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xml doc rewrite

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Miha
2024-10-27 09:38:53 -07:00
parent c21b96152c
commit b2fcdda785
71 changed files with 2607 additions and 1102 deletions
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lib/volatility/Jvolty.cs
+56 -41
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@@ -1,9 +1,46 @@
/// <summary>
/// Represents a Jurik Volatility (Jvolty) calculator, a measure of market volatility based on Jurik Moving Average (JMA) concepts.
/// </summary>
using System;
namespace QuanTAlib;
/// <summary>
/// JVOLTY: Jurik Volatility
/// An advanced volatility measure developed by Mark Jurik that combines adaptive
/// bands with JMA smoothing. JVOLTY provides a sophisticated approach to measuring
/// market volatility with reduced noise and better responsiveness.
/// </summary>
/// <remarks>
/// The JVOLTY calculation process:
/// 1. Calculates adaptive price bands
/// 2. Measures volatility from band distances
/// 3. Applies volatility normalization
/// 4. Uses JMA-style smoothing
/// 5. Provides multiple outputs
///
/// Key characteristics:
/// - Adaptive measurement
/// - Noise reduction
/// - Multiple timeframe analysis
/// - Price band integration
/// - Volatility normalization
///
/// Formula:
/// volty = max(|price - upperBand|, |price - lowerBand|)
/// bands = adaptive calculation using Jurik's methods
/// final = JMA smoothing of normalized volatility
///
/// Market Applications:
/// - Dynamic position sizing
/// - Adaptive stop placement
/// - Volatility breakout systems
/// - Risk management
/// - Market regime detection
///
/// Sources:
/// Mark Jurik Research
/// https://www.jurikresearch.com/
///
/// Note: Proprietary enhancement of volatility measurement
/// </remarks>
public class Jvolty : AbstractBase
{
private readonly int _period;
@@ -18,7 +55,6 @@ public class Jvolty : AbstractBase
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
@@ -26,21 +62,15 @@ public class Jvolty : AbstractBase
public double Jma { get; set; }
public double AvgVolty { get; set; }
/// <summary>
/// Initializes a new instance of the Jvolty class with the specified parameters.
/// </summary>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <param name="vshort">The short-term volatility period.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="phase">Phase parameter for JMA smoothing (default 0).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Jvolty(int period, int phase = 0)
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
throw new ArgumentOutOfRangeException(nameof(period),
"Period must be greater than or equal to 1.");
}
_period = period;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
@@ -53,22 +83,15 @@ public class Jvolty : AbstractBase
Name = $"JVOLTY({period})";
}
/// <summary>
/// Initializes a new instance of the Jvolty class with the specified source and parameters.
/// </summary>
/// <param name="source">The source object to subscribe to for bar updates.</param>
/// <param name="period">The period over which to calculate the Jvolty.</param>
/// <param name="phase">The phase parameter for the JMA-style calculation.</param>
/// <param name="vshort">The short-term volatility period.</param>
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="phase">Phase parameter for JMA smoothing (default 0).</param>
public Jvolty(object source, int period, int phase = 0) : this(period, phase)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
}
/// <summary>
/// Initializes the Jvolty instance by setting up the initial state.
/// </summary>
public override void Init()
{
base.Init();
@@ -80,10 +103,6 @@ public class Jvolty : AbstractBase
_vsumBuff.Clear();
}
/// <summary>
/// Manages the state of the Jvolty instance based on whether a new bar is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new bar.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -109,12 +128,6 @@ public class Jvolty : AbstractBase
}
}
/// <summary>
/// Performs the Jvolty calculation for the current bar.
/// </summary>
/// <returns>
/// The calculated Jvolty value for the current bar.
/// </returns>
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -125,26 +138,29 @@ public class Jvolty : AbstractBase
_upperBand = _lowerBand = price;
}
// Calculate volatility from band distances
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
// Calculate moving averages of volatility
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
// Normalize and adjust volatility
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
// Update adaptive bands
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
// Apply JMA smoothing
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
_prevMa1 = ma1;
@@ -153,11 +169,12 @@ public class Jvolty : AbstractBase
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha) ) + (alpha * alpha * _prevDet1);
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha)) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
// Update public properties
UpperBand = _upperBand;
LowerBand = _lowerBand;
Volty = volty;
@@ -169,5 +186,3 @@ public class Jvolty : AbstractBase
return volty;
}
}