PINE LIBRARY
Updated FunctionSMCMC
Library "FunctionSMCMC"
Methods to implement Markov Chain Monte Carlo Simulation (MCMC)
markov_chain(weights, actions, target_path, position, last_value) a basic implementation of the markov chain algorithm
Parameters:
weights: float array, weights of the Markov Chain.
actions: float array, actions of the Markov Chain.
target_path: float array, target path array.
position: int, index of the path.
last_value: float, base value to increment.
Returns: void, updates target array
mcmc(weights, actions, start_value, n_iterations) uses a monte carlo algorithm to simulate a markov chain at each step.
Parameters:
weights: float array, weights of the Markov Chain.
actions: float array, actions of the Markov Chain.
start_value: float, base value to start simulation.
n_iterations: integer, number of iterations to run.
Returns: float array with path.
Methods to implement Markov Chain Monte Carlo Simulation (MCMC)
markov_chain(weights, actions, target_path, position, last_value) a basic implementation of the markov chain algorithm
Parameters:
weights: float array, weights of the Markov Chain.
actions: float array, actions of the Markov Chain.
target_path: float array, target path array.
position: int, index of the path.
last_value: float, base value to increment.
Returns: void, updates target array
mcmc(weights, actions, start_value, n_iterations) uses a monte carlo algorithm to simulate a markov chain at each step.
Parameters:
weights: float array, weights of the Markov Chain.
actions: float array, actions of the Markov Chain.
start_value: float, base value to start simulation.
n_iterations: integer, number of iterations to run.
Returns: float array with path.
Release Notes
v2outsourced the probability distribution sample selection to a external library:
-
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 publications is governed by House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
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 publications is governed by House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.