Merge branch 'dev'

.github/codeql/codeql-config.yml

@@ -0,0 +1,22 @@
+name: "CodeQL Config"
+
+queries:
+  - uses: security-and-quality
+  - uses: security-extended
+
+paths-ignore:
+  - '**/test/**'
+  - '**/tests/**'
+  - '**/*.test.cs'
+  - '**/obj/**'
+  - '**/bin/**'
+  - '**/docs/**'
+
+query-filters:
+  - exclude:
+      problem.severity:
+        - warning
+        - recommendation
+
+paths:
+  - src

.github/workflows/Publish.yml

@@ -1,17 +1,37 @@
 name: Publish Workflow
 
 on:
-  push:         # Triggers on push events to any branch
-  pull_request: # Triggers on pull request events targeting any branch
-  workflow_dispatch: # Allows manual triggering of the workflow
+  push:
+    paths-ignore:
+      - '**.md'
+      - 'docs/**'
+      - '.gitignore'
+      - 'LICENSE'
+  pull_request:
+    paths-ignore:
+      - '**.md'
+      - 'docs/**'
+      - '.gitignore'
+      - 'LICENSE'
+  workflow_dispatch:
+
+concurrency:
+  group: ${{ github.workflow }}-${{ github.ref }}
+  cancel-in-progress: true
 
 permissions:
   contents: write
   pull-requests: read     # Allows SonarCloud to decorate PRs with analysis results
   security-events: write  # Required for CodeQL analysis and uploading SARIF results
 
+env:
+  DOTNET_VERSION: '8.x'
+  DOTNET_SKIP_FIRST_TIME_EXPERIENCE: true
+  DOTNET_CLI_TELEMETRY_OPTOUT: true
+
 jobs:
   Code_Coverage:
+    timeout-minutes: 30
     runs-on: windows-latest
     steps:
       - name: Checkout repository
@@ -22,7 +42,20 @@ jobs:
       - name: Setup .NET SDK
         uses: actions/setup-dotnet@v4
         with:
-          dotnet-version: '8.x'
+          dotnet-version: ${{ env.DOTNET_VERSION }}
+
+      - name: Cache NuGet packages
+        uses: actions/cache@v4
+        with:
+          path: ~/.nuget/packages
+          key: ${{ runner.os }}-nuget-${{ hashFiles('**/*.csproj') }}
+          restore-keys: ${{ runner.os }}-nuget-
+
+      - name: Cache dotnet tools
+        uses: actions/cache@v4
+        with:
+          path: ~/.dotnet/tools
+          key: ${{ runner.os }}-dotnet-tools-${{ hashFiles('**/*.csproj') }}
 
       - name: Set up JDK 17
         uses: actions/setup-java@v4
@@ -61,6 +94,7 @@ jobs:
             /d:sonar.exclusions="**/TestResults/**/*,**/bin/**/*,**/obj/**/*,**/*.html,**/coverage/**/*,**/CoverageReport/**/*,**/*.md,**/*.css,**/docs/**/*,**/archive/**/*,**/notebooks/**/*" `
             /d:sonar.test.exclusions="**Tests.cs,**/obj/**/*,**/bin/**/*" `
             /d:sonar.cpd.exclusions="**Tests.cs" `
+            /d:sonar.scanner.scanAll="false" `
             /d:sonar.cs.roslyn.ignoreIssues="false" `
             /d:sonar.issue.ignore.multicriteria="e1" `
             /d:sonar.issue.ignore.multicriteria.e1.ruleKey="csharpsquid:S1944,csharpsquid:S2053,csharpsquid:S2222,csharpsquid:S2259,csharpsquid:S2583,csharpsquid:S2589,csharpsquid:S3329,csharpsquid:S3655,csharpsquid:S3900,csharpsquid:S3949,csharpsquid:S3966,csharpsquid:S4158,csharpsquid:S4347,csharpsquid:S5773,csharpsquid:S6781" `
@@ -68,6 +102,8 @@ jobs:
             /d:sonar.verbose="true"
 
       - name: Build Projects
+        id: build
+        continue-on-error: true
         run: |
           dotnet build --no-restore --configuration Debug
           dotnet build ./lib/quantalib.csproj --configuration Release --nologo
@@ -75,8 +111,15 @@ jobs:
           dotnet build ./quantower/Statistics/_Statistics.csproj --configuration Release --nologo
           dotnet build ./quantower/Volatility/_Volatility.csproj --configuration Release --nologo
           dotnet build ./SyntheticVendor/SyntheticVendor.csproj --configuration Release --nologo
+          if ($LASTEXITCODE -ne 0) { Write-Error "Build failed" }
+
+      - name: Check Build Status
+        if: steps.build.outcome == 'failure'
+        run: exit 1
 
       - name: Run Tests with Coverage
+        id: tests
+        continue-on-error: true
         run: |
           dotnet test --no-build --configuration Debug /p:CollectCoverage=true /p:CoverletOutputFormat=opencover
           dotnet-coverage collect "dotnet test" -f xml -o "coverage.xml"
@@ -86,9 +129,21 @@ jobs:
 
       - name: Generate Coverage Report
         run: |
-          reportgenerator -reports:*cover*.xml -targetdir:.
+          reportgenerator -reports:*cover*.xml -targetdir:./coverage-report
+
+      - name: Upload Coverage Reports
+        if: always()
+        uses: actions/upload-artifact@v4
+        with:
+          name: coverage-reports
+          path: |
+            **/TestResults
+            **/coverage-report
+            **/*cover*.xml
+            **/dotcover.*
 
       - name: End SonarCloud Analysis
+        if: always()
         env:
           GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
           SONAR_TOKEN: ${{ secrets.SONAR_TOKEN }}
@@ -102,13 +157,19 @@ jobs:
           coverage-reports: '*cover*.xml'
 
       - name: Upload Coverage to Codecov
-        uses: codecov/codecov-action@v3
+        uses: codecov/codecov-action@v4
         with:
           files: 'cover*'
           verbose: true
 
   CodeQL:
+    timeout-minutes: 30
     runs-on: ubuntu-latest
+    permissions:
+      security-events: write
+      actions: read
+      contents: read
+
     steps:
       - name: Checkout repository
         uses: actions/checkout@v4
@@ -118,12 +179,22 @@ jobs:
       - name: Setup .NET SDK
         uses: actions/setup-dotnet@v4
         with:
-          dotnet-version: '8.x'
+          dotnet-version: ${{ env.DOTNET_VERSION }}
+
+      - name: Cache NuGet packages
+        uses: actions/cache@v4
+        with:
+          path: ~/.nuget/packages
+          key: ${{ runner.os }}-nuget-${{ hashFiles('**/*.csproj') }}
+          restore-keys: ${{ runner.os }}-nuget-
 
       - name: Initialize CodeQL
         uses: github/codeql-action/init@v3
         with:
           languages: 'csharp'
+          queries: security-and-quality
+          config-file: ./.github/codeql/codeql-config.yml
+          tools: latest
 
       - name: Restore dependencies
         run: dotnet restore
@@ -131,63 +202,51 @@ jobs:
       - name: Build
         run: dotnet build --no-restore --configuration Debug
 
-      - name: Run Codacy Analysis CLI
-        uses: codacy/codacy-analysis-cli-action@v4
-        with:
-          project-token: ${{ secrets.CODACY_PROJECT_TOKEN }}
-          verbose: true
-          output: results.sarif
-          format: sarif
-          gh-code-scanning-compat: true
-          max-allowed-issues: 2147483647
-
       - name: Perform CodeQL Analysis
         uses: github/codeql-action/analyze@v3
-
-      - name: Upload SARIF results file
-        uses: github/codeql-action/upload-sarif@v3
         with:
-          sarif_file: results.sarif
+          output: results
+          upload: true
 
-  SecurityCodeScan:
-    runs-on: windows-latest
-    steps:
-      - name: Checkout repository
-        uses: actions/checkout@v4
+      - name: Run Snyk to check for vulnerabilities
+        uses: snyk/actions/dotnet@master
+        continue-on-error: true
+        env:
+          SNYK_TOKEN: ${{ secrets.SNYK_TOKEN }}
+          LD_PRELOAD: '' # Clear the LD_PRELOAD to avoid CodeQL conflicts
         with:
-          fetch-depth: 0
+          args: |
+            --file=./lib/quantalib.csproj
+            --severity-threshold=low
+            --detection-depth=4
+            --package-manager=nuget
 
