Add Rank and Percentile indicators - #364
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atharvajoshi01 wants to merge 1 commit into
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New RankIndicator (IVR-style) and PercentileIndicator (IVP-style) in ta.others for implied volatility analysis. - Rank: (current - min) / (max - min) * 100 over rolling window - Percentile: fraction of historical values below current * 100 - Default 252-day (1 year) lookback, configurable - Reference: tastylive IVR/IVP methodology
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IV rank and IV percentile are the standard size-decision inputs for vol strategies, but neither exists in |
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Fixes #359.
Adds two new indicators to
ta.others:RankIndicator (IVR-style)
(current - min) / (max - min) * 100over a rolling windowPercentileIndicator (IVP-style)
Both use 252-day default lookback (1 year of trading days), configurable via
windowparameter. Follows existing class pattern withfillnasupport.Reference: https://www.tastylive.com/concepts-strategies/implied-volatility-rank-percentile