Class IndicatorsVolatility

Collection of volatility indicators.

Inheritance

object

IndicatorsVolatility

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class IndicatorsVolatility

Methods

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AverageTrueRange(Instrument, int, CacheId, string, int)

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

Declaration

public static ITimeSeries<double> AverageTrueRange(this Instrument series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input time series
int	n	averaging length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	ATR time series

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BollingerBands(ITimeSeries<double>, int, double, CacheId, string, int)

Calculate Bollinger Bands, as described here: https://traderhq.com/ultimate-guide-to-bollinger-bands/.

Declaration

public static IndicatorsVolatility._BollingerBands BollingerBands(this ITimeSeries<double> series, int n = 20, double stdev = 2, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of calculation
double	stdev	width of bands
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsVolatility._BollingerBands	Bollinger Band time series

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FastStandardDeviation(ITimeSeries<double>, int, CacheId, string, int)

Calculate standard deviation, based on exponentially weighted filters. This is an incremental calculation, based on Tony Finch, which is very fast and efficient.

Declaration

public static ITimeSeries<double> FastStandardDeviation(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	filtering length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	variance as time series

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SemiDeviation(ITimeSeries<double>, int, CacheId, string, int)

Calculate standard deviation, based on exponentially weighted filters. This is an incremental calculation, based on Tony Finch, which is very fast and efficient.

Declaration

public static IndicatorsVolatility._SemiDeviation SemiDeviation(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	filtering length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsVolatility._SemiDeviation	variance as time series

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StandardDeviation(ITimeSeries<double>, int, CacheId, string, int)

Calculate historical standard deviation.

Declaration

public static ITimeSeries<double> StandardDeviation(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	standard deviation as time series

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TrueRange(Instrument, CacheId, string, int)

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

Declaration

public static ITimeSeries<double> TrueRange(this Instrument series, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input time series
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	True Range as time series

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UlcerIndex(ITimeSeries<double>, int, CacheId, string, int)

Calculate Ulcer Index.

Declaration

public static ITimeSeries<double> UlcerIndex(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of observation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller's line number, optional

Returns

Type	Description
ITimeSeries<double>	Ulcer index as time series

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Volatility(ITimeSeries<double>, int, CacheId, string, int)

Calculate historical volatility, based on log-returns.

Declaration

public static ITimeSeries<double> Volatility(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	volatility as time series

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VolatilityFromRange(ITimeSeries<double>, int, CacheId, string, int)

Calculate volatility estimate from recent trading range.

Declaration

public static ITimeSeries<double> VolatilityFromRange(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	length of calculation window
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	volatility as time series