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Function - IRR

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// || Function IRR
// || - infinite impulse response filter
Note di rilascio: update to V4, minor stuff.

devcard: https://trello.com/c/xBGIpwox/21-rsfunct...
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Autoregressive or Infinite Impulse filters are quite dynamic and less computing intensive than Finite ones (Like Arithmetic Simple Moving Average). With this kind of algorithm one could calculate VWAP (As an approximation if not on tick make the recursion from tick by tick) from the entire series if the volume ratio is given as b0 and 1 - b0 as a1.
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xel_arjona xel_arjona
@xel_arjona, don't know why, message messed up form my first message. As volume ratio I mean b0 = volume / cum( volume ) & a1 = 1 - b0 and there, you have blasting fast historic VWAP algo from pine. Initialization array could be declared in the function, like on my one pole version function, which is quite helpful for compressed timeseries like on tradingview. (Open is first in time than High & Low and they are than Close):

// One Pole Infinite Impulse Response
iir1p( init, a0, b0, a1 ) =>
filter = 0.0
filter := b0 * a0 + a1 * nz( filter, init )
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Nice ;)
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