new indicators

2026-08-24 05:28:05 +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>
+/// RSV: Rogers-Satchell Volatility
+/// A volatility measure that accounts for drift in the price process and
+/// is independent of the mean return level.
+/// </summary>
+/// <remarks>
+/// The RSV calculation process:
+/// 1. Calculate log differences between prices
+/// 2. Combine log differences in specific way
+/// 3. Average over specified period
+/// 4. Take square root for final volatility
+///
+/// Key characteristics:
+/// - Drift-independent
+/// - Uses all price data (HLOC)
+/// - More efficient estimator
+/// - Handles trending markets
+/// - Non-zero mean returns
+///
+/// Formula:
+/// RSV = sqrt(mean(ln(H/C) * ln(H/O) + ln(L/C) * ln(L/O)))
+/// where H=High, L=Low, O=Open, C=Close
+///
+/// Market Applications:
+/// - Volatility estimation
+/// - Risk measurement
+/// - Option pricing
+/// - Trading system development
+/// - Market regime identification
+///
+/// Note: More robust than simple volatility measures in trending markets
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Rsv : AbstractBase
+{
+    private readonly Sma _ma;
+    private const int DefaultPeriod = 10;
+    private double _prevValue;
+
+    /// <param name="period">The number of periods for RSV calculation (default 10).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Rsv(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _ma = new(period);
+        WarmupPeriod = period;
+        Name = $"RSV({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for RSV calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Rsv(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 ratios
+        double lnHC = Math.Log(BarInput.High / BarInput.Close);
+        double lnHO = Math.Log(BarInput.High / BarInput.Open);
+        double lnLC = Math.Log(BarInput.Low / BarInput.Close);
+        double lnLO = Math.Log(BarInput.Low / BarInput.Open);
+
+        // Calculate Rogers-Satchell term
+        double rs = lnHC * lnHO + lnLC * lnLO;
+
+        // Apply moving average and take square root
+        _prevValue = Math.Sqrt(_ma.Calc(rs, true));
+        return _prevValue;
+    }
+}