mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 10:57:43 +00:00
Miha Kralj
bcb52ef5ec
- Implemented CCV class for calculating annualized log return volatility using SMA, EMA, and WMA smoothing methods. - Added comprehensive unit tests for CCV to validate mathematical correctness, consistency across methods, and edge cases. - Created documentation for CCV detailing its mathematical foundation, smoothing methods, and performance metrics.
63 lines
2.3 KiB
C#
63 lines
2.3 KiB
C#
using System.Drawing;
|
|
using System.Runtime.CompilerServices;
|
|
using TradingPlatform.BusinessLayer;
|
|
|
|
namespace QuanTAlib;
|
|
|
|
[SkipLocalsInit]
|
|
public sealed class BbwnIndicator : Indicator, IWatchlistIndicator
|
|
{
|
|
[InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
|
|
public int Period { get; set; } = 20;
|
|
|
|
[InputParameter("Multiplier", sortIndex: 2, 0.1, 10, 0.1, 1)]
|
|
public double Multiplier { get; set; } = 2.0;
|
|
|
|
[InputParameter("Lookback", sortIndex: 3, 1, 2000, 1, 0)]
|
|
public int Lookback { 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 Bbwn _bbwn = 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 => $"BBWN {Period},{Multiplier:F1},{Lookback}:{_sourceName}";
|
|
public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/bbwn/Bbwn.Quantower.cs";
|
|
|
|
public BbwnIndicator()
|
|
{
|
|
OnBackGround = true;
|
|
SeparateWindow = true;
|
|
_sourceName = Source.ToString();
|
|
Name = "BBWN - Bollinger Band Width Normalized";
|
|
Description = "Normalized Bollinger Band Width that scales the width to a [0,1] range based on historical min/max values";
|
|
|
|
_series = new LineSeries(name: "BBWN", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
|
|
AddLineSeries(_series);
|
|
}
|
|
|
|
protected override void OnInit()
|
|
{
|
|
_bbwn = new Bbwn(Period, Multiplier, Lookback);
|
|
_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 = _bbwn.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew: args.IsNewBar());
|
|
_series.SetValue(result.Value, _bbwn.IsHot, ShowColdValues);
|
|
}
|
|
} |