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Add VWAPSD (Volume Weighted Average Price with Standard Deviation Bands) implementation and validation tests

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- Implemented Vwapsd class for calculating VWAP with configurable standard deviation bands.
- Added methods for updating the indicator with new bars and calculating VWAPSD using both bar series and span arrays.
- Created comprehensive validation tests for VWAPSD, including checks for consistency between streaming and batch modes, mathematical correctness, and handling of edge cases such as NaN values and zero volume bars.
- Ensured that the implementation adheres to performance standards with tests for large datasets and fractional numDevs values.
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Miha Kralj
2026-01-24 19:07:52 -08:00
parent fd6c80e8db
commit 744d680435
32 changed files with 9090 additions and 538 deletions
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docs/validation.md
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@@ -253,7 +253,7 @@ No external reference exists. Implementation verified through unit tests, edge c
| **Stochastic Oscillator** | Stoch | ✔️ | ✔️ | ✔️ | ❔ |
| **Stochastic RSI** | Stochrsi | ✔️ | ✔️ | ✔️ | ❔ |
| **Stoller Average Range Channel** | [Starchannel](../lib/channels/starchannel/starchannel.md) | - | - | - | ❔ |
| **Super Trend Bands** | Stbands | - | - | - | - |
| **Super Trend Bands** | [Stbands](../lib/channels/stbands/Stbands.md) | - | - | - | - |
| **SuperTrend** | [Super](../lib/trends/super/super.md) | - | - | ✔️ | ❔ |
| **Swing High/Low Detection** | Swings | - | - | - | - |
| **Symmetric Mean Absolute Percentage Error** | Smape | - | - | - | - |
@@ -270,8 +270,8 @@ No external reference exists. Implementation verified through unit tests, edge c
| **TTM Trend** | Ttm | - | - | - | - |
| **Two-Argument Arctangent** | Atan2 | - | - | - | - |
| **Ulcer Index** | Ui | - | - | ✔️ | ❔ |
| **Ultimate Bands** | Ubands | - | - | - | ❔ |
| **Ultimate Channel** | Uchannel | - | - | - | - |
| **Ultimate Bands (Ehlers)** | [Ubands](../lib/channels/ubands/Ubands.md) | - | - | - | - |
| **Ultimate Channel** | [Uchannel](../lib/channels/uchannel/Uchannel.md) | - | - | - | - |
| **Ultimate Oscillator** | [Ultosc](../lib/momentum/ultosc/Ultosc.md) | ✔️ | ✔️ | ✔️ | ✔️ |
| **Variable Index Dynamic Average** | [Vidya](../lib/trends/vidya/vidya.md) | - | ✔️ | - | ❔ |
| **Velocity (Jurik)** | [Vel](../lib/momentum/vel/vel.md) | - | - | - | - |
@@ -286,8 +286,8 @@ No external reference exists. Implementation verified through unit tests, edge c
| **Volume Weighted Average Price** | Vwap | - | - | ✔️ | ❔ |
| **Volume Weighted Moving Average** | Vwma | - | ✔️ | ✔️ | ❔ |
| **Vortex Indicator** | Vortex | - | - | ✔️ | ❔ |
| **VWAP Bands** | Vwapbands | - | - | - | - |
| **VWAP with Standard Deviation Bands** | Vwapsd | - | - | - | - |
| **VWAP Bands** | [Vwapbands](../lib/channels/vwapbands/Vwapbands.md) | - | - | - | - |
| **VWAP with Standard Deviation Bands** | [Vwapsd](../lib/channels/vwapsd/Vwapsd.md) | - | - | - | - |
| **Weighted Moving Average** | [Wma](../lib/trends/wma/wma.md) | ✔️ | ✔️ | ✔️ | ✔️ |
| **Wiener Filter** | Wiener | - | - | - | - |
| **Williams %R** | Willr | ✔️ | ✔️ | ✔️ | ❔ |