Kase Peak Oscillator Clone V2

//* code start */

/*
Definition of 3 different standard deviation measurements.
SD_pop is the population or biased version, similar to AFL StDev.
SD_sam is the sample or non-biased version which Kase describes in
her book and assumedly uses in her indicators.
SD_nnc is the non-centered version in which not the distances
between the values and the mean are squared but instead the values
themselves. Though not formally a standard deviation it appears used
by traders especially for measuring short-term volatility in strong
trends.
*/

function SD_pop(input,n)
{ return sqrt( (n*Sum(input^2,n)-(Sum(input,n))^2) / n^2 ); }

function SD_sam(input,n)
{ return sqrt( (n*Sum(input^2,n)-(Sum(input,n))^2) / (n^2-n) ); }

function SD_nnc(input,n)
{ return sqrt( Sum(input^2,n) / n ); }

/* Set your preferred standard deviation measurement SD */
//function SD(input,n) { return SD_pop(input,n); }
function SD(input,n) { return SD_sam(input,n); }
//function SD(input,n) { return SD_nnc(input,n); }

/* Set minimum and maximum lookbacks */
minLB = 8;
maxLB = 65;

/* Set percentiles for PeakOut lines using numbers between 1 and 99
*/
PCcycl = 98;
PChist = 90;

/* Definition of Kase PeakOscillator KPO */

function Kup(n)
{ return log(H/Ref(L,-n)); }

function Kdn(n)
{ return log(Ref(H,-n)/L); }

function Kvol(n)
{ return SD(log(Ref(C,-1)/C), n); }

function KSDIup(n)
{ return Kup(n)/(Kvol(n)*sqrt(n)); }

function KSDIdn(n)
{ return Kdn(n)/(Kvol(n)*sqrt(n)); }

maxKSDIup = 0;
for (i=minLB;i<=maxLB;i++)
{ maxKSDIup = IIf(KSDIup(i)>maxKSDIup,KSDIup(i),maxKSDIup); }

maxKSDIdn = 0;
for (i=minLB;i<=maxLB;i++)
{ maxKSDIdn = IIf(KSDIdn(i)>maxKSDIdn,KSDIdn(i),maxKSDIdn); }

KPO = maxKSDIup - maxKSDIdn;

/* Definition of PeakOut lines POmax and POmin */

UPcycle = minLB;
for (i=minLB+1;i<=maxLB;i++)
{ UPcycle = IIf(KSDIup(i)==maxKSDIup,i,UPcycle); }

DNcycle = minLB;
for (i=minLB+1;i<=maxLB;i++)
{ DNcycle = IIf(KSDIdn(i)==maxKSDIdn,i,DNcycle); }

function f(x)
{ return sqrt(-2*log(1-x)) ; }

function g(x)
{ return f(x) - (2.515517 + 0.802853*f(x) + 0.010328*f(x)^2) / (1 +
1.432788*f(x) + 0.189269*f(x)^2 + 0.001308*f(x)^3) ; }

function NDSINV(x)
{ return IIf(099) PCcycl=99;
if (PChist<1) PChist=1;
if (PChist>99) PChist=99;

THcycl = NDSINV(0.5*(PCcycl/100+1));
THhist = NDSINV(0.5*(PChist/100+1));

CYCL = IIf(KPO>=0,UPcycle,DNcycle);
MNcycl = MA(KPO,CYCL);
SDcycl = SD(KPO,CYCL);
Vcycl1 = MNcycl + THcycl*SDcycl;
Vcycl2 = MNcycl - THcycl*SDcycl;
POcycl = IIf(KPO>0,Vcycl1,IIf(KPO<0,Vcycl2,0));

HIST = BarIndex()-maxLB+1;
MNhist = MA(KPO,HIST);
SDhist = SD(KPO,HIST);
Vhist1 = MNhist + THhist*SDhist;
Vhist2 = MNhist - THhist*SDhist;
POhist = IIf(KPO>0,Vhist1,IIf(KPO<0,Vhist2,0));

POmax = IIf(abs(POcycl)>abs(POhist),POcycl,POhist);
POmin = IIf(abs(POcycl)=abs(POmax) AND Ref(abs(KPO),1)=abs(POmin) AND Ref(abs(KPO),1)