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macos dev update

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Miha
2024-10-26 23:54:55 -07:00
parent e4f718a365
commit c21b96152c
28 changed files with 458 additions and 345 deletions
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lib/volatility/Historical.cs → lib/volatility/Hv.cs
+3 -3
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@@ -9,7 +9,7 @@ namespace QuanTAlib;
/// both annualized and non-annualized volatility measures. The calculation uses a sample
/// standard deviation formula and assumes 252 trading days in a year for annualization.
/// </remarks>
public class Historical : AbstractBase
public class Hv : AbstractBase
{
private readonly int Period;
private readonly bool IsAnnualized;
@@ -25,7 +25,7 @@ public class Historical : AbstractBase
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 2.
/// </exception>
public Historical(int period, bool isAnnualized = true)
public Hv(int period, bool isAnnualized = true)
{
if (period < 2)
{
@@ -46,7 +46,7 @@ public class Historical : AbstractBase
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate historical volatility.</param>
/// <param name="isAnnualized">Whether to annualize the volatility (default is true).</param>
public Historical(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
public Hv(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
lib/volatility/Rsi.cs
-62
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@@ -1,62 +0,0 @@
using System;
namespace QuanTAlib;
/// <summary>
/// Represents a Relative Strength Index (RSI) calculator following Wilder's algorithm.
/// </summary>
public class Rsi : AbstractBase
{
private readonly Rma _avgGain;
private readonly Rma _avgLoss;
private double _prevValue, _p_prevValue;
public Rsi(int period = 14)
{
if (period < 1)
throw new ArgumentOutOfRangeException(nameof(period));
_avgGain = new(period, useSma: true);
_avgLoss = new(period, useSma: true);
_index = 0;
WarmupPeriod = period + 1;
Name = $"RSI({period})";
}
protected override void ManageState(bool isNew)
{
if (isNew)
{
_index++;
_p_prevValue = _prevValue;
}
else
{
_prevValue = _p_prevValue;
}
}
protected override double Calculation()
{
ManageState(Input.IsNew);
if (_index == 1)
{
_prevValue = Input.Value;
}
double change = Input.Value - _prevValue;
double gain = Math.Max(change, 0);
double loss = Math.Max(-change, 0);
_prevValue = Input.Value;
_avgGain.Calc(gain, IsNew: Input.IsNew);
_avgLoss.Calc(loss, IsNew: Input.IsNew);
double rsi = (_avgLoss.Value > 0) ? 100 - (100 / (1 + (_avgGain.Value / _avgLoss.Value))) : 100;
return rsi;
}
}
lib/volatility/Rsx.cs
-64
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@@ -1,64 +0,0 @@
using System;
namespace QuanTAlib;
/// <summary>
/// Jurik's superior replacement for RSI
/// </summary>
public class Rsx : AbstractBase
{
private readonly Rma _avgGain;
private readonly Rma _avgLoss;
private readonly Jma _rsx;
private double _prevValue, _p_prevValue;
public Rsx(int period = 14, int phase = 0, double factor = 0.55)
{
if (period < 1)
throw new ArgumentOutOfRangeException(nameof(period));
_avgGain = new(period);
_avgLoss = new(period);
_rsx = new(8, 100, 0.25, 3);
_index = 0;
WarmupPeriod = period + 1;
Name = $"RSX({period})";
}
protected override void ManageState(bool isNew)
{
if (isNew)
{
_index++;
_p_prevValue = _prevValue;
}
else
{
_prevValue = _p_prevValue;
}
}
protected override double Calculation()
{
ManageState(Input.IsNew);
if (_index == 1)
{
_prevValue = Input.Value;
}
double change = Input.Value - _prevValue;
double gain = Math.Max(change, 0);
double loss = Math.Max(-change, 0);
_prevValue = Input.Value;
_avgGain.Calc(gain, IsNew: Input.IsNew);
_avgLoss.Calc(loss, IsNew: Input.IsNew);
double rsi = (_avgLoss.Value > 0) ? 100 - (100 / (1 + (_avgGain.Value / _avgLoss.Value))) : 100;
double rsx = _rsx.Calc(rsi, Input.IsNew);
return rsx;
}
}
lib/volatility/Realized.cs → lib/volatility/Rv.cs
+15 -3
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@@ -9,7 +9,7 @@ namespace QuanTAlib;
/// both annualized and non-annualized volatility measures. The calculation uses a rolling
/// sum of squared returns for efficiency and assumes 252 trading days in a year for annualization.
/// </remarks>
public class Realized : AbstractBase
public class Rv : AbstractBase
{
private readonly int Period;
private readonly bool IsAnnualized;
@@ -25,7 +25,7 @@ public class Realized : AbstractBase
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 2.
/// </exception>
public Realized(int period, bool isAnnualized = true)
public Rv(int period, bool isAnnualized = true)
{
if (period < 2)
{
@@ -39,6 +39,18 @@ public class Realized : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Realized class with a data source.
/// </summary>
/// <param name="source">The source object that publishes data.</param>
/// <param name="period">The period over which to calculate realized volatility.</param>
/// <param name="isAnnualized">Whether to annualize the volatility (default is true).</param>
public Rv(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Realized instance by clearing buffers and resetting calculation variables.
/// </summary>
@@ -113,4 +125,4 @@ public class Realized : AbstractBase
IsHot = _index >= WarmupPeriod;
return volatility;
}
}
}
lib/volatility/_list.md
+34
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@@ -0,0 +1,34 @@
ADR - Average Daily Range
AP - Andrew's Pitchfork
✔️ ATR - Average True Range
ATRP - Average True Range Percent
ATRS - ATR Trailing Stop
BB - Bollinger Bands®
CCV - Close-to-Close Volatility
CE - Chandelier Exit
CV - Conditional Volatility (ARCH/GARCH)
CVI - Chaikin's Volatility
DC - Donchian Channels
FCB - Fractal Chaos Bands
GKV - Garman-Klass Volatility
HLV - High-Low Volatility
✔️ HV - Historical Volatility
ICH - Ichimoku Cloud
✔️ JVOLTY - Jurik Volatility
KC - Keltner Channels
NATR - Normalized Average True Range
PCH - Price Channel Indicator
PSAR - Parabolic Stop and Reverse
PV - Parkinson Volatility
RSV - Rogers-Satchell Volatility
✔️ RV - Realized Volatility
RVI - Relative Volatility Index
STARC - Starc Bands
SV - Stochastic Volatility
TR - True Range
UI - Ulcer Index
VC - Volatility Cone
VOV - Volatility of Volatility
VR - Volatility Ratio
VS - Volatility Stop
YZV - Yang-Zhang Volatility