volatility

package
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 Go to latest Published: Jun 5, 2024 License: AGPL-3.0 Imports: 3 Imported by: 2

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volatility

import "github.com/cinar/indicator/v2/volatility"

Package volatility contains the volatility indicator functions.

This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.

License
Copyright (c) 2021-2024 Onur Cinar.
The source code is provided under GNU AGPLv3 License.
https://github.com/cinar/indicator
Disclaimer

The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

Index

Constants

const (
    // DefaultChandelierExitPeriod is the default period for the Chandelier Exit.
    DefaultChandelierExitPeriod = 22

    // DefaultChandelierExitMultiplier is the default multiplier for the Chandelier Exit.
    DefaultChandelierExitMultiplier = 3
)


const (
    // DefaultSuperTrendPeriod is the default period value.
    DefaultSuperTrendPeriod = 14

    // DefaultSuperTrendMultiplier is the default multiplier value.
    DefaultSuperTrendMultiplier = 2.5
)


const (
    // DefaultAccelerationBandsPeriod is the default period for the Acceleration Bands.
    DefaultAccelerationBandsPeriod = 20
)


const (
    // DefaultAtrPeriod is the default period for the Average True Range (ATR).
    DefaultAtrPeriod = 14
)


const (
    // DefaultBollingerBandsPeriod is the default period for the Bollinger Bands.
    DefaultBollingerBandsPeriod = 20
)


const (
    // DefaultDonchianChannelPeriod is the default period for the Donchian Channel.
    DefaultDonchianChannelPeriod = 20
)


const (
    // DefaultKeltnerChannelPeriod is the default period for the Keltner Channel.
    DefaultKeltnerChannelPeriod = 20
)


const (
    // DefaultPoPeriod is the default period for the Projection Oscillator (PO).
    DefaultPoPeriod = 14
)


const (
    // DefaultUlcerIndexPeriod is the default period for the Ulcer Index.
    DefaultUlcerIndexPeriod = 14
)

type AccelerationBands

AccelerationBands represents the configuration parameters for calculating the Acceleration Bands.

Upper Band = SMA(High * (1 + 4 * (High - Low) / (High + Low)))
Middle Band = SMA(Closing)
Lower Band = SMA(Low * (1 - 4 * (High - Low) / (High + Low)))

Example:

accelerationBands := NewAccelerationBands[float64]()
accelerationBands.Compute(values)

type AccelerationBands[T helper.Number] struct {
    // Time period.
    Period int
}

func NewAccelerationBands
func NewAccelerationBands[T helper.Number]() *AccelerationBands[T]

NewAccelerationBands function initializes a new Acceleration Bands instance with the default parameters.

func (*AccelerationBands[T]) Compute
func (a *AccelerationBands[T]) Compute(high, low, closing <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Acceleration Bands over the specified period.

func (*AccelerationBands[T]) IdlePeriod
func (a *AccelerationBands[T]) IdlePeriod() int

IdlePeriod is the initial period that Acceleration Bands won't yield any results.

type Atr

Atr represents the configuration parameters for calculating the Average True Range (ATR). It is a technical analysis indicator that measures market volatility by decomposing the entire range of stock prices for that period.

TR = Max((High - Low), (High - Closing), (Closing - Low))
ATR = MA TR

By default, SMA is used as the MA.

Example:

atr := volatility.NewAtr()
atr.Compute(highs, lows, closings)

type Atr[T helper.Number] struct {
    // Ma is the moving average for the ATR.
    Ma trend.Ma[T]
}

func NewAtr
func NewAtr[T helper.Number]() *Atr[T]

NewAtr function initializes a new ATR instance with the default parameters.

func NewAtrWithMa
func NewAtrWithMa[T helper.Number](ma trend.Ma[T]) *Atr[T]

NewAtrWithMa function initializes a new ATR instance with the given moving average instance.

func NewAtrWithPeriod
func NewAtrWithPeriod[T helper.Number](period int) *Atr[T]

NewAtrWithPeriod function initializes a new ATR instance with the given period.

func (*Atr[T]) Compute
func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the ATR over the specified period.

func (*Atr[T]) IdlePeriod
func (a *Atr[T]) IdlePeriod() int

IdlePeriod is the initial period that Acceleration Bands won't yield any results.

type BollingerBandWidth

BollingerBandWidth represents the configuration parameters for calculating the Bollinger Band Width. It measures the percentage difference between the upper band and the lower band. It decreases as Bollinger Bands narrows and increases as Bollinger Bands widens.

