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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
45 lines
1.9 KiB
Plaintext
45 lines
1.9 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=5
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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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// YZV is a historical volatility measure that incorporates open, high, low, and close prices,
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// as well as overnight gaps. It uses a bias-corrected RMA for smoothing.
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// @param length The lookback period for smoothing the daily variance estimates. Must be > 0.
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// @returns float The Yang-Zhang Volatility value for the current bar.
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yzv(int length) =>
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if length <= 0
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runtime.error("Length must be greater than 0 for YZV calculation.")
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float(na)
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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.new(color.yellow, 0, color=color.yellow, linewidth=2), linewidth=2)
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