RVI

2026-08-23 21:18:04 +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 +1,76 @@
+namespace QuanTAlib;
+public class Realized : AbstractBase
+{
+    private readonly int Period;
+    private readonly bool IsAnnualized;
+    private readonly CircularBuffer _returns;
+    private double _previousClose;
+    private double _sumSquaredReturns;
+
+    public Realized(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
+        _returns = new CircularBuffer(period);
+        Name = $"Realized(period={period}, annualized={isAnnualized})";
+        Init();
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _returns.Clear();
+        _previousClose = 0;
+        _sumSquaredReturns = 0;
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        double volatility = 0;
+        if (_previousClose != 0)
+        {
+            double logReturn = Math.Log(Input.Value / _previousClose);
+
+            if (_returns.Count == Period)
+            {
+                // Remove the oldest squared return from the sum
+                _sumSquaredReturns -= Math.Pow(_returns[0], 2);
+            }
+
+            _returns.Add(logReturn, Input.IsNew);
+            _sumSquaredReturns += Math.Pow(logReturn, 2);
+
+            if (_returns.Count == Period)
+            {
+                double variance = _sumSquaredReturns / Period;
+                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;
+    }
+}