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
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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// YZV: Yang-Zhang Volatility
+/// A volatility estimator that combines overnight and trading volatilities,
+/// providing a more complete picture of price variation while being drift-independent.
+/// </summary>
+/// <remarks>
+/// The YZV calculation process:
+/// 1. Calculate overnight (close-to-open) volatility
+/// 2. Calculate open-to-close volatility
+/// 3. Calculate Rogers-Satchell volatility
+/// 4. Combine components with optimal weights
+///
+/// Key characteristics:
+/// - Drift independence
+/// - Minimum variance
+/// - Handles overnight gaps
+/// - Uses all HLOC prices
+/// - Optimal weighting
+///
+/// Formula:
+/// YZV = sqrt(Vo + k*Vc + (1-k)*Vrs)
+/// where:
+/// Vo = overnight volatility
+/// Vc = open-to-close volatility
+/// Vrs = Rogers-Satchell volatility
+/// k ≈ 0.34 (optimal weight)
+///
+/// Market Applications:
+/// - Option pricing
+/// - Risk measurement
+/// - Trading systems
+/// - Portfolio management
+/// - Market analysis
+///
+/// Note: Most efficient unbiased estimator among drift-independent estimators
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Yzv : AbstractBase
+{
+    private readonly Sma _maCo; // Close-to-Open
+    private readonly Sma _maOc; // Open-to-Close
+    private readonly Sma _maRs; // Rogers-Satchell
+    private double _prevClose;
+    private double _prevValue;
+    private const double K = 0.34; // Optimal weight
+    private const int DefaultPeriod = 20;
+
+    /// <param name="period">The number of periods for volatility calculation (default 20).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Yzv(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _maCo = new(period);
+        _maOc = new(period);
+        _maRs = new(period);
+        WarmupPeriod = period;
+        Name = $"YZV({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods for volatility calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Yzv(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)
+        {
+            _prevClose = BarInput.Close;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        if (!BarInput.IsNew)
+            return _prevValue;
+
+        ManageState(true);
+
+        // Calculate overnight volatility (close-to-open)
+        double co = Math.Log(BarInput.Open / _prevClose);
+        double vo = _maCo.Calc(co * co, true);
+
+        // Calculate open-to-close volatility
+        double oc = Math.Log(BarInput.Close / BarInput.Open);
+        double vc = _maOc.Calc(oc * oc, true);
+
+        // Calculate Rogers-Satchell volatility component
+        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);
+        double rs = lnHC * lnHO + lnLC * lnLO;
+        double vrs = _maRs.Calc(rs, true);
+
+        // Combine components with optimal weights
+        _prevValue = Math.Sqrt(vo + K * vc + (1.0 - K) * vrs);
+        return _prevValue;
+    }
+}