Bband, Ccv, Ce, Cv, Cvi, Ewma, Fcb, Gkv, Hlv

lib/volatility/Bband.cs

@@ -0,0 +1,143 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// BBAND: Bollinger Bands®
+/// A technical analysis tool that creates a band of three lines:
+/// - Middle Band: n-period simple moving average (SMA)
+/// - Upper Band: Middle Band + (standard deviation * multiplier)
+/// - Lower Band: Middle Band - (standard deviation * multiplier)
+/// </summary>
+/// <remarks>
+/// The Bollinger Bands calculation process:
+/// 1. Calculate the middle band (SMA of closing prices)
+/// 2. Calculate the standard deviation of prices
+/// 3. Upper and lower bands are the middle band +/- standard deviation * multiplier
+///
+/// Key characteristics:
+/// - Adapts to volatility
+/// - Default period is 20 days
+/// - Default multiplier is 2.0
+/// - Returns three bands (upper, middle, lower)
+/// - Wider bands indicate higher volatility
+/// - Narrower bands indicate lower volatility
+///
+/// Formula:
+/// Middle Band = SMA(Close, period)
+/// Standard Deviation = SQRT(SUM((Close - Middle Band)^2) / period)
+/// Upper Band = Middle Band + (multiplier * Standard Deviation)
+/// Lower Band = Middle Band - (multiplier * Standard Deviation)
+///
+/// Market Applications:
+/// - Volatility measurement
+/// - Overbought/oversold identification
+/// - Price breakout detection
+/// - Trend strength analysis
+/// - Dynamic support/resistance levels
+///
+/// Sources:
+///     John Bollinger (1980s)
+///     https://www.bollingerbands.com
+///
+/// Note: Returns three values: upper, middle, and lower bands
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Bband : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _multiplier;
+    private readonly CircularBuffer _prices;
+    private double _middleBand;
+    private double _upperBand;
+    private double _lowerBand;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Bband(int period = 20, double multiplier = 2.0)
+    {
+        _period = period;
+        _multiplier = multiplier;
+        WarmupPeriod = period;
+        Name = $"BBAND({_period},{_multiplier})";
+        _prices = new CircularBuffer(period);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Bband(object source, int period = 20, double multiplier = 2.0) : this(period, multiplier)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _middleBand = 0;
+        _upperBand = 0;
+        _lowerBand = 0;
+        _prices.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Add current price to buffer
+        _prices.Add(BarInput.Close);
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate middle band (SMA)
+        _middleBand = _prices.Average();
+
+        // Calculate standard deviation
+        double sumSquaredDeviations = 0;
+        for (int i = 0; i < _period; i++)
+        {
+            double deviation = _prices[i] - _middleBand;
+            sumSquaredDeviations += deviation * deviation;
+        }
+        double standardDeviation = Math.Sqrt(sumSquaredDeviations / _period);
+
+        // Calculate bands
+        double bandWidth = _multiplier * standardDeviation;
+        _upperBand = _middleBand + bandWidth;
+        _lowerBand = _middleBand - bandWidth;
+
+        IsHot = _index >= WarmupPeriod;
+        return _middleBand;  // Return middle band as primary value
+    }
+
+    /// <summary>
+    /// Gets the upper band value
+    /// </summary>
+    public double UpperBand => _upperBand;
+
+    /// <summary>
+    /// Gets the middle band value (SMA)
+    /// </summary>
+    public double MiddleBand => _middleBand;
+
+    /// <summary>
+    /// Gets the lower band value
+    /// </summary>
+    public double LowerBand => _lowerBand;
+}