TargetExcursionStatsLib

Library "TargetExcursionStatsLib"
helper for targetExcursionLib
f_density_new(gridSize, outcomeCap, smoothing, halfLife, familyCode, shrinkageAlpha)
Construct one independent density state.
Parameters:
gridSize (int)
outcomeCap (float)
smoothing (float)
halfLife (float)
familyCode (int)
shrinkageAlpha (float)

method advance(state, currentBar)
Advance all six streams causally to currentBar.
Namespace types: DensityState
Parameters:
state (DensityState)
currentBar (int)

method observe(state, direction, mae, mfe, resolutionBar)
Add one resolved, direction-conditioned excursion observation.
MAE and MFE are normalized, nonnegative values frozen by the queue.
Namespace types: DensityState
Parameters:
state (DensityState)
direction (int)
mae (float)
mfe (float)
resolutionBar (int)

method support(state, direction, isMae)
Effective sample support for a direction and outcome stream.
Namespace types: DensityState
Parameters:
state (DensityState)
direction (int)
isMae (bool)

method directionSupport(state, direction)
Minimum of current direction's MAE/MFE effective supports.
Namespace types: DensityState
Parameters:
state (DensityState)
direction (int)

method estimate(state, direction, isMae)
Quantiles, mode, modal probability and support for one stream.
Namespace types: DensityState
Parameters:
state (DensityState)
direction (int)
isMae (bool)

method probabilityAt(state, direction, isMae, value)
Smoothed probability mass at the bin containing value.
Namespace types: DensityState
Parameters:
state (DensityState)
direction (int)
isMae (bool)
value (float)

Histogram
Fields:
bins (array<float>)
weight (series float)
weightSq (series float)

DensityState
Fields:
pooledMae (Histogram)
pooledMfe (Histogram)
longMae (Histogram)
longMfe (Histogram)
shortMae (Histogram)
shortMfe (Histogram)
gridSize (series int)
outcomeCap (series float)
smoothing (series float)
halfLife (series float)
familyCode (series int)
shrinkageAlpha (series float)
lastDecayBar (series int)
lastResolvedBar (series int)
resolvedCount (series int)
longResolvedCount (series int)
shortResolvedCount (series int)

DensityEstimate
Fields:
q10 (series float)
q50 (series float)
q80 (series float)
q90 (series float)
mode (series float)
modeProbability (series float)
effectiveSupport (series float)

Biblioteca Pine

Fiel al espíritu de TradingView, el autor ha publicado este código de Pine como biblioteca de código abierto, para que otros programadores de nuestra comunidad puedan reutilizarlo. ¡Enhorabuena al autor! Puede usar esta biblioteca de forma privada o en otras publicaciones de código abierto, pero su reutilización en publicaciones está sujeta a nuestras Normas internas.

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Biblioteca Pine

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