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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
41 lines
1.7 KiB
Plaintext
41 lines
1.7 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Yang-Zhang Volatility (YZV)", shorttitle="YZV", overlay=false)
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//@function Calculates Yang-Zhang Volatility (YZV)
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//@param length Lookback period for smoothing daily variance estimates (> 0)
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//@returns Yang-Zhang Volatility value for the current bar
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//@optimized Uses bias-corrected RMA with OHLC prices for O(1) complexity per bar
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yzv(int length) =>
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o=open,h=high,l=low,c=close,pc=na(close[1])?open:close[1]
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ro=math.log(o/pc),rc=math.log(c/o),rh=math.log(h/o),rl=math.log(l/o)
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s_o_sq=ro*ro,s_c_sq=rc*rc
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s_rs_sq=rh*(rh-rc)+rl*(rl-rc)
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ratio_N=length<=1?1.0:(float(length)+1.0)/(float(length)-1.0)
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k_yz=0.34/(1.34+ratio_N)
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s_sq_daily=s_o_sq+k_yz*s_c_sq+(1.0-k_yz)*s_rs_sq
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var float EPSILON_YZV = 1e-10 // Consistent with VR's EPSILON_ATR
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var float raw_rma_val = 0.0
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var float e_comp_val = 1.0
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float smoothed_s_sq = na
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if not na(s_sq_daily)
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rma_alpha = 1.0 / float(length)
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if na(raw_rma_val[1]) and e_comp_val == 1.0 // First valid calculation for RMA
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raw_rma_val := s_sq_daily
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else
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raw_rma_val := (nz(raw_rma_val[1]) * (length - 1) + s_sq_daily) / length
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e_comp_val := (1.0 - rma_alpha) * e_comp_val
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smoothed_s_sq := e_comp_val > EPSILON_YZV ? raw_rma_val / (1.0 - e_comp_val) : raw_rma_val
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result = math.sqrt(smoothed_s_sq)
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result
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// Inputs
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i_length = input.int(20, title="Length", minval=1, tooltip="The lookback period for smoothing Yang-Zhang daily variance estimates.")
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// Calculation
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yzvValue = yzv(i_length)
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// Plot
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plot(yzvValue, title="YZV", color=color.yellow, linewidth=2)
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