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Miha Kralj
f10baa6dfb
- Add docs/license.md with Apache 2.0 rationale and patent protection analysis - Add docs/python.md and docs/pinescript.md platform guides - Expand README license section with disclosure and link to rationale - Update docs/api.md and docs/architecture.md - Update Python bindings: helpers, all indicator modules, pyproject.toml - Add Python tests for Arrow and Polars integration - Update TValue core type and documentation - Add fix_length_to_period tooling script
342 lines
14 KiB
Python
342 lines
14 KiB
Python
"""quantalib volatility indicators.
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Auto-generated — DO NOT EDIT.
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"""
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from __future__ import annotations
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from ._helpers import _arr, _ptr, _out, _wrap, _wrap_multi, _check, _lib
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__all__ = [
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"adr",
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"atr",
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"atrn",
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"gkv",
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"hlv",
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"hv",
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"jvolty",
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"jvoltyn",
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"massi",
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"natr",
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"rsv",
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"rv",
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"rvi",
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"ui",
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"vov",
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"vr",
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"yzv",
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"tr",
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"bbw",
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"bbwn",
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"bbwp",
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"stddev",
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"variance",
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"etherm",
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"ccv",
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"cv",
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"cvi",
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"ewma",
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]
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def adr(open: object, high: object, low: object, close: object, volume: object, period: int = 14, method: int = 0, offset: int = 0, **kwargs) -> object:
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"""Average Daily Range."""
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period = int(kwargs.get("length", period))
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method = int(method)
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low)
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c, _ = _arr(close); v, _ = _arr(volume)
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n = len(o)
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dst = _out(n)
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_check(_lib.qtl_adr(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(v), period, method, n, _ptr(dst)))
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return _wrap(dst, idx, f"ADR_{period}", "volatility", offset)
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def atr(open: object, high: object, low: object, close: object, volume: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Average True Range."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low)
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c, _ = _arr(close); v, _ = _arr(volume)
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n = len(o)
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dst = _out(n)
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_check(_lib.qtl_atr(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(v), period, n, _ptr(dst)))
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return _wrap(dst, idx, f"ATR_{period}", "volatility", offset)
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def atrn(open: object, high: object, low: object, close: object, volume: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Normalized ATR."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low)
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c, _ = _arr(close); v, _ = _arr(volume)
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n = len(o)
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dst = _out(n)
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_check(_lib.qtl_atrn(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(v), period, n, _ptr(dst)))
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return _wrap(dst, idx, f"ATRN_{period}", "volatility", offset)
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def gkv(open: object, high: object, low: object, close: object, period: int = 14, annualize: int = 1, annualPeriods: int = 252, offset: int = 0, **kwargs) -> object:
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"""Garman-Klass Volatility."""
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period = int(kwargs.get("length", period))
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annualize = int(annualize)
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annualPeriods = int(annualPeriods)
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low); c, _ = _arr(close)
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n = len(o)
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output = _out(n)
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_check(_lib.qtl_gkv(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(output), n, period, annualize, annualPeriods))
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return _wrap(output, idx, f"GKV_{period}", "volatility", offset)
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def hlv(high: object, low: object, period: int = 14, annualize: int = 1, annualPeriods: int = 252, offset: int = 0, **kwargs) -> object:
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"""High-Low Volatility."""
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period = int(kwargs.get("length", period))
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annualize = int(annualize)
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annualPeriods = int(annualPeriods)
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offset = int(offset)
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h, idx = _arr(high); l, _ = _arr(low)
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n = len(h)
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output = _out(n)
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_check(_lib.qtl_hlv(_ptr(h), _ptr(l), _ptr(output), n, period, annualize, annualPeriods))
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return _wrap(output, idx, f"HLV_{period}", "volatility", offset)
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def hv(close: object, period: int = 14, annualize: int = 1, annualPeriods: int = 252, offset: int = 0, **kwargs) -> object:
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"""Historical Volatility."""
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period = int(kwargs.get("length", period))
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annualize = int(annualize)
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annualPeriods = int(annualPeriods)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_hv(_ptr(src), _ptr(output), n, period, annualize, annualPeriods))
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return _wrap(output, idx, f"HV_{period}", "volatility", offset)
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def jvolty(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Jurik Volatility."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_jvolty(_ptr(src), _ptr(output), n, period))
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return _wrap(output, idx, f"JVOLTY_{period}", "volatility", offset)
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def jvoltyn(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Jurik Volatility Normalized."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_jvoltyn(_ptr(src), _ptr(output), n, period))
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return _wrap(output, idx, f"JVOLTYN_{period}", "volatility", offset)
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def massi(close: object, emaLength: int = 9, sumLength: int = 25, offset: int = 0, **kwargs) -> object:
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"""Mass Index."""
