized, typeMaLS, lenMaLS)
// ------------------------- }
// ------------------------- ATR {
float candleAmplitude = ta.atr(lenATR) // na(high[1])? high-low : math.max(math.max(high - low, math.abs(high - close[1])), math.abs(low - close[1]))
atrVolatilityIndex = if calcHistVol
(candleAmplitude/historicalVolatility) * 100
else
candleAmplitude
// Normalization
atrVolatilityIndexNormal = fNormalize(src=atrVolatilityIndex, len=lenNormal, _lowerEnd=bottomATR, _upperEnd=topATR)
// Smooth
if boolSmoothATR
atrVolatilityIndexNormal := fCalcMa(atrVolatilityIndexNormal, typeMaSmoothATR, lenSmoothATR)
// ------------------------- }
// ------------------------- Colors {
fSetColorBGR(percent) =>
array.get ( arrayColorBGR, math.round ( percent ) )
fSetColorBR(percent) =>
array.get ( arrayColorBR, math.round ( percent ) )
// ------------------------- }
// ------------------------- Plots - LS Volatility Index {
colorLS = switch themeLS
'Default' => color.from_gradient(lsNormalized > lsNormalized[1] ? lsNormalized : lsNormalized[1], lowerEndLs, upperEndLs, colorBottom, colorTop)
'Spectrum Blue-Green-Red' => fSetColorBGR(lsNormalized)
'Spectrum Blue-Red' => fSetColorBR(lsNormalized)
colorMaLS := if alterColorMaLs
if lsNormalized > maLS
colorAboveMaLS
else
colorBellowMaLS
else
colorMaLS
lsPlot = plot(lsNormalized, color=colorLS, linewidth=2, title='LS Volatility Index')
maLsPlot = plot(maLS, color=colorMaLS, linewidth=2, title='Moving Average of LS Volatility Index')
// Lines
hLine000 = hline(0, color=TRANSPARENT, linestyle=hline.style_dotted, title='Botton Line')
hLine030 = hline(30, color=color.new(#ff0000, 0), linestyle=hline.style_dotted, title='Alert of Volatility')
hLine100 = hline(100, color=TRANSPARENT, linestyle=hline.style_dotted, title='Top Line')
plotchar(showMarkers and lsNormalized<=bottomMarkerLS ? lsNormalized : na, title='Marker when indicator reachs bottom', color=colorMarkerBottom, location=location.absolute, char='●', size=size.tiny)
plotchar(showMarkers and lsNormalized>=topMarkerLS ? lsNormalized : na, title='Marker when indicator reachs top', color=colorMarkerTop, location=location.absolute, char='●', size=size.tiny)
colorFillLsBottom = if showFill
if lsNormalized <= bottomFillLS or lsNormalized[1] <= bottomFillLS
colorNearBg
else
na
else
na
colorFillLsTop = if showFill
if lsNormalized >= topFillLS or lsNormalized[1] >= topFillLS
colorFarBg
else
na
else
na
fill(hLine000, hLine100, color=colorFillLsBottom, title='Fill background when indicator reachs bottom')
fill(hLine000, hLine100, color=colorFillLsTop, title='Fill background when indicator reachs top')
barcolor(barstate.isconfirmed and showBarColor and lsNormalized <= bottomBarLS ? colorNearBar : na, title='Bar color when indicator reachs bottom')
barcolor(barstate.isconfirmed and showBarColor and lsNormalized >= topBarLS ? colorFarBar : na, title='Bar color when indicator reachs top')
fill(lsPlot, maLsPlot, color=showMaLS and ribbonMaLs ? colorLS : na, title='Ribbon filling between indicator and MA')
// Crossover
plotshape(crossLS and ta.crossover(lsNormalized, maLS) ? maLS : na, title="Crossover", location=location.absolute, style=shape.xcross, size=size.tiny, color=colorCrossOver)
plotshape(crossLS and ta.crossunder(lsNormalized, maLS) ? maLS : na, title="Crossunder", location=location.absolute, style=shape.xcross, size=size.tiny, color=colorCrossUnder)
color _colorCrossOverBg = if showFillCross
if ta.crossover(lsNormalized, maLS)
colorCrossOverBg
else
na
else
na
color _colorCrossUnderBg = if showFillCross
if ta.crossunder(lsNormalized, maLS)
colorCrossUnderBg
else
na
else
na
fill(hLine000, hLine100, color=_colorCrossOverBg, title='Fill background when indicator cross over MA')
fill(hLine000, hLine100, color=_colorCrossUnderBg, title='Fill background when indicator cross under MA')
// ------------------------- }
// ------------------------- Plots - ATR {
colorAtr = if showATRvol
switch themeATR
'Default' => color.from_gradient(atrVolatilityIndexNormal > atrVolatilityIndexNormal[1] ? atrVolatilityIndexNormal : atrVolatilityIndexNormal[1], bottomATR, topATR, colorATRbottom, colorATRtop)
'Spectrum Blue-Green-Red' => fSetColorBGR(atrVolatilityIndexNormal)
'Spectrum Blue-Red' => fSetColorBR(atrVolatilityIndexNormal)
else
na
plot(atrVolatilityIndexNormal, color=colorAtr, linewidth=1, title='ATR', style=plot.style_histogram)
barcolor(showATRvol and barstate.isconfirmed and showBarColorATR and atrVolatilityIndexNormal <= bottomBarATR ? colorNearBarATR : na, title='Bar color when ATR reachs bottom')
barcolor(showATRvol and barstate.isconfirmed and showBarColorATR and atrVolatilityIndexNormal >= topBarATR ? colorFarBarATR : na, title='Bar color when ATR reachs top')
plotchar(showATRvol and showMarkersATR and atrVolatilityIndexNormal <= bottomMarkerATR ? bottomATR : na, title='Marker when ATR reachs bottom', color=colorMarkerATRbot, location=location.absolute, char='▪', size=size.tiny)
plotchar(showATRvol and showMarkersATR and atrVolatilityIndexNormal >= topMarkerATR ? atrVolatilityIndexNormal : na, title='Marker when ATR reachs top', color=colorMarkerATRtop, location=location.absolute, char='▪', size=size.tiny)
colorFillAtrBottom = if showFillATR
if atrVolatilityIndexNormal <= bottomFillATR or atrVolatilityIndexNormal[1] <= bottomFillATR
colorNearBgATR
else
na
else
na
colorFillAtrTop = if showFillATR
if atrVolatilityIndexNormal >= topFillATR or atrVolatilityIndexNormal[1] >= topFillATR
colorFarBgATR
else
na
else
na
fill(hLine000, hLine100, color=colorFillAtrBottom, title='Fill background when ATR reachs bottom')
fill(hLine000, hLine100, color=colorFillAtrTop, title='Fill background when ATR reachs top')
// ------------------------- }