mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-24 13:38:05 +00:00
VIDYA indicator with adaptive smoothing based on market volatility.
This commit is contained in:
@@ -17,6 +17,7 @@ The price evolution follows the stochastic differential equation:
|
||||
$$ dS_t = \mu S_t dt + \sigma S_t dW_t $$
|
||||
|
||||
Where:
|
||||
|
||||
- $S_t$: Asset price at time $t$
|
||||
- $\mu$: Drift (expected return)
|
||||
- $\sigma$: Volatility (standard deviation of returns)
|
||||
@@ -37,6 +38,7 @@ public class GBM : IFeed
|
||||
## Usage
|
||||
|
||||
### 1. Initialization
|
||||
|
||||
```csharp
|
||||
// Default: Start at 100, 5% drift, 20% volatility
|
||||
var gbm = new GBM();
|
||||
@@ -46,6 +48,7 @@ var volatileGbm = new GBM(startPrice: 50.0, mu: 0.10, sigma: 0.50);
|
||||
```
|
||||
|
||||
### 2. Streaming Generation
|
||||
|
||||
```csharp
|
||||
// Generate a new bar
|
||||
var bar = gbm.Next(isNew: true);
|
||||
@@ -59,6 +62,7 @@ for (int i = 0; i < 5; i++)
|
||||
```
|
||||
|
||||
### 3. Batch Generation
|
||||
|
||||
```csharp
|
||||
long startTime = DateTime.UtcNow.Ticks;
|
||||
var interval = TimeSpan.FromMinutes(1);
|
||||
|
||||
Reference in New Issue
Block a user