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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/statistics/_index.md
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@@ -6,6 +6,7 @@ Statistical tools applied to price and returns. These indicators quantify relati
| Indicator | Full Name | Description |
| :--- | :--- | :--- |
| [ACF](/lib/statistics/acf/Acf.md) | Autocorrelation Function | Correlation of time series with lagged copy. For ARMA model identification. |
| [BETA](/lib/statistics/beta/Beta.md) | Beta Coefficient | Asset volatility relative to market. β=1 means market-matched risk. |
| [BIAS](/lib/statistics/bias/Bias.md) | Bias | Percentage deviation from moving average. Measures overextension. |
| [CMA](/lib/statistics/cma/Cma.md) | Cumulative Moving Average | Running average of all values. Welford's algorithm. No window. |
@@ -25,6 +26,7 @@ Statistical tools applied to price and returns. These indicators quantify relati
| [LINREG](/lib/statistics/linreg/LinReg.md) | Linear Regression | Least squares fit. Outputs slope, intercept, R². |
| [MEDIAN](/lib/statistics/median/Median.md) | Median | Middle value in sorted window. Robust to outliers. |
| [MODE](/lib/statistics/mode/Mode.md) | Mode | Most frequent value. Use for categorical or discrete data. |
| [PACF](/lib/statistics/pacf/Pacf.md) | Partial Autocorrelation Function | Direct correlation at lag k after removing intermediate effects. For AR model identification. |
| [PERCENTILE](/lib/statistics/percentile/Percentile.md) | Percentile | Value below which given percentage of observations fall. |
| [QUANTILE](/lib/statistics/quantile/Quantile.md) | Quantile | Divides distribution into equal probability intervals. |
| [SKEW](/lib/statistics/skew/Skew.md) | Skewness | Distribution asymmetry. Positive: right tail. Negative: left tail. |