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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.
67 lines
2.2 KiB
Plaintext
67 lines
2.2 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("Close-to-Close Volatility (CCV)", "CCV", overlay=false)
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//@function Calculates Close-to-Close Volatility using closing price returns
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//@param length Period for volatility calculations
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//@param method Smoothing method (1=SMA, 2=EMA, 3=WMA)
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//@returns float Volatility value
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//@optimized Beta precomputation for RMA warmup compensation
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ccv(simple int length, simple int method) =>
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var int p = math.max(1, length)
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var int head = 0
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var int count = 0
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var array<float> buffer = array.new_float(p, na)
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var float sum = 0.0
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var float wsum = 0.0
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float priceReturn = math.log(close / close[1])
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sum -= oldest
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count -= 1
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sum += priceReturn
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count += 1
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array.set(buffer, head, priceReturn)
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head := (head + 1) % p
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float mean = nz(sum / count)
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float squaredSum = 0.0
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for i = 0 to length - 1
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float val = array.get(buffer, (head - i - 1 + p) % p)
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if not na(val)
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squaredSum += math.pow(val - mean, 2)
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float annualizedStdDev = math.sqrt(squaredSum / count) * math.sqrt(252)
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float alpha = 1.0 / float(length)
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float beta = 1.0 - alpha
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var float EPSILON = 1e-10
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var float raw_rma = 0.0
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var float e = 1.0
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float result = na
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if method == 1
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result := annualizedStdDev
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else if method == 2
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raw_rma := (raw_rma * (length - 1) + annualizedStdDev) / length
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e *= beta
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result := e > EPSILON ? raw_rma / (1.0 - e) : raw_rma
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else
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float sumWeight = length * (length + 1) / 2
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float weightedSum = 0.0
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float weight = length
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for i = 0 to length - 1
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weightedSum += annualizedStdDev * weight
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weight -= 1.0
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result := weightedSum / sumWeight
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result
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// ---------- Main loop ----------
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// Inputs
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i_length = input.int(20, "Length", minval=1, maxval=500, tooltip="Number of bars for volatility calculation")
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i_method = input.int(1, "Method", minval=1, maxval=3, tooltip="1=SMA, 2=EMA, 3=WMA")
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// Calculation
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ccvValue = ccv(i_length, i_method)
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// Plot
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plot(ccvValue, "CCV", color=color.yellow, linewidth=2)
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