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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.
This commit is contained in:
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/volume/vwma/Vwma.cs
+11 -11
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@@ -318,19 +318,19 @@ public sealed class Vwma : ITValuePublisher
/// <summary>
/// Zero-allocation span-based calculation.
/// </summary>
/// <param name="price">Price values</param>
/// <param name="source">Source values</param>
/// <param name="volume">Volume values</param>
/// <param name="output">Output span for VWMA values</param>
/// <param name="period">Lookback period for VWMA</param>
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
public static void Calculate(ReadOnlySpan<double> price, ReadOnlySpan<double> volume, Span<double> output, int period = 20)
public static void Calculate(ReadOnlySpan<double> source, ReadOnlySpan<double> volume, Span<double> output, int period = 20)
{
if (price.Length != volume.Length)
if (source.Length != volume.Length)
{
throw new ArgumentException("Price and Volume spans must be of the same length", nameof(volume));
throw new ArgumentException("Source and Volume spans must be of the same length", nameof(volume));
}
if (price.Length != output.Length)
if (source.Length != output.Length)
{
throw new ArgumentException("Output span must be of the same length as input", nameof(output));
}
@@ -340,7 +340,7 @@ public sealed class Vwma : ITValuePublisher
throw new ArgumentException("Period must be >= 1", nameof(period));
}
int len = price.Length;
int len = source.Length;
if (len == 0)
{
return;
@@ -380,9 +380,9 @@ public sealed class Vwma : ITValuePublisher
// Find first valid values
for (int k = 0; k < len; k++)
{
if (double.IsFinite(price[k]))
if (double.IsFinite(source[k]))
{
lastValidPrice = price[k];
lastValidPrice = source[k];
break;
}
}
@@ -400,12 +400,12 @@ public sealed class Vwma : ITValuePublisher
for (int i = 0; i < len; i++)
{
// Get valid values with NaN substitution
double currentPrice = double.IsFinite(price[i]) ? price[i] : lastValidPrice;
double currentPrice = double.IsFinite(source[i]) ? source[i] : lastValidPrice;
double currentVol = double.IsFinite(volume[i]) ? volume[i] : lastValidVolume;
if (double.IsFinite(price[i]))
if (double.IsFinite(source[i]))
{
lastValidPrice = price[i];
lastValidPrice = source[i];
}
if (double.IsFinite(volume[i]))
{