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

lib/volatility/Vov.cs

@@ -0,0 +1,131 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// VOV: Volatility of Volatility
+/// A technical indicator that measures the volatility of volatility itself,
+/// providing insight into the stability of market volatility.
+/// </summary>
+/// <remarks>
+/// The VOV calculation process:
+/// 1. Calculate primary volatility (e.g., using True Range)
+/// 2. Calculate standard deviation of primary volatility
+/// 3. Normalize result for comparison
+///
+/// Key characteristics:
+/// - Second-order volatility measure
+/// - Default period is 20 days
+/// - Always positive
+/// - No upper bound
+/// - Measures volatility stability
+///
+/// Formula:
+/// Primary Volatility = TR (True Range)
+/// VOV = StdDev(Primary Volatility, period) / Average(Primary Volatility, period)
+///
+/// Market Applications:
+/// - Risk of risk assessment
+/// - Volatility regime changes
+/// - Market stability analysis
+/// - Trading strategy adaptation
+/// - Risk management
+///
+/// Note: Higher values indicate more unstable volatility conditions
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Vov : AbstractBase
+{
+    private readonly int _period;
+    private readonly CircularBuffer _volatilities;
+    private double _prevClose;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vov(int period = 20)
+    {
+        _period = period;
+        WarmupPeriod = period + 1;  // Need extra period for TR calculation
+        Name = $"VOV({_period})";
+        _volatilities = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Vov(object source, int period = 20) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _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 True Range as primary volatility measure
+        double tr = Math.Max(BarInput.High - BarInput.Low,
+                   Math.Max(Math.Abs(BarInput.High - _prevClose),
+                          Math.Abs(BarInput.Low - _prevClose)));
+
+        // Store current close for next calculation
+        _prevClose = BarInput.Close;
+
+        // Add volatility to buffer
+        _volatilities.Add(tr);
+
+        // Need enough volatilities for VOV calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate mean volatility
+        double meanVol = _volatilities.Average();
+
+        // Calculate VOV (normalized standard deviation)
+        double vov = meanVol > double.Epsilon ? Math.Sqrt(CalculateVariance(_volatilities)) / meanVol : 0;
+
+        IsHot = _index >= WarmupPeriod;
+        return vov;
+    }
+}