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Add CVI - Chaikin's Volatility class and tests

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Add implementation of CVI - Chaikin's Volatility class and related tests.

* **Cvi Class Implementation:**
  - Add `Cvi` class in `lib/volatility/Cvi.cs` to calculate Chaikin's Volatility.
  - Use high and low prices for calculation.
  - Include a constructor with `period` parameter.
  - Add a method to calculate Chaikin's Volatility.

* **Quantower Indicator:**
  - Add `CviIndicator` class in `quantower/Volatility/CviIndicator.cs`.
  - Use `Cvi` class for calculation.
  - Add input parameters for `period` and `showColdValues`.
  - Implement `OnInit` and `OnUpdate` methods.

* **Tests:**
  - Add a test method for `Cvi` class in `Tests/test_updates_volatility.cs`.
  - Use random updates to test `Cvi`.
  - Ensure initial and final values are equal.

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This commit is contained in:
Miha Kralj
2024-10-31 11:19:40 -07:00
parent 784f3e0956
commit f55f630ac6
3 changed files with 179 additions and 0 deletions
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Tests/test_updates_volatility.cs
+16
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@@ -101,4 +101,20 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cvi_Update()
{
var indicator = new Cvi(period: 14);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
}