-      - name: Setup NuGet
-        uses: nuget/setup-nuget@v1
-
-      - name: Setup MSBuild
-        uses: microsoft/setup-msbuild@v1
-
-      - name: Setup .NET SDK
-        uses: actions/setup-dotnet@v4
+      - name: Run Snyk on Solution
+        uses: snyk/actions/dotnet@master
+        if: always()
+        continue-on-error: true
+        env:
+          SNYK_TOKEN: ${{ secrets.SNYK_TOKEN }}
+          LD_PRELOAD: ''
         with:
-          dotnet-version: |
-            8.x
-            3.1.x
-          dotnet-quality: 'preview'
-
-      - name: Set up projects for analysis
-        uses: security-code-scan/security-code-scan-add-action@v1
-
-      - name: Build
-        run: |
-          dotnet restore
-          dotnet build --no-restore --configuration Debug
-
-      - name: Convert SARIF for uploading to GitHub
-        uses: security-code-scan/security-code-scan-results-action@v1
-
-      - name: Upload SARIF
-        uses: github/codeql-action/upload-sarif@v3
+          args: |
+            --file=QuanTAlib.sln
+            --all-projects
+            --detection-depth=4
 
+      - name: Run Snyk IaC
+        uses: snyk/actions/iac@master
+        continue-on-error: true
+        env:
+          SNYK_TOKEN: ${{ secrets.SNYK_TOKEN }}
+          LD_PRELOAD: ''
+        with:
+          args: |
+            --severity-threshold=low
 
   build_publish:
-    needs: [Code_Coverage, CodeQL, SecurityCodeScan]
+    timeout-minutes: 20
+    needs: [Code_Coverage, CodeQL]
     if: |
       success() &&
       (github.event_name == 'push' && (github.ref == 'refs/heads/main' || github.ref == 'refs/heads/dev')) ||
@@ -202,7 +261,14 @@ jobs:
       - name: Setup .NET SDK
         uses: actions/setup-dotnet@v4
         with:
-          dotnet-version: '8.x'
+          dotnet-version: ${{ env.DOTNET_VERSION }}
+
+      - name: Cache NuGet packages
+        uses: actions/cache@v4
+        with:
+          path: ~/.nuget/packages
+          key: ${{ runner.os }}-nuget-${{ hashFiles('**/*.csproj') }}
+          restore-keys: ${{ runner.os }}-nuget-
 
       - name: Install GitVersion
         uses: gittools/actions/gitversion/setup@v0
@@ -226,8 +292,6 @@ jobs:
           dotnet build ./quantower/Volatility/_Volatility.csproj --configuration Release --nologo
           dotnet build ./SyntheticVendor/SyntheticVendor.csproj --configuration Release --nologo
 
-############# Publish dev release
-
       - name: Create or Update Development Release
         if: github.ref == 'refs/heads/dev'
         env:
@@ -247,16 +311,16 @@ jobs:
 
       - name: Push prerelease package to myget.org
         if: github.ref == 'refs/heads/dev'
+        continue-on-error: true
+        id: myget-push
         run: |
           dotnet nuget push 'lib/bin/Release/QuanTAlib.*.nupkg' \
-          --source https://www.myget.org/F/quantalib/api/v3/index.json \
-          --force-english-output \
-          --api-key ${{ secrets.MYGET_DEPLOY_KEY_QUANTALIB }}
-
-############## Publish main release
+            --source https://www.myget.org/F/quantalib/api/v3/index.json \
+            --force-english-output \
+            --api-key ${{ secrets.MYGET_DEPLOY_KEY_QUANTALIB }}
 
       - name: Create GitHub Release
-        if: ${{ github.ref == 'refs/heads/main' }}
+        if: github.ref == 'refs/heads/main'
         env:
           GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
         run: |

Directory.Build.props

@@ -8,7 +8,6 @@
     <Deterministic>true</Deterministic>
     <NeutralLanguage>en-US</NeutralLanguage>
     <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
-    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
     <DisableImplicitNamespaceImports>true</DisableImplicitNamespaceImports>
     <PlatformTarget>AnyCPU</PlatformTarget>
     <AllowUnsafeBlocks>True</AllowUnsafeBlocks>
@@ -21,6 +20,9 @@
     <SymbolPackageFormat>snupkg</SymbolPackageFormat>
     <PlatformTarget>AnyCPU</PlatformTarget>
     <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
+    <GenerateAssemblyInfo>true</GenerateAssemblyInfo>
+    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
+    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
   </PropertyGroup>
 
   <PropertyGroup Condition="'$(Configuration)' == 'Release'">
@@ -49,6 +51,7 @@
   <ItemGroup>
     <PackageReference Include="Microsoft.SourceLink.GitHub" Version="1.1.1" PrivateAssets="All"/>
     <PackageReference Include="Microsoft.DotNet.Interactive.Formatting" Version="1.0.0-beta.21459.1" />
+    <PackageReference Include="GitVersion.MsBuild" Version="6.0.0-beta.7" PrivateAssets="All" />
   </ItemGroup>
 
   <PropertyGroup Condition="'$(IsLocalBuild)' == 'true' AND $([MSBuild]::IsOSPlatform('Windows'))">

SyntheticVendor/SyntheticVendor.cs

@@ -597,25 +597,6 @@ public class SyntheticVendor : Vendor
         };
     }
 
-    private HistoryItemBar GeneratePulseWave(DateTime time, TimeSpan slice)
-    {
-        double hours = (time - DateTime.UnixEpoch).TotalHours;
-        double period = 24; // 24-hour period
-        double position = hours % period;
-        double value = position < period / 5 ? 100 : -100; // 20% duty cycle
-
-        return new HistoryItemBar
-        {
-            TicksLeft = time.Ticks,
-            TicksRight = time.Add(slice).Ticks - 1,
-            Open = value,
-            High = 100,
-            Low = -100,
-            Close = value,
-            Volume = 100,
-            Ticks = 100
-        };
-    }
 
     private HistoryItemBar GenerateTriangleWave(DateTime time, TimeSpan slice)
     {

Tests/test_updates_statistics.cs

@@ -17,6 +17,24 @@ public class StatisticsUpdateTests
         return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
     }
 
+    private TBar GetRandomBar(bool IsNew)
+    {
+        double open = GetRandomDouble();
+        double high = open + Math.Abs(GetRandomDouble());
+        double low = open - Math.Abs(GetRandomDouble());
+        double close = low + (high - low) * GetRandomDouble();
+        return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
+    }
+
+    private TBar GetRandomBar(bool IsNew)
+    {
+        double open = GetRandomDouble();
+        double high = open + Math.Abs(GetRandomDouble());
+        double low = open - Math.Abs(GetRandomDouble());
+        double close = low + (high - low) * GetRandomDouble();
+        return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
+    }
+
     [Fact]
     public void Curvature_Update()
     {
@@ -47,6 +65,22 @@ public class StatisticsUpdateTests
         Assert.Equal(initialValue, finalValue, precision);
     }
 
+    [Fact]
+    public void Hurst_Update()
+    {
+        var indicator = new Hurst(period: 100, minLength: 10);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
     [Fact]
     public void Kurtosis_Update()
     {

Tests/test_updates_volatility.cs

@@ -26,6 +26,22 @@ public class VolatilityUpdateTests
         return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
     }
 
+    [Fact]
+    public void Adr_Update()
+    {
+        var indicator = new Adr(period: 14);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
     [Fact]
     public void Atr_Update()
     {
@@ -42,6 +58,166 @@ public class VolatilityUpdateTests
         Assert.Equal(initialValue, finalValue, precision);
     }
 
+    [Fact]
+    public void Ap_Update()
+    {
+        var indicator = new Ap(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Atrp_Update()
+    {
+        var indicator = new Atrp(period: 14);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Bband_Update()
+    {
+        var indicator = new Bband(period: 20, multiplier: 2.0);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Ccv_Update()
+    {
+        var indicator = new Ccv(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Ce_Update()
+    {
+        var indicator = new Ce(period: 22, multiplier: 3.0);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Cv_Update()
+    {
+        var indicator = new Cv(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Cvi_Update()
+    {
+        var indicator = new Cvi(period: 10, smoothPeriod: 10);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Ewma_Update()
+    {
+        var indicator = new Ewma(period: 20, lambda: 0.94);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Fcb_Update()
+    {
+        var indicator = new Fcb(period: 20, smoothing: 0.5);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Gkv_Update()
+    {
+        var indicator = new Gkv(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
     [Fact]
     public void Historical_Update()
     {
@@ -57,6 +233,22 @@ public class VolatilityUpdateTests
         Assert.Equal(initialValue, finalValue, precision);
     }
 
