more volatilty

2026-08-23 04:58:08 +00:00 · 2026-02-02 13:42:47 -08:00
parent dde19f2226
commit a03d7aa0ce
89 changed files with 21551 additions and 438 deletions
@@ -0,0 +1,55 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class RsvIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [InputParameter("Annualize", sortIndex: 2)]
+    public bool Annualize { get; set; } = true;
+
+    [InputParameter("Annual Periods", sortIndex: 3, 1, 365, 1, 0)]
+    public int AnnualPeriods { get; set; } = 252;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Rsv _rsv = null!;
+    private readonly LineSeries _series;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"RSV {Period}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/rsv/Rsv.Quantower.cs";
+
+    public RsvIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "RSV - Rogers-Satchell Volatility";
+        Description = "Rogers-Satchell Volatility is a drift-adjusted OHLC-based volatility estimator that uses all four price points (Open, High, Low, Close) to provide more accurate volatility estimates than range-based methods";
+
+        _series = new LineSeries(name: "RSV", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _rsv = new Rsv(Period, Annualize, AnnualPeriods);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        TBar bar = this.GetInputBar(args);
+        TValue result = _rsv.Update(bar, isNew: args.IsNewBar());
+        _series.SetValue(result.Value, _rsv.IsHot, ShowColdValues);
+    }
+}