add historical vol estimators

chungg · Jul 9, 2024 · 0a3caee · 0a3caee
1 parent e471d66
commit 0a3caee
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Showing 3 changed files with 154 additions and 2 deletions.
diff --git a/benches/traquer.rs b/benches/traquer.rs
@@ -202,7 +202,7 @@ fn criterion_benchmark(c: &mut Criterion) {
         b.iter(|| black_box(volume::tvi(&stats.close, &stats.volume, 0.5).collect::<Vec<f64>>()))
     });
     c.bench_function("sig-volume-vpt", |b| {
-        b.iter(|| black_box(volume::vpt(&stats.close, &stats.volume, 0.5).collect::<Vec<f64>>()))
+        b.iter(|| black_box(volume::vpt(&stats.close, &stats.volume).collect::<Vec<f64>>()))
     });
     c.bench_function("sig-trend-supertrend", |b| {
         b.iter(|| {
@@ -299,7 +299,8 @@ fn criterion_benchmark(c: &mut Criterion) {
     c.bench_function("sig-momentum-kdj", |b| {
         b.iter(|| {
             black_box(
-                momentum::kdj(&stats.high, &stats.low, &stats.close, 16, 3).collect::<Vec<_>>(),
+                momentum::kdj(&stats.high, &stats.low, &stats.close, 16, 3, None, None)
+                    .collect::<Vec<_>>(),
             )
         })
     });
@@ -478,6 +479,17 @@ fn criterion_benchmark(c: &mut Criterion) {
             black_box(volatility::wcp(&stats.high, &stats.low, &stats.close).collect::<Vec<f64>>())
         })
     });
+    c.bench_function("sig-volatility-gkyz_hv", |b| {
+        b.iter(|| {
+            black_box(
+                volatility::gkyz_hv(&stats.open, &stats.high, &stats.low, &stats.close, 16)
+                    .collect::<Vec<_>>(),
+            )
+        })
+    });
+    c.bench_function("sig-volatility-cc_hv", |b| {
+        b.iter(|| black_box(volatility::cc_hv(&stats.close, 16).collect::<Vec<_>>()))
+    });
     c.bench_function("ma-ewma", |b| {
         b.iter(|| black_box(smooth::ewma(&stats.close, 16).collect::<Vec<f64>>()))
     });

diff --git a/src/volatility.rs b/src/volatility.rs
@@ -752,3 +752,82 @@ pub fn wcp<'a>(
 ) -> impl Iterator<Item = f64> + 'a {
     izip!(high, low, close).map(|(h, l, c)| (h + l + 2.0 * c) / 4.0)
 }
+
+/// Close-to-Close Historical Volatility
+///
+/// The simplest volatility estimator. Calculated using only stock's closing prices. Value is annualised.
+///
+/// ## Usage
+///
+/// Higher value implies increase volatility.
+///
+/// ## Sources
+///
+/// [[1]](https://harbourfronts.com/close-close-historical-volatility-calculation-volatility-analysis-python/)
+///
+/// # Examples
+///
+/// ```
+/// use traquer::volatility;
+///
+/// volatility::cc_hv(
+///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
+///     3).collect::<Vec<f64>>();
+///
+/// ```
+pub fn cc_hv(data: &[f64], window: usize) -> impl Iterator<Item = f64> + '_ {
+    iter::repeat(f64::NAN).take(window).chain(
+        data.windows(2)
+            .map(|w| (w[1] / w[0]).ln().powi(2))
+            .collect::<Vec<f64>>()
+            .windows(window)
+            .map(|w| (w.iter().sum::<f64>() * 252.0 / window as f64).sqrt())
+            .collect::<Vec<f64>>(),
+    )
+}
+
+/// Garman-Klass-Yang-Zhang Historical Volatility
+///
+/// Extends Garman-Klass volatility estimator by taking into consideration overnight jumps. Value
+/// is annualised.
+///
+/// ## Usage
+///
+/// Higher value implies increase volatility.
+///
+/// ## Sources
+///
+/// [[1]](https://harbourfronts.com/garman-klass-yang-zhang-historical-volatility-calculation-volatility-analysis-python/)
+///
+/// # Examples
+///
+/// ```
+/// use traquer::volatility;
+///
+/// volatility::gkyz_hv(
+///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
+///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
+///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
+///     &vec![1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0],
+///     3).collect::<Vec<f64>>();
+///
+/// ```
+pub fn gkyz_hv<'a>(
+    open: &'a [f64],
+    high: &'a [f64],
+    low: &'a [f64],
+    close: &'a [f64],
+    window: usize,
+) -> impl Iterator<Item = f64> + 'a {
+    iter::repeat(f64::NAN).take(window).chain(
+        izip!(&open[1..], &high[1..], &low[1..], &close[1..], close)
+            .map(|(o, h, l, c, c0)| {
+                (o / c0).ln().powi(2) + 0.5 * (h / l).ln().powi(2)
+                    - (2.0 * 2_f64.ln() - 1.0) * (c / o).ln().powi(2)
+            })
+            .collect::<Vec<f64>>()
+            .windows(window)
+            .map(|w| (w.iter().sum::<f64>() * 252.0 / window as f64).sqrt())
+            .collect::<Vec<f64>>(),
+    )
+}
diff --git a/tests/volatility_test.rs b/tests/volatility_test.rs
@@ -803,3 +803,64 @@ fn test_wcp() {
         result
     );
 }
+
+#[test]
+fn test_cc_hv() {
+    let stats = common::test_data();
+    let result = volatility::cc_hv(&stats.close, 16).collect::<Vec<_>>();
+    assert_eq!(stats.close.len(), result.len());
+    assert_eq!(
+        vec![
+            1.5466252225674613,
+            1.1600956142944576,
+            1.1377538069208708,
+            1.0365183751845641,
+            0.8333933231891163,
+            0.7886313354821333,
+            0.6976132908975086,
+            0.6413848562022525,
+            0.6878616751364196,
+            0.6750178844345274,
+            0.6835988364394175,
+            0.6879642217531283,
+            0.6532534112956555,
+            0.6202239625971376,
+            0.6004459227341106,
+            0.5665520605752907,
+            0.5773661957866805,
+            0.5683025268885697
+        ],
+        result[16..]
+    );
+}
+
+#[test]
+fn test_gkyz_hv() {
+    let stats = common::test_data();
+    let result = volatility::gkyz_hv(&stats.open, &stats.high, &stats.low, &stats.close, 16)
+        .collect::<Vec<_>>();
+    assert_eq!(stats.close.len(), result.len());
+    assert_eq!(
+        vec![
+            1.2449176146400096,
+            1.1032341200989624,
+            0.9166361517142042,
+            0.9043585332042633,
+            0.8544447166060107,
+            0.8287797413114523,
+            0.7613077936213194,
+            0.744867758696185,
+            0.7420973336106507,
+            0.7402566589618695,
+            0.7225740295183557,
+            0.7325311315992543,
+            0.7480130797826274,
+            0.7207898315110103,
+            0.7295291396594658,
+            0.7351330923035614,
+            0.8608114872074828,
+            0.8604757592723771
+        ],
+        result[16..]
+    );
+}