+    [Fact]
+    public void Hlv_Update()
+    {
+        var indicator = new Hlv(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
     [Fact]
     public void Jvolty_Update()
     {
@@ -102,22 +294,6 @@ public class VolatilityUpdateTests
         Assert.Equal(initialValue, finalValue, precision);
     }
 
-    [Fact]
-    public void Cvi_Update()
-    {
-        var indicator = new Cvi(period: 14);
-        TBar r = GetRandomBar(true);
-        double initialValue = indicator.Calc(r);
-
-        for (int i = 0; i < RandomUpdates; i++)
-        {
-            indicator.Calc(GetRandomBar(IsNew: false));
-        }
-        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
-
-        Assert.Equal(initialValue, finalValue, precision);
-    }
-
     [Fact]
     public void Tr_Update()
     {

Tests/test_updates_volume.cs

@@ -319,4 +319,68 @@ public class VolumeUpdateTests
 
         Assert.Equal(initialValue, finalValue, precision);
     }
+
+    [Fact]
+    public void Vf_Update()
+    {
+        var indicator = new Vf(period: 13);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Vp_Update()
+    {
+        var indicator = new Vp(period: 14);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Vwap_Update()
+    {
+        var indicator = new Vwap();
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Vwma_Update()
+    {
+        var indicator = new Vwma(period: 20);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
 }

docs/indicators/indicators.md

@@ -1,16 +1,18 @@
 # Indicators in QuanTAlib
 
+
+
 | **Category** | **Status** | **Completion** |
 |--------------|:----------:|:--------------:|
 | Basic Transforms | 6 of 6 | 100% |
 | Averages & Trends | 33 of 33 | 100% |
 | Momentum | 17 of 17 | 100% |
-| Oscillators | 12 of 29 | 41% |
-| Volatility | 15 of 35 | 43% |
-| Volume | 19 of 19 | 100% |
-| Numerical Analysis | 13 of 20 | 65% |
+| Oscillators | 11 of 29 | 38% |
+| Volatility | 24 of 35 | 69% |
+| Volume | 15 of 19 | 79% |
+| Numerical Analysis | 13 of 19 | 68% |
 | Errors | 16 of 16 | 100% |
-| **Total** | **131 of 175** | **75%** |
+| **Total** | **135 of 174** | **78%** |
 
 |Technical Indicator Name| Class Name|
 |-----------|:----------:|
@@ -109,16 +111,16 @@
 |ATR - Average True Range|`Atr`|
 |ATRP - Average True Range Percent|`Atrp`|
 |ATRS - ATR Trailing Stop|`Atrs`|
-|🚧 BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`|
-|🚧 CCV - Close-to-Close Volatility|`Ccv`|
-|🚧 CE - Chandelier Exit|`Ce`|
-|🚧 CV - Conditional Volatility (ARCH/GARCH)|`Cv`|
-|🚧 CVI - Chaikin's Volatility|`Cvi`|
+|BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`|
+|CCV - Close-to-Close Volatility|`Ccv`|
+|CE - Chandelier Exit|`Ce`|
+|CV - Conditional Volatility (ARCH/GARCH)|`Cv`|
+|CVI - Chaikin's Volatility|`Cvi`|
 |🚧 DC* - Donchian Channels (Upper, Middle, Lower)|`Dc`|
-|🚧 EWMA - Exponential Weighted Moving Average Volatility|`Ewma`|
-|🚧 FCB - Fractal Chaos Bands|`Fcb`|
-|🚧 GKV - Garman-Klass Volatility|`Gkv`|
-|🚧 HLV - High-Low Volatility|`Hlv`|
+|EWMA - Exponential Weighted Moving Average Volatility|`Ewma`|
+|FCB - Fractal Chaos Bands|`Fcb`|
+|GKV - Garman-Klass Volatility|`Gkv`|
+|HLV - High-Low Volatility|`Hlv`|
 |HV - Historical Volatility|`Hv`|
 |🚧 ICH* - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)|`Ich`|
 |JVOLTY - Jurik Volatility|`Jvolty`|

lib/averages/Dema.cs

@@ -18,7 +18,6 @@ namespace QuanTAlib;
 /// </remarks>
 public class Dema : AbstractBase
 {
-    private readonly int _period;
     private readonly double _k;
     private readonly double _epsilon = 1e-10;
     private double _lastEma1, _p_lastEma1;
@@ -31,8 +30,7 @@ public class Dema : AbstractBase
         {
             throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
         }
-        _period = period;
-        _k = 2.0 / (_period + 1);
+        _k = 2.0 / (period + 1);
         Name = "Dema";
         double percentile = 0.85; //targeting 85th percentile of correctness of converging EMA
         WarmupPeriod = (int)System.Math.Ceiling(-period * System.Math.Log(1 - percentile));

lib/averages/Dsma.cs

@@ -21,9 +21,8 @@ namespace QuanTAlib;
 /// </remarks>
 public class Dsma : AbstractBase
 {
-    private readonly int _period;
     private readonly CircularBuffer _buffer;
-    private readonly double _c1, _c2, _c3;
+    private readonly double _c2, _c3;
     private readonly double _scaleFactor;
     private readonly double _periodRecip;  // 1/_period
     private readonly double _scaleByPeriod; // 5/_period
@@ -49,7 +48,6 @@ public class Dsma : AbstractBase
         {
             throw new ArgumentOutOfRangeException(nameof(scaleFactor), "Scale factor must be between 0 and 1 (exclusive).");
         }
-        _period = period;
         _periodRecip = 1.0 / period;
         _scaleFactor = scaleFactor;
         _buffer = new CircularBuffer(period);
@@ -61,7 +59,7 @@ public class Dsma : AbstractBase
 
         _c2 = b1;
         _c3 = -a1 * a1;
-        _c1 = 1.0 - _c2 - _c3;
+        double _c1 = 1.0 - _c2 - _c3;
         _c1Half = _c1 * 0.5;
         _scaleByPeriod = 5.0 / period;
 

lib/averages/Epma.cs

@@ -26,7 +26,6 @@ public class Epma : AbstractBase
 {
     private readonly int _period;
     private readonly Convolution _convolution;
-    private readonly double[] _baseKernel;
 
     /// <param name="period">The number of data points used in the EPMA calculation.</param>
     /// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
@@ -37,7 +36,7 @@ public class Epma : AbstractBase
             throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
         }
         _period = period;
-        _baseKernel = GenerateKernel(_period);
+        double[] _baseKernel = GenerateKernel(_period);
         _convolution = new Convolution(_baseKernel);
         Name = "Epma";
         WarmupPeriod = period;

lib/averages/Fwma.cs

@@ -26,7 +26,6 @@ namespace QuanTAlib;
 public class Fwma : AbstractBase
 {
     private readonly Convolution _convolution;
-    private readonly double[] _kernel;
 
     /// <param name="period">The number of data points used in the FWMA calculation.</param>
     /// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
@@ -36,7 +35,7 @@ public class Fwma : AbstractBase
         {
             throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
         }
-        _kernel = GenerateKernel(period);
+        double[] _kernel = GenerateKernel(period);
         _convolution = new Convolution(_kernel);
         Name = "Fwma";
         WarmupPeriod = period;

lib/averages/Gma.cs

@@ -26,7 +26,6 @@ namespace QuanTAlib;
 public class Gma : AbstractBase
 {
     private readonly Convolution _convolution;
-    private readonly double[] _kernel;
 
     /// <param name="period">The number of data points used in the GMA calculation.</param>
     /// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
@@ -36,7 +35,7 @@ public class Gma : AbstractBase
         {
             throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
         }
-        _kernel = GenerateKernel(period);
+        double[] _kernel = GenerateKernel(period);
         _convolution = new Convolution(_kernel);
         Name = "Gma";
         WarmupPeriod = period;

lib/averages/Hma.cs

@@ -28,11 +28,6 @@ namespace QuanTAlib;
 public class Hma : AbstractBase
 {
     private readonly Convolution _wmaHalf, _wmaFull, _wmaFinal;
-    private readonly int _period;
-    private readonly int _sqrtPeriod;
-    private readonly double[] _kernelHalf;
-    private readonly double[] _kernelFull;
-    private readonly double[] _kernelFinal;
 
     /// <param name="period">The number of data points used in the HMA calculation. Must be at least 2.</param>
     /// <exception cref="ArgumentException">Thrown when period is less than 2.</exception>
@@ -42,13 +37,12 @@ public class Hma : AbstractBase
         {
             throw new System.ArgumentException("Period must be greater than or equal to 2.", nameof(period));
         }
-        _period = period;
-        _sqrtPeriod = (int)System.Math.Sqrt(period);
+        int _sqrtPeriod = (int)System.Math.Sqrt(period);
 
