Class Volatility_

Collection of volatility-related indictors.

Inheritance
object
Volatility_
Inherited Members
object.Equals(object)
object.Equals(object, object)
object.GetHashCode()
object.GetType()
object.MemberwiseClone()
object.ReferenceEquals(object, object)
object.ToString()
Namespace: TuringTrader.SimulatorV2.Indicators
Assembly: TuringTrader.Simulator.dll
Syntax
public static class Volatility_

Methods

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AverageTrueRange(TimeSeriesAsset, int)

Calculate Averaged True Range, as described here: https://en.wikipedia.org/wiki/Average_true_range.

Declaration
public static TimeSeriesFloat AverageTrueRange(this TimeSeriesAsset series, int n)
Parameters
Type Name Description
TimeSeriesAsset series
int n
Returns
Type Description
TimeSeriesFloat

average true range time series
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BollingerBands(TimeSeriesFloat, int, double)

Calculate Bollinger Bands, as described here: https://en.wikipedia.org/wiki/Bollinger_Bands.

Declaration
public static Volatility_.BollingerT BollingerBands(this TimeSeriesFloat series, int n = 20, double stdev = 2)
Parameters
Type Name Description
TimeSeriesFloat series

input series
int n

calculation period
double stdev

width in standard deviations
Returns
Type Description
Volatility_.BollingerT

Bollinger Band container of time series
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StandardDeviation(TimeSeriesFloat, int)

Calculate historical standard deviation.

Declaration
public static TimeSeriesFloat StandardDeviation(this TimeSeriesFloat series, int n = 10)
Parameters
Type Name Description
TimeSeriesFloat series

input series
int n

length of calculation window
Returns
Type Description
TimeSeriesFloat

standard deviation time series
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TrueRange(TimeSeriesAsset)

Calculate True Range, non averaged, as described here: https://en.wikipedia.org/wiki/Average_true_range.

Declaration
public static TimeSeriesFloat TrueRange(this TimeSeriesAsset series)
Parameters
Type Name Description
TimeSeriesAsset series
Returns
Type Description
TimeSeriesFloat
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ValueAtRisk(TimeSeriesAsset, int, double)

Calculate Value-at-Risk at given percentile. The result is expressed as a fraction of the asset's value. A value of 0.1 equates to 10% risk.

Declaration
public static TimeSeriesFloat ValueAtRisk(this TimeSeriesAsset series, int days = 21, double percentile = 0.95)
Parameters
Type Name Description
TimeSeriesAsset series

input time series
int days

of days to sample
double percentile

percentile of value at risk. A value of 0.99 represents the 99-th percentile
Returns
Type Description
TimeSeriesFloat

value at risk, expresed as a fraction of the asset value. A value of 0.1 equates to 10% risk
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Volatility(TimeSeriesFloat, int)

Calculate historical volatility, based on log-returns.

Declaration
public static TimeSeriesFloat Volatility(this TimeSeriesFloat series, int n = 10)
Parameters
Type Name Description
TimeSeriesFloat series
int n
Returns
Type Description
TimeSeriesFloat

volatility time series