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

lib/volatility/Ewma.cs

@@ -0,0 +1,141 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// EWMA: Exponential Weighted Moving Average Volatility
+/// A volatility measure that gives more weight to recent observations,
+/// calculated using squared returns and exponential weighting.
+/// </summary>
+/// <remarks>
+/// The EWMA calculation process:
+/// 1. Calculate returns: (Close[t] - Close[t-1])/Close[t-1]
+/// 2. Square returns
+/// 3. Apply exponential weighting to squared returns
+/// 4. Take square root and annualize
+///
+/// Key characteristics:
+/// - More responsive to recent volatility changes
+/// - Default decay factor (lambda) is 0.94
+/// - Default period is 20 days
+/// - Annualized by default (multiply by sqrt(252))
+/// - Expressed as a percentage
+///
+/// Formula:
+/// Returns[t] = (Close[t] - Close[t-1])/Close[t-1]
+/// EWMA[t] = λ * EWMA[t-1] + (1-λ) * Returns[t]²
+/// Volatility = sqrt(EWMA) * sqrt(252) * 100
+///
+/// Where:
+/// λ (lambda) = decay factor (typically 0.94)
+///
+/// Market Applications:
+/// - Risk measurement
+/// - Option pricing
+/// - Value at Risk (VaR)
+/// - Portfolio optimization
+/// - Volatility forecasting
+///
+/// Sources:
+///     RiskMetrics™ Technical Document (1996)
+///     https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Ewma : AbstractBase
+{
+    private readonly int _period;
+    private readonly double _lambda;
+    private readonly bool _annualize;
+    private double _prevClose;
+    private double _ewma;
+    private bool _isInitialized;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ewma(int period = 20, double lambda = 0.94, bool annualize = true)
+    {
+        _period = period;
+        _lambda = lambda;
+        _annualize = annualize;
+        WarmupPeriod = period + 1;  // Need one extra period for returns
+        Name = $"EWMA({_period},{_lambda})";
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Ewma(object source, int period = 20, double lambda = 0.94, bool annualize = true) : this(period, lambda, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _prevClose = 0;
+        _ewma = 0;
+        _isInitialized = false;
+    }
+
+    [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);
+
+        // Skip first period to establish previous close
+        if (_index == 1)
+        {
+            _prevClose = BarInput.Close;
+            return 0;
+        }
+
+        // Calculate return
+        double return_ = (BarInput.Close - _prevClose) / _prevClose;
+        double squaredReturn = return_ * return_;
+        _prevClose = BarInput.Close;
+
+        // Initialize EWMA if not done
+        if (!_isInitialized && _index > _period)
+        {
+            _ewma = squaredReturn;
+            _isInitialized = true;
+        }
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Update EWMA
+        _ewma = _lambda * _ewma + (1 - _lambda) * squaredReturn;
+
+        // Calculate volatility
+        double volatility = Math.Sqrt(_ewma);
+
+        // Annualize if requested
+        if (_annualize)
+        {
+            volatility *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        volatility *= 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}