         // Generate all kernels once
-        _kernelHalf = GenerateWmaKernel(period / 2);
-        _kernelFull = GenerateWmaKernel(period);
-        _kernelFinal = GenerateWmaKernel(_sqrtPeriod);
+        double[] _kernelHalf = GenerateWmaKernel(period / 2);
+        double[] _kernelFull = GenerateWmaKernel(period);
+        double[] _kernelFinal = GenerateWmaKernel(_sqrtPeriod);
 
         // Initialize convolutions with pre-generated kernels
         _wmaHalf = new Convolution(_kernelHalf);

lib/averages/Sinema.cs

@@ -28,7 +28,6 @@ namespace QuanTAlib;
 public class Sinema : AbstractBase
 {
     private readonly Convolution _convolution;
-    private readonly double[] _kernel;
 
     /// <param name="period">The number of data points used in the SINEMA calculation.</param>
     /// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
@@ -38,7 +37,7 @@ public class Sinema : AbstractBase
         {
             throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
         }
-        _kernel = GenerateKernel(period);
+        double[] _kernel = GenerateKernel(period);
         _convolution = new Convolution(_kernel);
         Name = "Sinema";
         WarmupPeriod = period;

lib/averages/Sma.cs

@@ -27,7 +27,6 @@ namespace QuanTAlib;
 public class Sma : AbstractBase
 {
     private readonly CircularBuffer _buffer;
-    private readonly int _period;
 
     /// <param name="period">The number of data points used in the SMA calculation.</param>
     /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
@@ -37,7 +36,6 @@ public class Sma : AbstractBase
         {
             throw new System.ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
         }
-        _period = period;
         _buffer = new CircularBuffer(period);
         Name = "Sma";
         WarmupPeriod = period;

lib/averages/T3.cs

@@ -28,7 +28,6 @@ namespace QuanTAlib;
 public class T3 : AbstractBase
 {
     private readonly int _period;
-    private readonly double _vfactor;
     private readonly bool _useSma;
     private readonly double _k;
     private readonly double _c1, _c2, _c3, _c4;
@@ -48,7 +47,6 @@ public class T3 : AbstractBase
             throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
         }
         _period = period;
-        _vfactor = vfactor;
         _useSma = useSma;
         WarmupPeriod = period;
 
@@ -69,7 +67,7 @@ public class T3 : AbstractBase
         _buffer5 = new(period);
         _buffer6 = new(period);
 
-        Name = $"T3({_period}, {_vfactor})";
+        Name = $"T3({_period}, {vfactor})";
         Init();
     }
 

lib/quantalib.csproj

@@ -1,36 +1,27 @@
 <Project Sdk="Microsoft.NET.Sdk">
-
   <PropertyGroup>
     <Title>QuanTAlib</Title>
     <Product>Library of TA Calculations, Charts and Strategies for Quantower</Product>
     <Description>Quantitative Technical Analysis Library in C# for Quantower</Description>
     <RepositoryType>git</RepositoryType>
     <RepositoryUrl>https://github.com/mihakralj/QuanTAlib</RepositoryUrl>
-    <PublishRepositoryUrl>true</PublishRepositoryUrl>
     <Authors>Miha Kralj</Authors>
     <Copyright>Miha Kralj</Copyright>
     <PackageReadmeFile>readme.md</PackageReadmeFile>
     <RootNamespace>QuanTAlib</RootNamespace>
     <AssemblyName>QuanTAlib</AssemblyName>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <IsPublishable>True</IsPublishable>
-    <PlatformTarget>AnyCPU</PlatformTarget>
-    <DebugType>full</DebugType>
-    <ProduceReferenceAssembly>True</ProduceReferenceAssembly>
     <GeneratePackageOnBuild>True</GeneratePackageOnBuild>
     <PackageIcon>QuanTAlib2.png</PackageIcon>
-    <PackageReadmeFile>readme.md</PackageReadmeFile>
     <PackageLicenseExpression>Apache-2.0</PackageLicenseExpression>
     <PackageTags>
       Indicators;Stock;Market;Technical;Analysis;Algorithmic;Trading;Trade;Trend;Momentum;Finance;Algorithm;Algo;
       AlgoTrading;Financial;Strategy;Chart;Charting;Oscillator;Overlay;Equity;Bitcoin;Crypto;Cryptocurrency;Forex;
       Quantitative;Historical;Quotes;
     </PackageTags>
-    <PackageIcon>QuanTAlib2.png</PackageIcon>
     <PackageIconUrl>https://raw.githubusercontent.com/mihakralj/QuanTAlib/main/.github/QuanTAlib2.png</PackageIconUrl>
     <EnforceCodeStyleInBuild>True</EnforceCodeStyleInBuild>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
-    <NoWarn>$(NoWarn);NU1903;NU5104</NoWarn>
   </PropertyGroup>
 
   <ItemGroup>
@@ -51,4 +42,4 @@
     </None>
   </ItemGroup>
 
-</Project>
+</Project>

lib/statistics/Hurst.cs

@@ -0,0 +1,194 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// HURST: Hurst Exponent
+/// A measure of long-term memory of time series that relates to the
+/// autocorrelations of the time series, and the rate at which these
+/// decrease as the lag between pairs of values increases.
+/// </summary>
+/// <remarks>
+/// The Hurst Exponent calculation process:
+/// 1. Calculate log returns of the series
+/// 2. Create subsequences of different lengths
+/// 3. For each length:
+///    - Calculate range (max-min) of cumulative deviations
+///    - Calculate standard deviation
+///    - Calculate R/S ratio
+/// 4. Fit log(R/S) vs log(length) to find H
+///
+/// Key characteristics:
+/// - H = 0.5: Random walk (Brownian motion)
+/// - 0.5 < H ≤ 1.0: Trending (persistent) series
+/// - 0 ≤ H < 0.5: Mean-reverting (anti-persistent) series
+/// - Default minimum length is 10
+/// - Default maximum length is period/2
+///
+/// Formula:
+/// R(n)/S(n) = c * n^H
+/// where:
+/// R(n) = range of cumulative deviations
+/// S(n) = standard deviation
+/// n = subsequence length
+/// H = Hurst exponent
+///
+/// Market Applications:
+/// - Market efficiency analysis
+/// - Trend strength measurement
+/// - Trading strategy development
+/// - Risk assessment
+/// - Market regime identification
+///
+/// Sources:
+///     H.E. Hurst (1951)
+///     "Long-term Storage Capacity of Reservoirs"
+///     Transactions of the American Society of Civil Engineers, 116, 770-799
+///
+/// Note: Returns a value between 0 and 1
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Hurst : AbstractBase
+{
+    private readonly int _period;
+    private readonly int _minLength;
+    private readonly CircularBuffer _prices;
+    private readonly CircularBuffer _logReturns;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Hurst(int period = 100, int minLength = 10)
+    {
+        if (minLength < 10)
+        {
+            throw new ArgumentOutOfRangeException(nameof(minLength), "Minimum length must be at least 10.");
+        }
+        if (period <= minLength * 2)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be at least twice the minimum length.");
+        }
+
+        _period = period;
+        _minLength = minLength;
+        WarmupPeriod = period + 1;  // Need one extra period for returns
+        Name = $"HURST({_period})";
+        _prices = new CircularBuffer(period);
+        _logReturns = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Hurst(object source, int period = 100, int minLength = 10) : this(period, minLength)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prices.Clear();
+        _logReturns.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private static (double range, double stdDev) CalculateRangeAndStdDev(ReadOnlySpan<double> data)
+    {
+        int n = data.Length;
+        if (n == 0) return (0, 0);
+
+        // Calculate mean
+        double mean = 0;
+        for (int i = 0; i < n; i++)
+        {
+            mean += data[i];
+        }
+        mean /= n;
+
+        // Calculate cumulative deviations and std dev
+        double max = double.MinValue;
+        double min = double.MaxValue;
+        double sumSquaredDev = 0;
+        double cumDev = 0;
+
+        for (int i = 0; i < n; i++)
+        {
+            double dev = data[i] - mean;
+            cumDev += dev;
+            max = Math.Max(max, cumDev);
+            min = Math.Min(min, cumDev);
+            sumSquaredDev += dev * dev;
+        }
+
+        double range = max - min;
+        double stdDev = Math.Sqrt(sumSquaredDev / n);
+
+        return (range, stdDev);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Add price and calculate log return
+        _prices.Add(BarInput.Close);
+        if (_index > 1)
+        {
+            double logReturn = Math.Log(BarInput.Close / _prices[1]);
+            _logReturns.Add(logReturn);
+        }
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0.5; // Return random walk value until we have enough data
+        }
+
+        // Calculate R/S values for different lengths
+        int maxLength = _period / 2;
+        int numPoints = 0;
+        double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0;
+
+        for (int length = _minLength; length <= maxLength; length *= 2)
+        {
+            var (range, stdDev) = CalculateRangeAndStdDev(_logReturns.GetSpan()[..length]);
+            if (stdDev > 0)
+            {
+                double rs = range / stdDev;
+                if (rs > 0)
+                {
+                    double x = Math.Log(length);
+                    double y = Math.Log(rs);
+                    sumX += x;
+                    sumY += y;
+                    sumXY += x * y;
+                    sumX2 += x * x;
+                    numPoints++;
+                }
+            }
+        }
+
+        // Calculate Hurst exponent using linear regression
+        double hurst = 0.5; // Default to random walk
+        if (numPoints > 1)
+        {
+            double slope = (numPoints * sumXY - sumX * sumY) / (numPoints * sumX2 - sumX * sumX);
+            hurst = Math.Max(0, Math.Min(1, slope)); // Clamp between 0 and 1
+        }
+
+        IsHot = _index >= WarmupPeriod;
+        return hurst;
+    }
+}

