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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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lib/_index.md
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@@ -325,8 +325,8 @@
| VROC | Volume Rate of Change | Volume |
| VWAD | Volume Weighted A/D | Volume |
| VWAP | Volume Weighted Average Price | Volume |
| VWAPBANDS | VWAP Bands | Channels |
| VWAPSD | VWAP Standard Deviation Bands | Channels |
| [VWAPBANDS](lib/channels/vwapbands/Vwapbands.md) | VWAP Bands | Channels |
| [VWAPSD](lib/channels/vwapsd/Vwapsd.md) | VWAP Standard Deviation Bands | Channels |
| VWMA | Volume Weighted MA | Volume |
| WAD | Williams A/D | Volume |
| WAVG | Weighted Average | Statistics |