QuanTAlib/lib/volatility/ccv/ccv.pine

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Close-to-Close Volatility (CCV)", "CCV", overlay=false)

//@function Calculates Close-to-Close Volatility using closing price returns
//@param length Period for volatility calculations
//@param method Smoothing method (1=SMA, 2=EMA, 3=WMA)
//@returns float Volatility value
//@optimized Beta precomputation for RMA warmup compensation
ccv(simple int length, simple int method) =>
    var int p = math.max(1, length)
    var int head = 0
    var int count = 0
    var array<float> buffer = array.new_float(p, na)
    var float sum = 0.0
    var float wsum = 0.0
    float priceReturn = math.log(close / close[1])
    float oldest = array.get(buffer, head)
    if not na(oldest)
        sum -= oldest
        count -= 1
    sum += priceReturn
    count += 1
    array.set(buffer, head, priceReturn)
    head := (head + 1) % p
    float mean = nz(sum / count)
    float squaredSum = 0.0
    for i = 0 to length - 1
        float val = array.get(buffer, (head - i - 1 + p) % p)
        if not na(val)
            squaredSum += math.pow(val - mean, 2)
    float annualizedStdDev = math.sqrt(squaredSum / count) * math.sqrt(252)
    float alpha = 1.0 / float(length)
    float beta = 1.0 - alpha
    var float EPSILON = 1e-10
    var float raw_rma = 0.0
    var float e = 1.0
    float result = na
    if method == 1
        result := annualizedStdDev
    else if method == 2
        raw_rma := (raw_rma * (length - 1) + annualizedStdDev) / length
        e *= beta
        result := e > EPSILON ? raw_rma / (1.0 - e) : raw_rma
    else
        float sumWeight = length * (length + 1) / 2
        float weightedSum = 0.0
        float weight = length
        for i = 0 to length - 1
            weightedSum += annualizedStdDev * weight
            weight -= 1.0
        result := weightedSum / sumWeight
    result

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

// Inputs
i_length = input.int(20, "Length", minval=1, maxval=500, tooltip="Number of bars for volatility calculation")
i_method = input.int(1, "Method", minval=1, maxval=3, tooltip="1=SMA, 2=EMA, 3=WMA")

// Calculation
ccvValue = ccv(i_length, i_method)

// Plot
plot(ccvValue, "CCV", color=color.yellow, linewidth=2)