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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/ssfdsp/ssfdsp.md
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@@ -20,7 +20,7 @@ The indicator calculates the difference between a quarter-cycle SSF and a half-c
| Parameter | Default | Function | When to Adjust |
| ------ | ------ | ------ | ------ |
| Source | hlc3 | Price data used for calculation | hlc3 provides balanced price representation; close for directional bias |
| Source | source | Data source for calculation | hlc3 provides balanced price representation; close for directional bias |
| Period | 40 | Dominant cycle period in bars | Match to your identified dominant cycle (typically 20-50 bars for daily charts) |
**Pro Tip:** SSF-DSP provides cleaner signals than EMA-based DSP with ~1.5-2x more smoothing. If you use period=40 for regular DSP, try period=30-35 for SSF-DSP to achieve similar responsiveness with better noise rejection.