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Add Yang-Zhang Volatility (YZV) Indicator Implementation

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- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components.
- Implemented calculation methods, including batch processing for TBarSeries and spans.
- Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications.
- Updated volume index documentation to reflect changes in file paths.
- Refactored VWMA calculation method to use a more generic source parameter instead of price.
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Miha Kralj
2026-02-02 19:47:21 -08:00
parent a03d7aa0ce
commit c034cbd5e5
78 changed files with 16662 additions and 366 deletions
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lib/channels/vwapsd/vwapsd.md
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@@ -24,7 +24,7 @@ VWAPSD is primarily used as an intraday indicator, resetting at the beginning of
| Parameter | Default | Function | When to Adjust |
| ------ | ------ | ------ | ------ |
| Source | hlc3 | Price data to use for VWAP calculation | Use 'close' for closing prices only, 'hlc3' for typical price (most common), 'ohlc4' for full bar average |
| Source | source | Data source for VWAP calculation | Use 'close' for closing prices only, 'hlc3' for typical price (most common), 'ohlc4' for full bar average |
| Session Reset | 1D | Determines when VWAP resets | Use '1D' for daily intraday trading, '1W' for weekly swing trading, '1H' for hourly scalping, 'Never' for cumulative since chart start |
| Standard Deviations | 2.0 | Number of standard deviations for upper and lower bands | Use 1.0 for tighter bands (more signals), 2.0 for standard volatility context (95% confidence), 3.0 for extreme moves only (99.7% confidence) |