Jurik Composite Fractal Behavior

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Jurik Composite Fractal Behavior", "CFB", overlay=false)

//@function Calculates Jurik Composite Fractal Behavior (Trend Duration Index)
//@param   source Series to calculate CFB from
//@param   maxLength Maximum lookback length (default 192, lengths 2,4,6,...,maxLength used)
//@returns CFB value - weighted average of efficient trend lengths, minimum 1
cfb(series float source, simple int maxLength = 192) =>
    // Generate lengths array: 2, 4, 6, ..., maxLength
    int numLengths = int(maxLength / 2)

    // Persistent state
    var float prevCfb = 1.0
    var array<float> runningSums = array.new_float(numLengths, 0.0)

    float currentVol = bar_index == 0 ? 0.0 : math.abs(source - source[1])

    float sumWeightedLen = 0.0
    float sumWeights = 0.0

    // Update running sums and calculate ratios for each length
    for i = 0 to numLengths - 1
        int L = (i + 1) * 2

        // Update running sum of volatility
        float oldSum = array.get(runningSums, i)
        float volToRemove = bar_index > L ? math.abs(source[L] - source[L + 1]) : 0.0
        float newSum = oldSum + currentVol - volToRemove
        array.set(runningSums, i, newSum)

        // Skip if not enough bars
        if bar_index < L
            continue

        // Skip if very small volatility
        if newSum < 1e-12
            continue

        // Net move over L bars
        float netMove = math.abs(source - source[L])
        float ratio = netMove / newSum

        if ratio >= 0.25
            sumWeightedLen += float(L) * ratio
            sumWeights += ratio

    // Calculate CFB
    float cfbVal = 1.0
    if sumWeights > 0.25
        cfbVal := sumWeightedLen / sumWeights
    else
        cfbVal := prevCfb > 1.0 ? prevCfb * 0.5 : 1.0

    if cfbVal < 1.0
        cfbVal := 1.0

    cfbVal := math.round(cfbVal)
    if cfbVal < 1.0
        cfbVal := 1.0

    prevCfb := cfbVal
    cfbVal

// ---------- Main loop ----------

// Inputs
i_maxLength = input.int(192, "Max Length", minval=4, step=2, tooltip="Maximum lookback length. Lengths 2,4,6,...,maxLength are used")
i_source = input.source(close, "Source")

// Calculation
cfb_value = cfb(i_source, i_maxLength)

// Plot
plot(cfb_value, "CFB", color=color.yellow, linewidth=2)
hline(1, "Min", color=color.gray, linestyle=hline.style_dotted)