Theil Index (THEIL): Free TradingView Indicator (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.

Source Code

47 lines of Pine Script v6 from indicators/statistics/theil.pine, published under MIT. Keep the author's credit and licence lines when you reuse it.

theil.pine

// The MIT License (MIT)
// © mihakralj
//@version=6
indicator("Theil Index (THEIL)", "THEIL", overlay=false, precision=6)

//@function Calculates Theil's T Index for a series over a lookback period.
//@param src series float Input data series (must be positive values).
//@param len simple int Lookback period (must be > 0).
//@returns series float The Theil's T Index, or na if data is not suitable.
theil_t_index(series float src, simple int len) =>
    if len <= 0
        float(na)
    float sum_src = 0.0
    int n_valid = 0
    float[] values_arr = array.new_float()
    for i = 0 to len - 1
        val = src[i]
        if not na(val) and val > 0
            array.push(values_arr, val)
            sum_src += val
            n_valid += 1
    if n_valid == 0
        float(na)
    float mean_val = sum_src / n_valid
    if mean_val <= 0
        float(na)
    float theil_sum = 0.0
    for i = 0 to n_valid - 1
        xi = array.get(values_arr, i)
        ratio = xi / mean_val
        if ratio > 0
            theil_sum += ratio * math.log(ratio)
    float theil_t = na
    if n_valid > 0
        theil_t := theil_sum / n_valid
    
    theil_t

// Inputs
i_source = input.source(close, title="Source (must be positive values)")
i_length = input.int(14, title="Lookback Period", minval=1)

// Calculation
theil_value = theil_t_index(i_source, i_length)

// Plot
plot(theil_value, "Theil T Index", color=color.new(color.yellow, 0, color=color.yellow, linewidth=2), linewidth=2)

Overview

Theil Index (THEIL) iterates through recent bars, calculates the mean price, and computes the sum of logarithmic price-to-mean ratios. Higher values reflect greater price dispersion across the lookback window. The script plots the resulting index as a line in a separate pane. Settings allow users to adjust the input source series and the lookback length.

Rolling window entropy calculation
Customizable lookback period and source price
Data validation for positive price values
Separate pane line plot

Details

Published by

mihakralj on GitHub

Type

Indicator, Pine Script v6

Draws

Separate pane below the chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

indicators/statistics/theil.pine

Repository

github.com/mihakralj/pinescript. See its other scripts in the library

Topics

pinescriptpinescript-indicatorstechnical-analysistradingview-indicators

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Source (must be positive values)	`source`	`close`	`i_source`
Lookback Period	`int`	`14`	`i_length`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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