lib/volatility/Bband.cs

@@ -0,0 +1,143 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// BBAND: Bollinger Bands®
+/// A technical analysis tool that creates a band of three lines:
+/// - Middle Band: n-period simple moving average (SMA)
+/// - Upper Band: Middle Band + (standard deviation * multiplier)
+/// - Lower Band: Middle Band - (standard deviation * multiplier)
+/// </summary>
+/// <remarks>
+/// The Bollinger Bands calculation process:
+/// 1. Calculate the middle band (SMA of closing prices)
+/// 2. Calculate the standard deviation of prices
+/// 3. Upper and lower bands are the middle band +/- standard deviation * multiplier
+///
+/// Key characteristics:
+/// - Adapts to volatility
+/// - Default period is 20 days
+/// - Default multiplier is 2.0
+/// - Returns three bands (upper, middle, lower)
+/// - Wider bands indicate higher volatility
+/// - Narrower bands indicate lower volatility
+///
+/// Formula:
+/// Middle Band = SMA(Close, period)
+/// Standard Deviation = SQRT(SUM((Close - Middle Band)^2) / period)
+/// Upper Band = Middle Band + (multiplier * Standard Deviation)
+/// Lower Band = Middle Band - (multiplier * Standard Deviation)
+///
+/// Market Applications:
+/// - Volatility measurement
+/// - Overbought/oversold identification
+/// - Price breakout detection
+/// - Trend strength analysis
+/// - Dynamic support/resistance levels
+///
+/// Sources:
+///     John Bollinger (1980s)
+///     https://www.bollingerbands.com
+///
+/// Note: Returns three values: upper, middle, and lower bands
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Bband : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _multiplier;
+    private readonly CircularBuffer _prices;
+    private double _middleBand;
+    private double _upperBand;
+    private double _lowerBand;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Bband(int period = 20, double multiplier = 2.0)
+    {
+        _period = period;
+        _multiplier = multiplier;
+        WarmupPeriod = period;
+        Name = $"BBAND({_period},{_multiplier})";
+        _prices = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Bband(object source, int period = 20, double multiplier = 2.0) : this(period, multiplier)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _middleBand = 0;
+        _upperBand = 0;
+        _lowerBand = 0;
+        _prices.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Add current price to buffer
+        _prices.Add(BarInput.Close);
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate middle band (SMA)
+        _middleBand = _prices.Average();
+
+        // Calculate standard deviation
+        double sumSquaredDeviations = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            double deviation = _prices[i] - _middleBand;
+            sumSquaredDeviations += deviation * deviation;
+        }
+        double standardDeviation = Math.Sqrt(sumSquaredDeviations / _period);
+
+        // Calculate bands
+        double bandWidth = _multiplier * standardDeviation;
+        _upperBand = _middleBand + bandWidth;
+        _lowerBand = _middleBand - bandWidth;
+
+        IsHot = _index >= WarmupPeriod;
+        return _middleBand;  // Return middle band as primary value
+    }
+
+    /// <summary>
+    /// Gets the upper band value
+    /// </summary>
+    public double UpperBand => _upperBand;
+
+    /// <summary>
+    /// Gets the middle band value (SMA)
+    /// </summary>
+    public double MiddleBand => _middleBand;
+
+    /// <summary>
+    /// Gets the lower band value
+    /// </summary>
+    public double LowerBand => _lowerBand;
+}

lib/volatility/Ccv.cs

@@ -0,0 +1,130 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CCV: Close-to-Close Volatility
+/// A measure of price volatility that uses only closing prices,
+/// calculated as the standard deviation of logarithmic returns.
+/// </summary>
+/// <remarks>
+/// The CCV calculation process:
+/// 1. Calculate logarithmic returns: ln(Close[t]/Close[t-1])
+/// 2. Calculate standard deviation of returns over the period
+/// 3. Annualize by multiplying by sqrt(trading days per year)
+///
+/// Key characteristics:
+/// - Uses only closing prices
+/// - Based on logarithmic returns
+/// - Default period is 20 days
+/// - Annualized by default (multiply by sqrt(252))
+/// - Expressed as a percentage
+///
+/// Formula:
+/// Returns = ln(Close[t]/Close[t-1])
+/// CCV = StdDev(Returns, period) * sqrt(252) * 100
+///
+/// Market Applications:
+/// - Volatility measurement
+/// - Risk assessment
+/// - Option pricing
+/// - Trading strategy development
+/// - Portfolio management
+///
+/// Sources:
+///     Close-to-Close Volatility concept
+///     https://www.investopedia.com/terms/v/volatility.asp
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ccv : AbstractBase
+{
+    private readonly int _period;
+    private readonly bool _annualize;
+    private readonly CircularBuffer _returns;
+    private double _prevClose;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ccv(int period = 20, bool annualize = true)
+    {
+        _period = period;
+        _annualize = annualize;
+        WarmupPeriod = period + 1;  // Need one extra period for returns calculation
+        Name = $"CCV({_period})";
+        _returns = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ccv(object source, int period = 20, bool annualize = true) : this(period, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _returns.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate logarithmic return
+        double logReturn = Math.Log(BarInput.Close / _prevClose);
+        _returns.Add(logReturn);
+        _prevClose = BarInput.Close;
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate standard deviation
+        double mean = _returns.Average();
+        double sumSquaredDeviations = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            double deviation = _returns[i] - mean;
+            sumSquaredDeviations += deviation * deviation;
+        }
+        double stdDev = Math.Sqrt(sumSquaredDeviations / _period);
+
+        // Annualize if requested (sqrt(252) for trading days in a year)
+        if (_annualize)
+        {
+            stdDev *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        double volatility = stdDev * 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}