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emaLength = int(emaLength)
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sumLength = int(sumLength)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_massi(_ptr(src), _ptr(output), n, emaLength, sumLength))
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return _wrap(output, idx, f"MASSI_{emaLength}", "volatility", offset)
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def natr(open: object, high: object, low: object, close: object, volume: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Normalized ATR."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low)
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c, _ = _arr(close); v, _ = _arr(volume)
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n = len(o)
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dst = _out(n)
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_check(_lib.qtl_natr(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(v), period, n, _ptr(dst)))
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return _wrap(dst, idx, f"NATR_{period}", "volatility", offset)
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def rsv(open: object, high: object, low: object, close: object, period: int = 14, annualize: int = 1, annualPeriods: int = 252, offset: int = 0, **kwargs) -> object:
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"""Rogers-Satchell Volatility."""
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period = int(kwargs.get("length", period))
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annualize = int(annualize)
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annualPeriods = int(annualPeriods)
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low); c, _ = _arr(close)
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n = len(o)
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output = _out(n)
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_check(_lib.qtl_rsv(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(output), n, period, annualize, annualPeriods))
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return _wrap(output, idx, f"RSV_{period}", "volatility", offset)
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def rv(close: object, period: int = 14, smoothingPeriod: int = 14, annualize: int = 1, annualPeriods: int = 252, offset: int = 0, **kwargs) -> object:
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"""Realized Volatility."""
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period = int(kwargs.get("length", period))
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smoothingPeriod = int(smoothingPeriod)
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annualize = int(annualize)
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annualPeriods = int(annualPeriods)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_rv(_ptr(src), _ptr(output), n, period, smoothingPeriod, annualize, annualPeriods))
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return _wrap(output, idx, f"RV_{period}", "volatility", offset)
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def rvi(close: object, stdevLength: int = 10, rmaLength: int = 14, offset: int = 0, **kwargs) -> object:
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"""Relative Volatility Index."""
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stdevLength = int(stdevLength)
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rmaLength = int(rmaLength)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_rvi(_ptr(src), _ptr(output), n, stdevLength, rmaLength))
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return _wrap(output, idx, f"RVI_{stdevLength}", "volatility", offset)
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def ui(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Ulcer Index."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_ui(_ptr(src), _ptr(output), n, period))
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return _wrap(output, idx, f"UI_{period}", "volatility", offset)
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def vov(close: object, volatilityPeriod: int = 20, vovPeriod: int = 20, offset: int = 0, **kwargs) -> object:
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"""Volatility of Volatility."""
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volatilityPeriod = int(volatilityPeriod)
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vovPeriod = int(vovPeriod)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_vov(_ptr(src), _ptr(output), n, volatilityPeriod, vovPeriod))
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return _wrap(output, idx, f"VOV_{volatilityPeriod}", "volatility", offset)
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def vr(high: object, low: object, close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Volatility Ratio."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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h, idx = _arr(high); l, _ = _arr(low); c, _ = _arr(close)
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n = len(h)
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output = _out(n)
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_check(_lib.qtl_vr(_ptr(h), _ptr(l), _ptr(c), _ptr(output), n, period))
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return _wrap(output, idx, f"VR_{period}", "volatility", offset)
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def yzv(open: object, high: object, low: object, close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
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"""Yang-Zhang Volatility."""
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period = int(kwargs.get("length", period))
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offset = int(offset)
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o, idx = _arr(open); h, _ = _arr(high); l, _ = _arr(low); c, _ = _arr(close)
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n = len(o)
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output = _out(n)
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_check(_lib.qtl_yzv(_ptr(o), _ptr(h), _ptr(l), _ptr(c), _ptr(output), n, period))
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return _wrap(output, idx, f"YZV_{period}", "volatility", offset)
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def tr(high: object, low: object, close: object, offset: int = 0, **kwargs) -> object:
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"""True Range."""
