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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/cycles/ebsw/ebsw.md
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@@ -16,7 +16,7 @@ The Ehlers Even Better Sinewave (EBSW) indicator, developed by John Ehlers, is a
| Parameter | Default | Function | When to Adjust |
| --------- | ------- | -------- | -------------- |
| Source | close | Price data used for calculation. | Typically `close`, but `hlc3` or `ohlc4` can be used for a more comprehensive price representation. |
| Source | source | Data source for calculation. | Typically `close`, but `hlc3` or `ohlc4` can be used for a more comprehensive price representation. |
| HP Length | 40 | Lookback period for the 1-pole High-Pass Filter used for detrending. | Shorter periods make the filter more responsive to shorter cycles; longer periods focus on longer-term cycles. Adjust based on observed cycle characteristics. |
| SSF Length | 10 | Lookback period for the Super Smoother Filter used for smoothing the detrended cycle component. | Shorter periods result in a more responsive (but potentially noisier) wave; longer periods provide more smoothing. |