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Miha Kralj
2024-10-08 18:49:28 -07:00
parent e3f4459034
commit c2c3bdda15
2 changed files with 42 additions and 31 deletions
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Tests/test_eventing.cs
+11
View File
@@ -54,7 +54,11 @@ public class EventingTests
for (int i = 0; i < 200; i++) for (int i = 0; i < 200; i++)
{ {
double randomValue = GetRandomDouble(rng) * 100; double randomValue = GetRandomDouble(rng) * 100;
<<<<<<< HEAD
input.Add(randomValue); input.Add(randomValue);
=======
input.Add(randomValue);
>>>>>>> dev
// Calculate direct indicators // Calculate direct indicators
foreach (var (direct, _) in indicators) foreach (var (direct, _) in indicators)
@@ -76,4 +80,11 @@ foreach (var (direct, eventBased) in indicators)
rng.GetBytes(bytes); rng.GetBytes(bytes);
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue; return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
} }
private static double GetRandomDouble(RandomNumberGenerator rng)
{
byte[] bytes = new byte[8];
rng.GetBytes(bytes);
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
}
} }
lib/volatility/todo.md
+24 -24
View File
@@ -1,28 +1,28 @@
Single Value Input (Typically Closing Prices) # Volatility Measures
Jurik Volatility (Volty) ## Single Value Input (Typically Closing Prices)
**Standard Deviation** - Jurik Volatility (Volty)
**Relative Volatility Index (RVI)** - **Standard Deviation**
Ulcer Index - **Relative Volatility Index (RVI)**
ARCH/GARCH Models - Ulcer Index
Exponential Weighted Moving Average (EWMA) Volatility - ARCH/GARCH Models
Conditional Volatility - Exponential Weighted Moving Average (EWMA) Volatility
Volatility Ratio - Conditional Volatility
Close-to-Close Volatility - Volatility Ratio
Volatility of Volatility (VOV) - Close-to-Close Volatility
Volatility Cone - Volatility of Volatility (VOV)
Bollinger Bands - Volatility Cone
Stochastic Volatility: Typically modeled using closing prices, but can incorporate other price information - Bollinger Bands
- Stochastic Volatility: Typically modeled using closing prices, but can incorporate other price information
OHLC Input (Open, High, Low, Close) ## OHLC Input (Open, High, Low, Close)
Garman-Klass Volatility
Rogers-Satchell Volatility
Yang-Zhang Volatility
Parkinson Volatility (High, Low)
Average True Range (ATR) (High, Low, Close)
Chaikin Volatility (High, Low)
Keltner Channels (typically Close, High, Low)
High-Low Volatility (High, Low)
- Garman-Klass Volatility
- Rogers-Satchell Volatility
- Yang-Zhang Volatility
- Parkinson Volatility (High, Low)
- Average True Range (ATR) (High, Low, Close)
- Chaikin Volatility (High, Low)
- Keltner Channels (typically Close, High, Low)
- High-Low Volatility (High, Low)