LuxAlgo

Percentile Nearest Rank Using Arrays

The new array feature is extremely powerful, as it will allow pinescript users to do more complex things, or compute existing calculations more efficiently, it will also be possible to shine some light to some already existing functions, one of them being percentile_nearest_rank.

We have been working on this new feature with our pal alexgrover, and made this script which computes a rolling percentile using the nearest rank method.

Settings

  • Length: Window of the rolling percentile, determine the number of past data to be used.
  • Percentage: Return the current value if Percentage% of the data fall below that value, the setting is in a range (0,100).
  • Src: Input source of the indicator.

Usage

A rolling percentile can have many usages when it comes to technical analysis , this is due to its ability to return the value of three common rolling statistics, the rolling median, which can be obtained using a percentage equal to 50, the rolling maximum, obtained with a percentage equal to 100, and the rolling minimum, obtained with a percentage equal to 0.

When we use our rolling percentile as a rolling median, we can obtain a robust estimation of the underlying trend in the price, while using it as a rolling maximum/minimum can allow us to determine if the market is trending, and at which direction. The rolling maximum/minimum is a rolling statistic used to calculate the well known stochastic oscillator and Donchian channel indicator.

We can also compute rolling quartiles, which can be obtained using a percentage of 25 or 75, with one of 25 returning the lower quartile and 75 the upper quartile.


In blue the upper rolling quartile (%75), in orange the lower rolling quartile (%25), both using a window size of 100.

Details

In order to compute a rolling percentile nearest rank, we must first take the most recent length closing prices, then order them in ascending order, we then return the value of the ordered observations at index (percentage/100*length) - 1 (we use - 1 because our array index starts at 0).
Note di rilascio: Copyright update
Note di rilascio: License update.
Note di rilascio: Minor Changes.
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?
Our Website to get access to our invite-only scripts: https://LuxAlgo.com

Lux Algo Documentation: https://docs.luxalgo.com

Join our Discord Group: https://discord.gg/LUX

Commenti

looks nice , but how to trade this indi?
+2 Rispondi
alexgrover omamdouh
@omamdouh, When a percentage of 50 the indicator will be similar to a moving average and could be traded similarly.
Rispondi
;)
+2 Rispondi
Great example of how to use arrays, thanks for sharing :)
+1 Rispondi
very cool. Is this even possible using version 3? Without using the existing function of course.
Rispondi
How do I add this to my TV setup?
Rispondi
Hi Alex, thanks for posting this.
I have an error with percentage= 0, could it be?
Rispondi
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