lib/volatility/Ce.cs

@@ -0,0 +1,157 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CE: Chandelier Exit
+/// A volatility-based stop-loss indicator that adapts to market conditions,
+/// using ATR to set stop levels above/below recent price extremes.
+/// </summary>
+/// <remarks>
+/// The CE calculation process:
+/// 1. Calculate highest high and lowest low over the period
+/// 2. Calculate ATR over the period
+/// 3. Long Exit = Highest High - (ATR * multiplier)
+/// 4. Short Exit = Lowest Low + (ATR * multiplier)
+///
+/// Key characteristics:
+/// - Adapts to market volatility
+/// - Default period is 22 days
+/// - Default multiplier is 3.0
+/// - Returns both long and short exit levels
+/// - Based on ATR and price extremes
+///
+/// Formula:
+/// ATR = Average(TR, period)
+/// Long Exit = Highest High[period] - (multiplier * ATR)
+/// Short Exit = Lowest Low[period] + (multiplier * ATR)
+///
+/// Market Applications:
+/// - Stop loss placement
+/// - Position management
+/// - Trend following
+/// - Risk control
+/// - Exit strategy
+///
+/// Sources:
+///     Chuck LeBeau
+///     https://www.investopedia.com/terms/c/chandelier-exit.asp
+///
+/// Note: Returns two values: long exit and short exit levels
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ce : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _multiplier;
+    private readonly CircularBuffer _tr;
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private double _prevClose;
+    private double _longExit;
+    private double _shortExit;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ce(int period = 22, double multiplier = 3.0)
+    {
+        _period = period;
+        _multiplier = multiplier;
+        WarmupPeriod = period + 1;  // Need one extra period for TR
+        Name = $"CE({_period},{_multiplier})";
+        _tr = new CircularBuffer(period);
+        _highs = new CircularBuffer(period);
+        _lows = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ce(object source, int period = 22, double multiplier = 3.0) : this(period, multiplier)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _longExit = 0;
+        _shortExit = 0;
+        _tr.Clear();
+        _highs.Clear();
+        _lows.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate True Range
+        double tr = Math.Max(BarInput.High - BarInput.Low,
+                   Math.Max(Math.Abs(BarInput.High - _prevClose),
+                          Math.Abs(BarInput.Low - _prevClose)));
+
+        // Add values to buffers
+        _tr.Add(tr);
+        _highs.Add(BarInput.High);
+        _lows.Add(BarInput.Low);
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate ATR
+        double atr = _tr.Average();
+
+        // Find highest high and lowest low
+        double highestHigh = double.MinValue;
+        double lowestLow = double.MaxValue;
+        for (int i = 0; i < _period; i++)
+        {
+            highestHigh = Math.Max(highestHigh, _highs[i]);
+            lowestLow = Math.Min(lowestLow, _lows[i]);
+        }
+
+        // Calculate exit levels
+        _longExit = highestHigh - (_multiplier * atr);
+        _shortExit = lowestLow + (_multiplier * atr);
+
+        IsHot = _index >= WarmupPeriod;
+        return _longExit;  // Return long exit as primary value
+    }
+
+    /// <summary>
+    /// Gets the long exit level
+    /// </summary>
+    public double LongExit => _longExit;
+
+    /// <summary>
+    /// Gets the short exit level
+    /// </summary>
+    public double ShortExit => _shortExit;
+}

lib/volatility/Cv.cs

@@ -0,0 +1,138 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CV: Conditional Volatility (GARCH)
+/// Implements the GARCH(1,1) model for estimating conditional volatility,
+/// which captures volatility clustering and mean reversion in financial markets.
+/// </summary>
+/// <remarks>
+/// The CV (GARCH) calculation process:
+/// 1. Calculate returns: (Close[t] - Close[t-1])/Close[t-1]
+/// 2. Update variance estimate using GARCH(1,1) formula:
+///    σ²[t] = ω + α*r²[t-1] + β*σ²[t-1]
+/// 3. Take square root to get volatility
+///
+/// Key characteristics:
+/// - Captures volatility clustering
+/// - Mean-reverting behavior
+/// - Responds to market shocks
+/// - Default period is 20 days
+/// - Returns annualized volatility
+///
+/// Formula:
+/// Returns[t] = (Close[t] - Close[t-1])/Close[t-1]
+/// σ²[t] = ω + α*Returns²[t-1] + β*σ²[t-1]
+/// CV[t] = sqrt(σ²[t]) * sqrt(252) * 100
+///
+/// Where:
+/// ω (omega) = long-term variance * (1 - α - β)
+/// α (alpha) = weight of recent squared return
+/// β (beta) = weight of previous variance
+///
+/// Market Applications:
+/// - Risk measurement
+/// - Option pricing
+/// - Value at Risk (VaR)
+/// - Portfolio optimization
+/// - Volatility forecasting
+///
+/// Sources:
+///     Bollerslev (1986)
+///     https://en.wikipedia.org/wiki/GARCH
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Cv : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _alpha;
+    private readonly double _beta;
+    private readonly double _omega;
+    private double _prevClose;
+    private double _prevVariance;
+    private bool _isInitialized;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cv(int period = 20, double alpha = 0.1, double beta = 0.8)
+    {
+        _period = period;
+        _alpha = alpha;
+        _beta = beta;
+        _omega = 0.001 * (1 - alpha - beta);  // Initial estimate, will be updated with actual data
+        WarmupPeriod = period + 1;  // Need one extra period for returns
+        Name = $"CV({_period})";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Cv(object source, int period = 20, double alpha = 0.1, double beta = 0.8) : this(period, alpha, beta)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _prevVariance = 0;
+        _isInitialized = false;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate return
+        double return_ = (BarInput.Close - _prevClose) / _prevClose;
+        double squaredReturn = return_ * return_;
+        _prevClose = BarInput.Close;
+
+        // Initialize with first available data if not done
+        if (!_isInitialized && _index > _period)
+        {
+            double _longTermVariance = squaredReturn;  // Use current squared return as initial estimate
+            _prevVariance = _longTermVariance;
+            _isInitialized = true;
+        }
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Update variance estimate using GARCH(1,1)
+        double variance = _omega + _alpha * squaredReturn + _beta * _prevVariance;
+        _prevVariance = variance;
+
+        // Calculate annualized volatility as percentage
+        double volatility = Math.Sqrt(variance) * Math.Sqrt(252) * 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}

lib/volatility/Cvi.cs

@@ -2,65 +2,63 @@ using System.Runtime.CompilerServices;
 namespace QuanTAlib;
 
 /// <summary>
-/// CVI: Chaikin's Volatility
-/// A technical indicator developed by Marc Chaikin that measures the volatility of a financial instrument by comparing the spread between the high and low prices.
+/// CVI: Chaikin's Volatility Index
+/// Measures the rate of change of a moving average of the difference
+/// between high and low prices, indicating volatility expansion/contraction.
 /// </summary>
 /// <remarks>
 /// The CVI calculation process:
-/// 1. Calculates the difference between the high and low prices.
-/// 2. Applies an exponential moving average (EMA) to the differences.
-/// 3. Computes the percentage change in the EMA over a specified period.
+/// 1. Calculate High-Low difference
+/// 2. Take EMA of High-Low difference
+/// 3. Calculate ROC of the EMA over specified period
 ///
 /// Key characteristics:
-/// - Measures volatility
-/// - Uses high and low prices
-/// - Percentage-based
-/// - EMA smoothing
+/// - Measures volatility expansion/contraction
+/// - Default period is 10 days
+/// - Default smoothing period is 10 days
+/// - Positive values indicate expanding volatility
+/// - Negative values indicate contracting volatility
 ///
 /// Formula:
-/// CVI = (EMA(high - low, period) - EMA(high - low, period, offset)) / EMA(high - low, period, offset) * 100
+/// HL = High - Low
+/// Smoothed = EMA(HL, smoothPeriod)
+/// CVI = ((Smoothed - Smoothed[period]) / Smoothed[period]) * 100
 ///
 /// Market Applications:
-/// - Volatility assessment
-/// - Trend confirmation
-/// - Risk management
-/// - Entry/exit timing
+/// - Volatility measurement
+/// - Trend strength analysis
+/// - Market regime identification
+/// - Trading range analysis
+/// - Breakout confirmation
 ///
 /// Sources:
-///     Marc Chaikin - Original development
-///     https://www.investopedia.com/terms/c/chaikins-volatility.asp
+///     Marc Chaikin
+///     https://www.investopedia.com/terms/c/chaikinvolatility.asp
 ///
-/// Note: Higher CVI values indicate higher volatility
+/// Note: Returns percentage change in volatility
 /// </remarks>
 [SkipLocalsInit]
 public sealed class Cvi : AbstractBase
 {
     private readonly int _period;
-    private readonly Ema _ema;
-    private readonly CircularBuffer _buffer;
-    private double _prevEma;
+    private readonly CircularBuffer _smoothed;
+    private readonly double _alpha;
+    private double _ema;
 
-    /// <param name="period">The number of periods for CVI calculation.</param>
-    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
-    public Cvi(int period)
+    public Cvi(int period = 10, int smoothPeriod = 10)
     {
-        if (period < 1)
-        {
-            throw new ArgumentOutOfRangeException(nameof(period),
-                "Period must be greater than or equal to 1.");
-        }
         _period = period;
-        _ema = new Ema(period);
-        _buffer = new CircularBuffer(period);
-        WarmupPeriod = period;
-        Name = $"CVI({period})";
+        _alpha = 2.0 / (smoothPeriod + 1);
+        WarmupPeriod = _period + smoothPeriod;
+        Name = $"CVI({_period},{smoothPeriod})";
+        _smoothed = new CircularBuffer(_period);
+        Init();
     }
 
     /// <param name="source">The data source object that publishes updates.</param>
-    /// <param name="period">The number of periods for CVI calculation.</param>
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
-    public Cvi(object source, int period) : this(period)
+    public Cvi(object source, int period = 10, int smoothPeriod = 10) : this(period, smoothPeriod)
     {
         var pubEvent = source.GetType().GetEvent("Pub");
         pubEvent?.AddEventHandler(source, new BarSignal(Sub));
@@ -70,9 +68,8 @@ public sealed class Cvi : AbstractBase
     public override void Init()
     {
         base.Init();
-        _ema.Init();
-        _buffer.Clear();
-        _prevEma = 0;
+        _ema = 0;
+        _smoothed.Clear();
     }
 
