Add Yang-Zhang Volatility (YZV) Indicator Implementation

- 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.
2026-08-21 20:18:05 +00:00 · 2026-02-02 19:47:21 -08:00
parent a03d7aa0ce
commit c034cbd5e5
78 changed files with 16662 additions and 366 deletions
@@ -0,0 +1,81 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// Quantower adapter for Cointegration indicator.
+/// Measures the statistical equilibrium relationship between two price series
+/// using the Engle-Granger two-step method with ADF test.
+/// </summary>
+/// <remarks>
+/// This adapter compares two different price sources from the same symbol (e.g., Close vs Open,
+/// Close vs Volume, High vs Low). For cross-symbol cointegration analysis, use the core
+/// Cointegration class directly with data from multiple symbols.
+///
+/// The output is the ADF test statistic. More negative values indicate stronger cointegration.
+/// Critical values: -3.43 (1%), -2.86 (5%), -2.57 (10%)
+/// </remarks>
+[SkipLocalsInit]
+public sealed class CointegrationIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 0, minimum: 2, maximum: 10000)]
+    public int Period { get; set; } = 20;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Source 2 Type", sortIndex: 2)]
+    public SourceType Source2 { get; set; } = SourceType.Open;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Cointegration _cointegration = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+    private Func<IHistoryItem, double> _priceSelector2 = null!;
+
+    public static int MinHistoryDepths => 2;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"COINT({Period}):{_sourceName}/{Source2}";
+
+    public CointegrationIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "COINT - Cointegration (Engle-Granger)";
+        Description = "Measures statistical equilibrium between two price sources using ADF test. More negative = stronger cointegration.";
+        _series = new LineSeries(name: "ADF", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _priceSelector2 = Source2.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _cointegration = new Cointegration(Period);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+
+        // Get both price sources from the same bar
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        double valueA = _priceSelector(item);
+        double valueB = _priceSelector2(item);
+
+        var tvalA = new TValue(item.TimeLeft.Ticks, valueA);
+        var tvalB = new TValue(item.TimeLeft.Ticks, valueB);
+
+        double value = _cointegration.Update(tvalA, tvalB, isNew).Value;
+        _series.SetValue(value, _cointegration.IsHot, ShowColdValues);
+    }
+}