volatility indicators

2026-08-21 12:08:05 +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 +1,65 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class EwmaIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [InputParameter("Annualize", sortIndex: 2)]
+    public bool AnnualizeVol { get; set; } = true;
+
+    [InputParameter("Annual Periods", sortIndex: 3, 1, 365, 1, 0)]
+    public int AnnualPeriods { get; set; } = 252;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Ewma _ewma = 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 => AnnualizeVol
+        ? $"EWMA {Period},{AnnualPeriods}:{_sourceName}"
+        : $"EWMA {Period}:{_sourceName}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/ewma/Ewma.Quantower.cs";
+
+    public EwmaIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        _sourceName = Source.ToString();
+        Name = "EWMA - Exponentially Weighted Moving Average Volatility";
+        Description = "EWMA Volatility calculates volatility using an exponentially weighted moving average of squared log returns with bias correction";
+
+        _series = new LineSeries(name: "EWMA", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _ewma = new Ewma(Period, AnnualizeVol, AnnualPeriods);
+        _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 = _ewma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew: args.IsNewBar());
+        _series.SetValue(result.Value, _ewma.IsHot, ShowColdValues);
+    }
+}