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -80,6 +77,7 @@ public sealed class Cvi : AbstractBase
     {
         if (isNew)
         {
+            _lastValidValue = Value;
             _index++;
         }
     }
@@ -89,20 +87,32 @@ public sealed class Cvi : AbstractBase
     {
         ManageState(BarInput.IsNew);
 
-        double highLowDiff = BarInput.High - BarInput.Low;
-        _buffer.Add(highLowDiff, BarInput.IsNew);
+        // Calculate High-Low difference
+        double hl = BarInput.High - BarInput.Low;
 
-        double ema = _ema.Calc(new TValue(Input.Time, highLowDiff, BarInput.IsNew)).Value;
-
-        double cvi = 0;
-        if (_index >= _period)
+        // Calculate EMA of High-Low difference
+        if (_index == 1)
         {
-            double prevEma = _buffer[_buffer.Count - _period];
-            cvi = (ema - prevEma) / prevEma * 100;
+            _ema = hl;
+        }
+        else
+        {
+            _ema = (_alpha * hl) + ((1 - _alpha) * _ema);
         }
 
-        _prevEma = ema;
+        // Add smoothed value to buffer
+        _smoothed.Add(_ema);
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate rate of change
+        double roc = ((_ema - _smoothed[_period - 1]) / _smoothed[_period - 1]) * 100;
+
         IsHot = _index >= WarmupPeriod;
-        return cvi;
+        return roc;
     }
 }

lib/volatility/Ewma.cs

@@ -0,0 +1,141 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// EWMA: Exponential Weighted Moving Average Volatility
+/// A volatility measure that gives more weight to recent observations,
+/// calculated using squared returns and exponential weighting.
+/// </summary>
+/// <remarks>
+/// The EWMA calculation process:
+/// 1. Calculate returns: (Close[t] - Close[t-1])/Close[t-1]
+/// 2. Square returns
+/// 3. Apply exponential weighting to squared returns
+/// 4. Take square root and annualize
+///
+/// Key characteristics:
+/// - More responsive to recent volatility changes
+/// - Default decay factor (lambda) is 0.94
+/// - Default period is 20 days
+/// - Annualized by default (multiply by sqrt(252))
+/// - Expressed as a percentage
+///
+/// Formula:
+/// Returns[t] = (Close[t] - Close[t-1])/Close[t-1]
+/// EWMA[t] = λ * EWMA[t-1] + (1-λ) * Returns[t]²
+/// Volatility = sqrt(EWMA) * sqrt(252) * 100
+///
+/// Where:
+/// λ (lambda) = decay factor (typically 0.94)
+///
+/// Market Applications:
+/// - Risk measurement
+/// - Option pricing
+/// - Value at Risk (VaR)
+/// - Portfolio optimization
+/// - Volatility forecasting
+///
+/// Sources:
+///     RiskMetrics™ Technical Document (1996)
+///     https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ewma : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _lambda;
+    private readonly bool _annualize;
+    private double _prevClose;
+    private double _ewma;
+    private bool _isInitialized;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ewma(int period = 20, double lambda = 0.94, bool annualize = true)
+    {
+        _period = period;
+        _lambda = lambda;
+        _annualize = annualize;
+        WarmupPeriod = period + 1;  // Need one extra period for returns
+        Name = $"EWMA({_period},{_lambda})";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ewma(object source, int period = 20, double lambda = 0.94, bool annualize = true) : this(period, lambda, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _ewma = 0;
+        _isInitialized = false;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate return
+        double return_ = (BarInput.Close - _prevClose) / _prevClose;
+        double squaredReturn = return_ * return_;
+        _prevClose = BarInput.Close;
+
+        // Initialize EWMA if not done
+        if (!_isInitialized && _index > _period)
+        {
+            _ewma = squaredReturn;
+            _isInitialized = true;
+        }
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Update EWMA
+        _ewma = _lambda * _ewma + (1 - _lambda) * squaredReturn;
+
+        // Calculate volatility
+        double volatility = Math.Sqrt(_ewma);
+
+        // Annualize if requested
+        if (_annualize)
+        {
+            volatility *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        volatility *= 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}

lib/volatility/Fcb.cs

@@ -0,0 +1,159 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// FCB: Fractal Chaos Bands
+/// Adaptive price bands based on fractal geometry concepts,
+/// identifying potential support and resistance levels.
+/// </summary>
+/// <remarks>
+/// The FCB calculation process:
+/// 1. Identify fractal highs and lows over the period
+/// 2. Calculate high and low bands using fractal points
+/// 3. Smooth bands using exponential moving average
+///
+/// Key characteristics:
+/// - Adapts to market structure
+/// - Default period is 20 days
+/// - Default smoothing factor is 0.5
+/// - Returns upper and lower bands
+/// - Based on fractal geometry concepts
+///
+/// Formula:
+/// Fractal High = High[t] where High[t] > High[t±1,2]
+/// Fractal Low = Low[t] where Low[t] < Low[t±1,2]
+/// Upper Band = EMA(Fractal Highs, smoothing)
+/// Lower Band = EMA(Fractal Lows, smoothing)
+///
+/// Market Applications:
+/// - Support/resistance identification
+/// - Trend analysis
+/// - Volatility measurement
+/// - Breakout detection
+/// - Trading range analysis
+///
+/// Sources:
+///     Bill Williams' Chaos Theory
+///     Trading Chaos (2nd Edition) by Bill Williams
+///
+/// Note: Returns three values: upper, middle, and lower bands
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Fcb : AbstractBase
+{
+    private readonly double _smoothing;
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private double _upperBand;
+    private double _middleBand;
+    private double _lowerBand;
+    private double _upperEma;
+    private double _lowerEma;
+    private readonly double _alpha;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Fcb(int period = 20, double smoothing = 0.5)
+    {
+        _smoothing = smoothing;
+        _alpha = 2.0 / (period + 1);
+        WarmupPeriod = period + 4;  // Need extra periods for fractal identification
+        Name = $"FCB({period},{_smoothing})";
+        _highs = new CircularBuffer(period);
+        _lows = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Fcb(object source, int period = 20, double smoothing = 0.5) : this(period, smoothing)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _upperBand = 0;
+        _middleBand = 0;
+        _lowerBand = 0;
+        _upperEma = 0;
+        _lowerEma = 0;
+        _highs.Clear();
+        _lows.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Add current high/low to buffers
+        _highs.Add(BarInput.High);
+        _lows.Add(BarInput.Low);
+
+        // Need enough values for calculation
+        if (_index <= 4)
+        {
+            return 0;
+        }
+
+        // Check for fractal patterns
+        bool isFractalHigh = false;
+        bool isFractalLow = false;
+
+        // Fractal high: current high is higher than 2 bars before and after
+        isFractalHigh = _highs[2] > _highs[0] && _highs[2] > _highs[1] &&
+                       _highs[2] > _highs[3] && _highs[2] > _highs[4];
+
+        // Fractal low: current low is lower than 2 bars before and after
+        isFractalLow = _lows[2] < _lows[0] && _lows[2] < _lows[1] &&
+                      _lows[2] < _lows[3] && _lows[2] < _lows[4];
+
+
+        // Update EMAs with fractal points
+        if (isFractalHigh)
+        {
+            _upperEma = (_alpha * _highs[2]) + ((1 - _alpha) * _upperEma);
+        }
+        if (isFractalLow)
+        {
+            _lowerEma = (_alpha * _lows[2]) + ((1 - _alpha) * _lowerEma);
+        }
+
+        // Apply smoothing to bands
+        _upperBand = _smoothing * _upperEma + (1 - _smoothing) * BarInput.High;
+        _lowerBand = _smoothing * _lowerEma + (1 - _smoothing) * BarInput.Low;
+        _middleBand = (_upperBand + _lowerBand) / 2;
+
+        IsHot = _index >= WarmupPeriod;
+        return _middleBand;  // Return middle band as primary value
+    }
+
+    /// <summary>
+    /// Gets the upper band value
+    /// </summary>
+    public double UpperBand => _upperBand;
+
+    /// <summary>
+    /// Gets the middle band value
+    /// </summary>
+    public double MiddleBand => _middleBand;
+
+    /// <summary>
+    /// Gets the lower band value
+    /// </summary>
+    public double LowerBand => _lowerBand;
+}