During a period of rising price volatity the band width widens, and during a period of low market volatity band width contracts.

Band Width = (Upper Band - Lower Band) / Middle BollingerBandWidth

Example:

bbw := NewBollingerBandWidth[float64]()
bbw.Compute(c)

type BollingerBandWidth[T helper.Number] struct {
    // Bollinger bands.
    BollingerBands *BollingerBands[T]
}

func NewBollingerBandWidth
func NewBollingerBandWidth[T helper.Number]() *BollingerBandWidth[T]

NewBollingerBandWidth function initializes a new Bollinger Band Width instance with the default parameters.

func (*BollingerBandWidth[T]) Compute
func (b *BollingerBandWidth[T]) Compute(c <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Bollinger Band Width.

func (*BollingerBandWidth[T]) IdlePeriod
func (b *BollingerBandWidth[T]) IdlePeriod() int

IdlePeriod is the initial period that Bollinger Band Width won't yield any results.

type BollingerBands

BollingerBands represents the configuration parameters for calculating the Bollinger Bands. It is a technical analysis tool used to gauge a market's volatility and identify overbought and oversold conditions. Returns the upper band, the middle band, and the lower band.

Middle Band = 20-Period SMA.
Upper Band = 20-Period SMA + 2 (20-Period Std)
Lower Band = 20-Period SMA - 2 (20-Period Std)

Example:

bollingerBands := NewBollingerBands[float64]()
bollingerBands.Compute(values)

type BollingerBands[T helper.Number] struct {
    // Time period.
    Period int
}

func NewBollingerBands
func NewBollingerBands[T helper.Number]() *BollingerBands[T]

NewBollingerBands function initializes a new Bollinger Bands instance with the default parameters.

func (*BollingerBands[T]) Compute
func (b *BollingerBands[T]) Compute(c <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Bollinger Bands over the specified period.

func (*BollingerBands[T]) IdlePeriod
func (b *BollingerBands[T]) IdlePeriod() int

IdlePeriod is the initial period that Bollinger Bands won't yield any results.

type ChandelierExit

ChandelierExit represents the configuration parameters for calculating the Chandelier Exit. It sets a trailing stop-loss based on the Average True Value (ATR).

Chandelier Exit Long = 22-Period SMA High - ATR(22) * 3
Chandelier Exit Short = 22-Period SMA Low + ATR(22) * 3

Example:

ce := volatility.NewChandelierExit[float64]()
ceLong, ceShort := ce.Compute(highs, lows, closings)

type ChandelierExit[T helper.Number] struct {
    // Period is time period.
    Period int

    // Multiplier is for sensitivity.
    Multiplier T
}

func NewChandelierExit
func NewChandelierExit[T helper.Number]() *ChandelierExit[T]

NewChandelierExit function initializes a new Chandelier Exit instance with the default parameters.

func (*ChandelierExit[T]) Compute
func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Chandelier Exit over the specified period.

func (*ChandelierExit[T]) IdlePeriod
func (c *ChandelierExit[T]) IdlePeriod() int

IdlePeriod is the initial period that Chandelier Exit won't yield any results.

type DonchianChannel

DonchianChannel represents the configuration parameters for calculating the Donchian Channel (DC). It calculates three lines generated by moving average calculations that comprise an indicator formed by upper and lower bands around a midrange or median band. The upper band marks the highest price of an asset while the lower band marks the lowest price of an asset, and the area between the upper and lower bands represents the Donchian Channel.

