feat: Dpo, Tsi, Vortex, Bpp, Cci, Cfo, Tr, Ui, Vc, Vov, Vr, Vs, Mfi, Nvi, Obv, Pvi, Pvo, Pvol, Pvr, Pvt, Tvi

lib/volatility/Vc.cs

@@ -0,0 +1,164 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VC: Volatility Cone
+/// A technical indicator that analyzes volatility across different time periods
+/// to identify normal ranges and extreme values.
+/// </summary>
+/// <remarks>
+/// The VC calculation process:
+/// 1. Calculate volatility for the specified period
+/// 2. Track mean and standard deviation of volatility
+/// 3. Calculate upper and lower bounds:
+///    Upper = Mean + (deviations * StdDev)
+///    Lower = Mean - (deviations * StdDev)
+///
+/// Key characteristics:
+/// - Multi-period volatility analysis
+/// - Statistical approach
+/// - Default period is 20 days
+/// - Returns mean and bounds
+/// - Adaptive to market conditions
+///
+/// Formula:
+/// Volatility = StdDev(Returns) * sqrt(252)  // Annualized
+/// Upper = Mean(Volatility) + (deviations * StdDev(Volatility))
+/// Lower = Mean(Volatility) - (deviations * StdDev(Volatility))
+///
+/// Market Applications:
+/// - Options trading
+/// - Risk assessment
+/// - Volatility forecasting
+/// - Trading strategy development
+/// - Market regime analysis
+///
+/// Sources:
+///     https://www.investopedia.com/terms/v/volatility-cone.asp
+///
+/// Note: Returns three values: mean volatility and its upper/lower bounds
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vc : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _deviations;
+    private readonly CircularBuffer _returns;
+    private readonly CircularBuffer _volatilities;
+    private double _prevClose;
+    private double _upperBound;
+    private double _lowerBound;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vc(int period = 20, double deviations = 2.0)
+    {
+        _period = period;
+        _deviations = deviations;
+        WarmupPeriod = period * 2;  // Need enough data for stable statistics
+        Name = $"VC({_period},{_deviations})";
+        _returns = new CircularBuffer(period);
+        _volatilities = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vc(object source, int period = 20, double deviations = 2.0) : this(period, deviations)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _upperBound = 0;
+        _lowerBound = 0;
+        _returns.Clear();
+        _volatilities.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private double CalculateVariance(CircularBuffer buffer)
+    {
+        if (buffer.Count == 0) return 0;
+        double mean = buffer.Average();
+        double sumSquaredDiff = 0;
+        for (int i = 0; i < buffer.Count; i++)
+        {
+            double diff = buffer[i] - mean;
+            sumSquaredDiff += diff * diff;
+        }
+        return sumSquaredDiff / buffer.Count;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate return
+        double ret = Math.Abs(_prevClose) > double.Epsilon ? Math.Log(BarInput.Close / _prevClose) : 0;
+        _returns.Add(ret);
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        // Need enough returns for volatility calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate current volatility (annualized)
+        double vol = Math.Sqrt(CalculateVariance(_returns)) * Math.Sqrt(252);
+        _volatilities.Add(vol);
+
+        // Need enough volatilities for cone calculation
+        if (_index <= WarmupPeriod)
+        {
+            return vol;
+        }
+
+        // Calculate mean and standard deviation of volatilities
+        double meanVol = _volatilities.Average();
+        double stdVol = Math.Sqrt(CalculateVariance(_volatilities));
+
+        // Calculate bounds
+        _upperBound = meanVol + (_deviations * stdVol);
+        _lowerBound = Math.Max(0, meanVol - (_deviations * stdVol));
+
+        IsHot = _index >= WarmupPeriod;
+        return meanVol;
+    }
+
+    /// <summary>
+    /// Gets the upper bound of the volatility cone
+    /// </summary>
+    public double UpperBound => _upperBound;
+
+    /// <summary>
+    /// Gets the lower bound of the volatility cone
+    /// </summary>
+    public double LowerBound => _lowerBound;
+}