Add Close-to-Close Volatility (CCV) implementation and validation tests

- Implemented CCV class for calculating annualized log return volatility using SMA, EMA, and WMA smoothing methods. - Added comprehensive unit tests for CCV to validate mathematical correctness, consistency across methods, and edge cases. - Created documentation for CCV detailing its mathematical foundation, smoothing methods, and performance metrics.
2026-08-16 09:38:05 +00:00 · 2026-01-31 17:25:39 -08:00
parent 5ed4b6c0fc
commit bcb52ef5ec
26 changed files with 6292 additions and 69 deletions
@@ -0,0 +1,63 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class BbwpIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [InputParameter("Multiplier", sortIndex: 2, 0.1, 10, 0.1, 1)]
+    public double Multiplier { get; set; } = 2.0;
+
+    [InputParameter("Lookback", sortIndex: 3, 1, 2000, 1, 0)]
+    public int Lookback { get; set; } = 252;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Bbwp _bbwp = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"BBWP {Period},{Multiplier:F1},{Lookback}:{_sourceName}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/bbwp/Bbwp.Quantower.cs";
+
+    public BbwpIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        _sourceName = Source.ToString();
+        Name = "BBWP - Bollinger Band Width Percentile";
+        Description = "Bollinger Band Width Percentile measures where the current bandwidth falls within its historical distribution as a percentile rank";
+
+        _series = new LineSeries(name: "BBWP", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _bbwp = new Bbwp(Period, Multiplier, Lookback);
+        _sourceName = Source.ToString();
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        TValue result = _bbwp.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew: args.IsNewBar());
+        _series.SetValue(result.Value, _bbwp.IsHot, ShowColdValues);
+    }
+}