mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 19:07:42 +00:00
Miha Kralj
c034cbd5e5
- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components. - Implemented calculation methods, including batch processing for TBarSeries and spans. - Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications. - Updated volume index documentation to reflect changes in file paths. - Refactored VWMA calculation method to use a more generic source parameter instead of price.
49 lines
1.6 KiB
C#
49 lines
1.6 KiB
C#
using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class YzvIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 1, 200, 1, 0)]
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public int Period { get; set; } = 20;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Yzv _yzv = null!;
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private readonly LineSeries _series;
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"YZV({Period})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volatility/yzv/Yzv.Quantower.cs";
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public YzvIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "YZV - Yang-Zhang Volatility";
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Description = "Yang-Zhang Volatility combines overnight (close-to-open) and intraday (Rogers-Satchell) volatility components for more accurate volatility estimation";
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_series = new LineSeries(name: "YZV", color: IndicatorExtensions.Volatility, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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}
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protected override void OnInit()
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{
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_yzv = new Yzv(Period);
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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TBar bar = this.GetInputBar(args);
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TValue result = _yzv.Update(bar, isNew: args.IsNewBar());
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_series.SetValue(result.Value, _yzv.IsHot, ShowColdValues);
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}
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} |