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DataCleaner

Library "DataCleaner"
Functions for acquiring outlier levels and acquiring a cleaned version of a series.

outlierLevel( src , len , level) Gets the (standard deviation) outlier level for a given series.
  Parameters:
    src: The series to average and add a multiple of the standard deviation to.
    len: The The number of bars to measure.
    level: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
  Returns: The average of the series plus the multiple of the standard deviation.

cleanUsing( src , result, len , maxDeviation) Returns an array representing the result series with (outliers provided by the source) removed.
  Parameters:
    src: The source series to read from.
    result: The result series.
    len: The maximum size of the resultant array.
    maxDeviation: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
  Returns: An array containing the cleaned series.

clean( src , len , maxDeviation) Returns an array representing the source series with outliers removed.
  Parameters:
    src: The source series to read from.
    len: The maximum size of the resultant array.
    maxDeviation: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
  Returns: An array containing the cleaned series.

outlierLevelAdjusted( src , level, len , maxDeviation) Gets the (standard deviation) outlier level for a given series after a single pass of removing any outliers.
  Parameters:
    src: The series to average and add a multiple of the standard deviation to.
    level: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
    len: The The number of bars to measure.
    maxDeviation: The optional standard deviation level to use when cleaning the series. The default is the value of the provided level.
  Returns: The average of the series plus the multiple of the standard deviation.
Notas de Lançamento: v2 Added simple utility for cleaning arrays.

Added:
cleanArray(src, maxDeviation) Returns an array representing the source array with outliers removed.
  Parameters:
    src: The source series to read from.
    maxDeviation: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
  Returns: An array containing the cleaned series.
Notas de Lançamento: v3 Bugfix: cleanArray should avoid empty arrays.
Notas de Lançamento: v4 Exposes simpler "naOutliers" method.

Added:
naOutliers(src, len, maxDeviation) Returns only values that are within the maximum deviation.
  Parameters:
    src: The series to average and add a multiple of the standard deviation to.
    len: The The number of bars to measure.
    maxDeviation: The positive or negative multiple of the standard deviation to apply to the average. A positive number will be the upper boundary and a negative number will be the lower boundary.
  Returns: The average of the series plus the multiple of the standard deviation.
Notas de Lançamento: v5 Better doc comments.
Notas de Lançamento: v6 Added naOutliersArray for keeping the original array indexes but setting the values to NA when they are outliers.

Added:
naArrayOutliers(src, maxDeviation) Returns an array representing the source array with outliers removed.
  Parameters:
    src: The array to set outliers to N/A.
    maxDeviation: The maximum deviation before considered an outlier.
  Returns: True if there were any outliers; otherwise false.
Notas de Lançamento: v7 Added normalize function and improved naOutliers.

Added:
normalize(src, len, maxDeviation, baseline) Returns the source value adjusted by its standard deviation.
  Parameters:
    src: The series to measure.
    len: The number of bars to measure the standard deviation.
    maxDeviation: The maximum deviation before considered an outlier.
    baseline: The value considered to be at center. Typically zero.
Pine library

In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in a publication is governed by House Rules.

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