new indicators

2026-08-20 03:28:05 +00:00 · 2024-11-03 18:16:42 -08:00
parent 4f2772f130
commit 5d086a1473
23 changed files with 2100 additions and 201 deletions
@@ -0,0 +1,93 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// PV: Parkinson Volatility
+/// A volatility measure that uses the high and low prices to estimate
+/// volatility, assuming continuous trading and log-normal price distribution.
+/// </summary>
+/// <remarks>
+/// The PV calculation process:
+/// 1. Calculate squared log range for each period
+/// 2. Apply scaling factor (1/4ln2)
+/// 3. Average over specified period
+/// 4. Take square root for final volatility
+///
+/// Key characteristics:
+/// - Range-based volatility
+/// - More efficient than close-to-close
+/// - Assumes continuous trading
+/// - No gap consideration
+/// - Log-normal distribution
+///
+/// Formula:
+/// PV = sqrt(1/(4*ln(2)*n) * Σ(ln(High/Low))²)
+/// where n is the number of periods
+///
+/// Market Applications:
+/// - Volatility estimation
+/// - Risk assessment
+/// - Option pricing
+/// - Trading system development
+/// - Market regime identification
+///
+/// Note: More efficient than traditional volatility measures but sensitive to gaps
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Pv : AbstractBase
+{
+    private readonly Sma _ma;
+    private readonly double _scaleFactor;
+    private const int DefaultPeriod = 10;
+    private double _prevValue;
+
+    /// <param name="period">The number of periods for PV calculation (default 10).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pv(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ma = new(period);
+        _scaleFactor = 1.0 / (4.0 * Math.Log(2.0));
+        WarmupPeriod = period;
+        Name = $"PV({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for PV calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Pv(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        if (!BarInput.IsNew)
+            return _prevValue;
+
+        ManageState(true);
+
+        // Calculate log range squared
+        double logRange = Math.Log(BarInput.High / BarInput.Low);
+        double logRangeSquared = logRange * logRange;
+
+        // Apply moving average and scaling
+        double meanLogRangeSquared = _ma.Calc(logRangeSquared, true);
+
+        // Calculate final volatility
+        _prevValue = Math.Sqrt(_scaleFactor * meanLogRangeSquared);
+        return _prevValue;
+    }
+}