RVI

2026-08-22 04:28:04 +00:00 · 2024-10-04 21:31:25 -07:00
parent 99a3785d72
commit 30d93e724d
10 changed files with 413 additions and 1 deletions
@@ -0,0 +1,85 @@
+namespace QuanTAlib;
+
+public class Historical : AbstractBase
+{
+    private readonly int Period;
+    private readonly bool IsAnnualized;
+    private readonly CircularBuffer _buffer;
+    private readonly CircularBuffer _logReturns;
+    private double _previousClose;
+
+    public Historical(int period, bool isAnnualized = true) : base()
+    {
+        if (period < 2)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
+        }
+        Period = period;
+        IsAnnualized = isAnnualized;
+        WarmupPeriod = period + 1;  // We need one extra data point to calculate the first return
+        _buffer = new CircularBuffer(period + 1);
+        _logReturns = new CircularBuffer(period);
+        Name = $"Historical(period={period}, annualized={isAnnualized})";
+        Init();
+    }
+
+    public Historical(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _buffer.Clear();
+        _logReturns.Clear();
+        _previousClose = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        _buffer.Add(Input.Value, Input.IsNew);
+
+        double volatility = 0;
+        if (_buffer.Count > 1)
+        {
+            if (_previousClose != 0)
+            {
+                double logReturn = Math.Log(Input.Value / _previousClose);
+                _logReturns.Add(logReturn, Input.IsNew);
+            }
+
+            if (_logReturns.Count == Period)
+            {
+                var returns = _logReturns.GetSpan().ToArray();
+                double mean = returns.Average();
+                double sumOfSquaredDifferences = returns.Sum(x => Math.Pow(x - mean, 2));
+
+                double variance = sumOfSquaredDifferences / (Period - 1);  // Using sample standard deviation
+                volatility = Math.Sqrt(variance);
+
+                if (IsAnnualized)
+                {
+                    // Assuming 252 trading days in a year. Adjust as needed.
+                    volatility *= Math.Sqrt(252);
+                }
+            }
+        }
+
+        _previousClose = Input.Value;
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}