// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Exponential Weighted MA Volatility", "EWMA Volty", overlay=false)

//@function Calculates Exponential Weighted Moving Average (EWMA) Volatility.
//@param src The source series for price data. Default is close.
//@param length The period length for the EWMA calculation.
//@param annualize Boolean to indicate if the volatility should be annualized. Default is true.
//@param annualPeriods Number of periods in a year for annualization. Default is 252 for daily data.
//@returns float The EWMA Volatility value.
//@optimized for performance and dirty data
ewmaVolty(series float src, simple int length, simple bool annualize = true, simple int annualPeriods = 252) =>
    float logReturn = nz(math.log(src / src[1]),0.0)
    float squaredReturn = logReturn * logReturn
    var float raw_rma_sq_ret = 0.0, var float e_rma = 1.0
    float rma_alpha = 1.0 / float(length)
    if not na(squaredReturn)
        raw_rma_sq_ret := na(raw_rma_sq_ret[1]) ? squaredReturn : (nz(raw_rma_sq_ret[1],squaredReturn) * (length - 1) + squaredReturn) / length
        e_rma := na(e_rma[1]) ? (1.0 - rma_alpha) : (1.0 - rma_alpha) * nz(e_rma[1],1.0)
    float EPSILON = 1e-10
    float corrected_rma_sq_ret = e_rma > EPSILON and not na(raw_rma_sq_ret) ? raw_rma_sq_ret / (1.0 - e_rma) : raw_rma_sq_ret
    float currentEwmaSqReturns = nz(corrected_rma_sq_ret, squaredReturn)
    float volatility = currentEwmaSqReturns < 0 ? na : math.sqrt(currentEwmaSqReturns)
    annualize and not na(volatility) ? volatility * math.sqrt(float(annualPeriods)) : volatility

// ---------- Main loop ----------

// Inputs
i_source = input.source(close, "Source")
i_length = input.int(20, "Length", minval=1, tooltip="Period for EWMA calculation")
i_annualize = input.bool(true, "Annualize Volatility", tooltip="Annualize the volatility output")
i_annualPeriods = input.int(252, "Annual Periods", minval=1, tooltip="Number of periods in a year for annualization (e.g., 252 for daily, 52 for weekly)")

// Calculation
ewmaVolatilityValue = ewmaVolty(i_source, i_length, i_annualize, i_annualPeriods)

// Plot
plot(ewmaVolatilityValue, "EWMA Volty", color=color.yellow, linewidth=2)