Free indicators

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# Name: Interquartile Range (IQR) Anomaly Detection

declare lower;

#info:The primary purpose of this indicator is to identify potential outliers or abnormal movements in the daily returns of the stock.

# Define inputs

input price = close;

input length = 100;

input k = 1.5;

# Custom PercentileRank function

script PercentileRank {

Input arr = close;

Input value = close;

Input Length = 20;

def count = fold i = 0 to Length - 1 with d = arr do if GetValue(d, i) <= value then count[1] + 1 else count[1];

plot return = (count / Length) * 100;

}

# Calculate daily returns

def daily_return = (price / price[1] - 1) * 100;

# Calculate IQR

def sortedData = fold i1 = 0 to length

with p1 = daily_return

do if GetValue(p1, i1) > GetValue(p1, i1 + 1) then

Double.NaN

else p1;

def sortedPrices = fold i2 = 0 to length

with p2 = price

do if GetValue(p2, i2) > GetValue(p2, i2 + 1) then

Double.NaN

else p2;

#def Q1 = PercentileRank(arr=daily_return, value=PercentileRank(arr=daily_return, value=0.25, Length=length), Length=length);

#def Q3 = PercentileRank(arr=daily_return, value=PercentileRank(arr=daily_return, value=0.75, Length=length), Length=length);

def Q1 = GetValue(sortedData, RoundDown(0.25 * length));

def Q3 = GetValue(sortedData, RoundDown(0.75 * length));

def IQR = Q3 - Q1;

# Detect outliers using IQR

def isOutlier = if daily_return < Q1 - k * IQR then -1 else if daily_return > Q3 + k * IQR then 1 else 0;

# Plotting

plot Outliers =if isOutlier then daily_return else Double.NaN;#if isOutlier then close else Double.NaN;#

Outliers.SetPaintingStrategy(PaintingStrategy.POINTS);

Outliers.SetLineWeight(3);

Outliers.assignValueColor(if isOutlier==1 then color.green else color.red) ;

Outliers.SetStyle(Curve.POINTS);

Outliers.HideTitle();

# Plot daily returns

plot DailyReturn =IQR ;

DailyReturn.SetPaintingStrategy(PaintingStrategy.LINE);

DailyReturn.SetDefaultColor(Color.BLUE);

#DailyReturn.HideTitle();

# Add labels

AddLabel(yes, "Outlier", Color.RED);

AddLabel(yes, "Daily Return", Color.BLUE);