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 +1,68 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class PacfIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [InputParameter("Lag", sortIndex: 2, 1, 100, 1, 0)]
+    public int Lag { get; set; } = 1;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Pacf _pacf = null!;
+    private readonly LineSeries _series;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"PACF ({Period},{Lag})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/pacf/Pacf.Quantower.cs";
+
+    public PacfIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "PACF - Partial Autocorrelation Function";
+        Description = "Measures the correlation of a time series with a lagged copy after removing effects of shorter lags";
+
+        _series = new LineSeries(name: "PACF", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _pacf = new Pacf(Period, Lag);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar)
+        {
+            return;
+        }
+
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        TValue result = _pacf.Update(input, args.IsNewBar());
+
+        _series.SetValue(result.Value, _pacf.IsHot, ShowColdValues);
+    }
+}