volatility indicators

2026-08-19 02:58:05 +00:00 · 2026-02-01 17:48:16 -08:00
parent bcb52ef5ec
commit dde19f2226
40 changed files with 13350 additions and 62 deletions
@@ -0,0 +1,69 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class CvIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [InputParameter("Alpha", sortIndex: 2, 0.01, 0.99, 0.01, 2)]
+    public double Alpha { get; set; } = 0.2;
+
+    [InputParameter("Beta", sortIndex: 3, 0.01, 0.99, 0.01, 2)]
+    public double Beta { get; set; } = 0.7;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Cv _cv = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"CV {Period},{Alpha:F2},{Beta:F2}:{_sourceName}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/cv/Cv.Quantower.cs";
+
+    public CvIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        _sourceName = Source.ToString();
+        Name = "CV - Conditional Volatility (GARCH(1,1))";
+        Description = "Conditional Volatility calculates GARCH(1,1) volatility, modeling time-varying volatility as a function of past squared returns and past variance";
+
+        _series = new LineSeries(name: "CV", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        // Validate GARCH stationarity constraint
+        if (Alpha + Beta >= 1.0)
+        {
+            Beta = 0.99 - Alpha; // Adjust beta to maintain stationarity
+        }
+
+        _cv = new Cv(Period, Alpha, Beta);
+        _sourceName = Source.ToString();
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        TValue result = _cv.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew: args.IsNewBar());
+        _series.SetValue(result.Value, _cv.IsHot, ShowColdValues);
+    }
+}