Quantile Band - Generalized - MetaTrader 5 Script | Trading Script Download - MT4/MT5 Resources

Quantile Bands - Calculations are performed using the following quantiles.

In statistics and probability theory, a quantile is the point of cut that divides a range of a probability distribution into consecutive intervals that have the same probability, or that a sample will be observed in the same way. One less quantile than the number of groups created. The quartiles are therefore three cut points that divide the data set into four equally sized groups (see the example described). Common quantiles have special names: eg quartiles, deciles (create 10 groups: see more below). The groups created are called halves, thirds, quarters, etc., although sometimes the term quantile is used for group creation rather than for cut points.

The q -quantile is the division of a finite set of values ​​into q (almost) equally sized subsets of values. There are q - quantiles of q - 1 , one k for each integer such that 0 < k < q . In some cases, the value of a quantile may not be uniquely determined, such as the median (2-quantile) size of a uniform probability distribution over a set of even numbers. Quantiles can also be applied to continuous distributions, providing a way to generalize ranking statistics to continuous variables. When the cumulative distribution function of a random variable is known, the q - quantile is the applicationof the quantile function (which is the inverse function of the cumulative distribution function ) to the values ​​{1/ q , 2/ q , …, ( q − 1)/ q }.

But wit is biased and "generalized."

All "band" versions of quantiles use 3 prices. This version is not. It only indicts one price and can optionally make a (substantial) difference between highs and lows, and you can choose to find the low value for the time period of the high and low. But even without it (when high/low period is set to <=1) the band calculation itself does the job, and in most cases in this case there is no need to activate high/low period at all.

Reason for the "generalization" in the name:

This indicator can also be applied to any other indicator. So, it doesn't necessarily need to be applied to price. There are also some uses like stochastic (just a simple example applied to RSI and quantile bands) that can give very interesting results.

Attachment download

📎 quantile_bands_-_generalized.mq5 (10.49 KB)

Source: MQL5 #16911