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h, idx = _arr(high); l, _ = _arr(low); c, _ = _arr(close)
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n = len(h); dst = _out(n)
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_check(_lib.qtl_tr(_ptr(h), _ptr(l), _ptr(c), n, _ptr(dst)))
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return _wrap(dst, idx, "TR", "volatility", int(offset))
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def bbw(close: object, period: int = 20, mult: float = 2.0,
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offset: int = 0, **kwargs) -> object:
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"""Bollinger Band Width."""
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period = int(kwargs.get("length", period)); mult = float(mult); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_bbw(_ptr(src), n, _ptr(dst), period, mult))
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return _wrap(dst, idx, f"BBW_{period}", "volatility", offset)
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def bbwn(close: object, period: int = 20, mult: float = 2.0,
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lookback: int = 252, offset: int = 0, **kwargs) -> object:
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"""Bollinger Band Width Normalized."""
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period = int(kwargs.get("length", period)); mult = float(mult); lookback = int(lookback); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_bbwn(_ptr(src), n, _ptr(dst), period, mult, lookback))
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return _wrap(dst, idx, f"BBWN_{period}", "volatility", offset)
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def bbwp(close: object, period: int = 20, mult: float = 2.0,
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lookback: int = 252, offset: int = 0, **kwargs) -> object:
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"""Bollinger Band Width Percentile."""
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period = int(kwargs.get("length", period)); mult = float(mult); lookback = int(lookback); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_bbwp(_ptr(src), n, _ptr(dst), period, mult, lookback))
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return _wrap(dst, idx, f"BBWP_{period}", "volatility", offset)
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def stddev(close: object, period: int = 20, offset: int = 0, **kwargs) -> object:
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"""Standard Deviation."""
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period = int(kwargs.get("length", period)); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_stddev(_ptr(src), n, _ptr(dst), period))
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return _wrap(dst, idx, f"STDDEV_{period}", "volatility", offset)
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def variance(close: object, period: int = 20, offset: int = 0, **kwargs) -> object:
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"""Variance."""
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period = int(kwargs.get("length", period)); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_variance(_ptr(src), n, _ptr(dst), period))
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return _wrap(dst, idx, f"VAR_{period}", "volatility", offset)
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def etherm(high: object, low: object, period: int = 14,
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offset: int = 0, **kwargs) -> object:
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"""Elder Thermometer."""
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period = int(kwargs.get("length", period))
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h, idx = _arr(high); l, _ = _arr(low)
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n = len(h); dst = _out(n)
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_check(_lib.qtl_etherm(_ptr(h), _ptr(l), n, _ptr(dst), period))
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return _wrap(dst, idx, f"ETHERM_{period}", "volatility", int(offset))
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def ccv(close: object, short_period: int = 20, long_period: int = 1,
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offset: int = 0, **kwargs) -> object:
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"""Close-to-Close Volatility."""
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short_period = int(short_period); long_period = int(long_period); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_ccv(_ptr(src), n, _ptr(dst), short_period, long_period))
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return _wrap(dst, idx, f"CCV_{short_period}", "volatility", offset)
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def cv(close: object, period: int = 20, min_vol: float = 0.2,
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max_vol: float = 0.7, offset: int = 0, **kwargs) -> object:
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"""Coefficient of Variation."""
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period = int(kwargs.get("length", period)); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_cv(_ptr(src), n, _ptr(dst), period, float(min_vol), float(max_vol)))
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return _wrap(dst, idx, f"CV_{period}", "volatility", offset)
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def cvi(close: object, ema_period: int = 10, roc_period: int = 10,
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offset: int = 0, **kwargs) -> object:
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"""Chaikin Volatility Index."""
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ema_period = int(ema_period); roc_period = int(roc_period); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_cvi(_ptr(src), n, _ptr(dst), ema_period, roc_period))
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return _wrap(dst, idx, f"CVI_{ema_period}", "volatility", offset)
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def ewma(close: object, period: int = 20, is_pop: int = 1,
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ann_factor: int = 252, offset: int = 0, **kwargs) -> object:
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"""Exponentially Weighted Moving Average (volatility)."""
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period = int(kwargs.get("length", period)); offset = int(offset)
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src, idx = _arr(close); n = len(src); dst = _out(n)
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_check(_lib.qtl_ewma(_ptr(src), n, _ptr(dst), period, int(is_pop), int(ann_factor)))
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return _wrap(dst, idx, f"EWMA_{period}", "volatility", offset)
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