Bband, Ccv, Ce, Cv, Cvi, Ewma, Fcb, Gkv, Hlv

2026-08-25 22:08:05 +00:00 · 2024-11-03 15:52:25 -08:00
parent 94928714bf
commit 7b41d84c66
22 changed files with 1595 additions and 129 deletions
@@ -0,0 +1,130 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CCV: Close-to-Close Volatility
+/// A measure of price volatility that uses only closing prices,
+/// calculated as the standard deviation of logarithmic returns.
+/// </summary>
+/// <remarks>
+/// The CCV calculation process:
+/// 1. Calculate logarithmic returns: ln(Close[t]/Close[t-1])
+/// 2. Calculate standard deviation of returns over the period
+/// 3. Annualize by multiplying by sqrt(trading days per year)
+///
+/// Key characteristics:
+/// - Uses only closing prices
+/// - Based on logarithmic returns
+/// - Default period is 20 days
+/// - Annualized by default (multiply by sqrt(252))
+/// - Expressed as a percentage
+///
+/// Formula:
+/// Returns = ln(Close[t]/Close[t-1])
+/// CCV = StdDev(Returns, period) * sqrt(252) * 100
+///
+/// Market Applications:
+/// - Volatility measurement
+/// - Risk assessment
+/// - Option pricing
+/// - Trading strategy development
+/// - Portfolio management
+///
+/// Sources:
+///     Close-to-Close Volatility concept
+///     https://www.investopedia.com/terms/v/volatility.asp
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ccv : AbstractBase
+{
+    private readonly int _period;
+    private readonly bool _annualize;
+    private readonly CircularBuffer _returns;
+    private double _prevClose;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ccv(int period = 20, bool annualize = true)
+    {
+        _period = period;
+        _annualize = annualize;
+        WarmupPeriod = period + 1;  // Need one extra period for returns calculation
+        Name = $"CCV({_period})";
+        _returns = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ccv(object source, int period = 20, bool annualize = true) : this(period, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _returns.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [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 logarithmic return
+        double logReturn = Math.Log(BarInput.Close / _prevClose);
+        _returns.Add(logReturn);
+        _prevClose = BarInput.Close;
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate standard deviation
+        double mean = _returns.Average();
+        double sumSquaredDeviations = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            double deviation = _returns[i] - mean;
+            sumSquaredDeviations += deviation * deviation;
+        }
+        double stdDev = Math.Sqrt(sumSquaredDeviations / _period);
+
+        // Annualize if requested (sqrt(252) for trading days in a year)
+        if (_annualize)
+        {
+            stdDev *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        double volatility = stdDev * 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}