lib/volatility/Gkv.cs

@@ -0,0 +1,127 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// GKV: Garman-Klass Volatility
+/// An efficient estimator of volatility that uses open, high, low,
+/// and close prices to capture intraday price movements.
+/// </summary>
+/// <remarks>
+/// The GKV calculation process:
+/// 1. Calculate components using OHLC prices
+/// 2. Combine components using optimal weights
+/// 3. Take rolling average over period
+/// 4. Annualize and convert to percentage
+///
+/// Key characteristics:
+/// - More efficient than close-to-close volatility
+/// - Uses full OHLC price information
+/// - Default period is 20 days
+/// - Annualized by default
+/// - Expressed as a percentage
+///
+/// Formula:
+/// u = ln(High/Low)²/2
+/// c = ln(Close/Open)²
+/// GKV = sqrt(sum((0.5*u - (2*ln(2)-1)*c) / period) * 252) * 100
+///
+/// Market Applications:
+/// - Volatility estimation
+/// - Risk measurement
+/// - Option pricing
+/// - Trading strategy development
+/// - Market analysis
+///
+/// Sources:
+///     Garman and Klass (1980)
+///     Journal of Business 53(1): 67-78
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Gkv : AbstractBase
+{
+    private readonly int _period;
+    private readonly bool _annualize;
+    private readonly CircularBuffer _components;
+    private readonly double _ln2;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Gkv(int period = 20, bool annualize = true)
+    {
+        _period = period;
+        _annualize = annualize;
+        WarmupPeriod = period;
+        Name = $"GKV({_period})";
+        _components = new CircularBuffer(period);
+        _ln2 = Math.Log(2);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Gkv(object source, int period = 20, bool annualize = true) : this(period, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _components.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate components
+        double u = Math.Log(BarInput.High / BarInput.Low);
+        u = u * u / 2;
+
+        double c = Math.Log(BarInput.Close / BarInput.Open);
+        c = c * c;
+
+        // Combine components with optimal weights
+        double component = 0.5 * u - (2 * _ln2 - 1) * c;
+        _components.Add(component);
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate average component
+        double avgComponent = _components.Average();
+
+        // Calculate volatility
+        double volatility = Math.Sqrt(avgComponent);
+
+        // Annualize if requested
+        if (_annualize)
+        {
+            volatility *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        volatility *= 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}

lib/volatility/Hlv.cs

@@ -0,0 +1,130 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// HLV: High-Low Volatility
+/// A volatility measure based on the high-low range relative
+/// to the previous close, capturing intraday price movements.
+/// </summary>
+/// <remarks>
+/// The HLV calculation process:
+/// 1. Calculate normalized high-low range
+/// 2. Take rolling average over period
+/// 3. Convert to annualized volatility
+///
+/// Key characteristics:
+/// - Captures intraday price movements
+/// - Uses high, low, and previous close
+/// - Default period is 20 days
+/// - Annualized by default
+/// - Expressed as a percentage
+///
+/// Formula:
+/// Range = (High - Low) / PrevClose
+/// HLV = sqrt(sum(Range² / period) * 252) * 100
+///
+/// Market Applications:
+/// - Volatility measurement
+/// - Risk assessment
+/// - Trading range analysis
+/// - Market regime identification
+/// - Position sizing
+///
+/// Sources:
+///     Parkinson (1980) modified
+///     The Extreme Value Method for Estimating the Variance of the Rate of Return
+///     Journal of Business 53(1): 61-65
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Hlv : AbstractBase
+{
+    private readonly int _period;
+    private readonly bool _annualize;
+    private readonly CircularBuffer _ranges;
+    private double _prevClose;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Hlv(int period = 20, bool annualize = true)
+    {
+        _period = period;
+        _annualize = annualize;
+        WarmupPeriod = period + 1;  // Need one extra period for previous close
+        Name = $"HLV({_period})";
+        _ranges = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Hlv(object source, int period = 20, bool annualize = true) : this(period, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _ranges.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate normalized range
+        double range = (BarInput.High - BarInput.Low) / _prevClose;
+        double squaredRange = range * range;
+        _ranges.Add(squaredRange);
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate average squared range
+        double avgSquaredRange = _ranges.Average();
+
+        // Calculate volatility
+        double volatility = Math.Sqrt(avgSquaredRange);
+
+        // Annualize if requested
+        if (_annualize)
+        {
+            volatility *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        volatility *= 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}

lib/volatility/_list.md

@@ -1,21 +1,21 @@
 # Volatility indicators
-Done: 15, Todo: 20
+Done: 24, Todo: 11
 
 ✔️ ADR - Average Daily Range
 ✔️ AP - Andrew's Pitchfork
 ✔️ ATR - Average True Range
 ✔️ ATRP - Average True Range Percent
 ✔️ ATRS - ATR Trailing Stop
-*BB - Bollinger Bands® (Upper, Middle, Lower)
-CCV - Close-to-Close Volatility
-CE - Chandelier Exit
-CV - Conditional Volatility (ARCH/GARCH)
-CVI - Chaikin's Volatility
+✔️ BBAND - Bollinger Bands® (Upper, Middle, Lower)
+✔️ CCV - Close-to-Close Volatility
+✔️ CE - Chandelier Exit
+✔️ CV - Conditional Volatility (ARCH/GARCH)
+✔️ CVI - Chaikin's Volatility
 *DC - Donchian Channels (Upper, Middle, Lower)
-EWMA - Exponential Weighted Moving Average Volatility
-FCB - Fractal Chaos Bands
-GKV - Garman-Klass Volatility
-HLV - High-Low Volatility
+✔️ EWMA - Exponential Weighted Moving Average Volatility
+✔️ FCB - Fractal Chaos Bands
+✔️ GKV - Garman-Klass Volatility
+✔️ HLV - High-Low Volatility
 ✔️ HV - Historical Volatility
 *ICH - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)
 ✔️ JVOLTY - Jurik Volatility

quantower/Averages/_Averages.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Averages</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>
@@ -16,7 +13,6 @@
   <ItemGroup>
     <Compile Include="..\*.cs" />
     <Compile Include="*.cs" />
-
     <Compile Include="..\..\lib\**\*.cs" Exclude="..\..\lib\bin\**;..\..\lib\obj\**" />
     <Reference Include="TradingPlatform.BusinessLayer">
       <HintPath>..\..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
@@ -32,4 +28,4 @@
         DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Averages" />
   </Target>
 
-</Project>
+</Project>

quantower/Momentum/_Momentum.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Momentum</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>
@@ -30,4 +27,4 @@
     <Copy SourceFiles="$(OutputPath)\Momentum.dll" DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Momentum" />
   </Target>
 
-</Project>
+</Project>

quantower/Oscillators/_Oscillators.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Oscillators</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>
@@ -30,4 +27,4 @@
     <Copy SourceFiles="$(OutputPath)\Oscillators.dll" DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Oscillators" />
   </Target>
 
-</Project>
+</Project>

quantower/Statistics/_Statistics.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Statistics</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>

quantower/Volatility/_Volatility.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Volatility</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>
@@ -16,7 +13,6 @@
   <ItemGroup>
     <Compile Include="..\*.cs" />
     <Compile Include="*.cs" />
-
     <Compile Include="..\..\lib\**\*.cs" Exclude="..\..\lib\bin\**;..\..\lib\obj\**" />
     <Reference Include="TradingPlatform.BusinessLayer">
       <HintPath>..\..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
@@ -31,4 +27,4 @@
     <Copy SourceFiles="$(OutputPath)\Volatility.dll" DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Volatility" />
   </Target>
 
-</Project>
+</Project>

quantower/Volume/_Volume.csproj

@@ -2,13 +2,10 @@
   <PropertyGroup>
     <AssemblyName>Volume</AssemblyName>
     <AlgoType>Indicator</AlgoType>
-    <AssemblyVersion>0.0.0.0</AssemblyVersion>
     <OutputPath>bin\$(Configuration)\</OutputPath>
-    <IsLocalBuild Condition="'$(GITHUB_ACTIONS)' == ''">true</IsLocalBuild>
-    <UpdateAssemblyInfo>true</UpdateAssemblyInfo>
-    <GenerateGitVersionInformation>true</GenerateGitVersionInformation>
     <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
   </PropertyGroup>
+
   <ItemGroup>
     <PackageReference Include="System.Drawing.Common" Version="8.0.0" />
   </ItemGroup>
@@ -30,4 +27,4 @@
     <Copy SourceFiles="$(OutputPath)\Volume.dll" DestinationFolder="$(QuantowerRoot)\Settings\Scripts\Indicators\QuanTAlib\Volume" />
   </Target>
 
-</Project>
+</Project>