Upper Channel = Mmax(period, closings)
Lower Channel = Mmin(period, closings)
Middle Channel = (Upper Channel + Lower Channel) / 2

Example:

dc := volatility.NewDonchianChannel[float64]()
result := dc.Compute(values)

type DonchianChannel[T helper.Number] struct {
    // Max is the Moving Max instance.
    Max *trend.MovingMax[T]

    // Min is the Moving Min instance.
    Min *trend.MovingMin[T]
}

func NewDonchianChannel
func NewDonchianChannel[T helper.Number]() *DonchianChannel[T]

NewDonchianChannel function initializes a new Donchian Channel instance with the default parameters.

func NewDonchianChannelWithPeriod
func NewDonchianChannelWithPeriod[T helper.Number](period int) *DonchianChannel[T]

NewDonchianChannelWithPeriod function initializes a new Donchian Channel instance with the given period.

func (*DonchianChannel[T]) Compute
func (d *DonchianChannel[T]) Compute(c <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Donchian Channel over the specified period.

func (*DonchianChannel[T]) IdlePeriod
func (d *DonchianChannel[T]) IdlePeriod() int

IdlePeriod is the initial period that Donchian Channel won't yield any results.

type KeltnerChannel

KeltnerChannel represents the configuration parameters for calculating the Keltner Channel (KC). It provides volatility-based bands that are placed on either side of an asset's price and can aid in determining the direction of a trend.

Middle Line = EMA(period, closings)
Upper Band = EMA(period, closings) + 2 * ATR(period, highs, lows, closings)
Lower Band = EMA(period, closings) - 2 * ATR(period, highs, lows, closings)

Example:

dc := volatility.NewKeltnerChannel[float64]()
result := dc.Compute(highs, lows, closings)

type KeltnerChannel[T helper.Number] struct {
    // Atr is the ATR instance.
    Atr *Atr[T]

    // Ema is the EMA instance.
    Ema *trend.Ema[T]
}

func NewKeltnerChannel
func NewKeltnerChannel[T helper.Number]() *KeltnerChannel[T]

NewKeltnerChannel function initializes a new Keltner Channel instance with the default parameters.

func NewKeltnerChannelWithPeriod
func NewKeltnerChannelWithPeriod[T helper.Number](period int) *KeltnerChannel[T]

NewKeltnerChannelWithPeriod function initializes a new Keltner Channel instance with the given period.

func (*KeltnerChannel[T]) Compute
func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Keltner Channel over the specified period.

func (*KeltnerChannel[T]) IdlePeriod
func (k *KeltnerChannel[T]) IdlePeriod() int

IdlePeriod is the initial period that Keltner Channel won't yield any results.

type MovingStd

MovingStd represents the configuration parameters for calculating the Moving Standard Deviation over the specified period.

Std = Sqrt(1/Period * Sum(Pow(value - sma), 2))

type MovingStd[T helper.Number] struct {
    // Time period.
    Period int
}

func NewMovingStd
func NewMovingStd[T helper.Number]() *MovingStd[T]

NewMovingStd function initializes a new Moving Standard Deviation instance with the default parameters.

func NewMovingStdWithPeriod
func NewMovingStdWithPeriod[T helper.Number](period int) *MovingStd[T]

NewMovingStdWithPeriod function initializes a new Moving Standard Deviation instance with the given period.

func (*MovingStd[T]) Compute
func (m *MovingStd[T]) Compute(c <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Moving Standard Deviation over the specified period.

func (*MovingStd[T]) IdlePeriod
func (m *MovingStd[T]) IdlePeriod() int

IdlePeriod is the initial period that Moving Standard Deviation won't yield any results.

type Po

Po represents the configuration parameters for calculating the Projection Oscillator (PO). It uses the linear regression slope, along with highs and lows. Period defines the moving window to calculates the PO.

PL = Min(period, (high + MLS(period, x, high)))
PH = Max(period, (low + MLS(period, x, low)))
PO = 100 * (Closing - PL) / (PH - PL)

Example:

po := volatility.NewPo()
ps := po.Compute(highs, lows, closings)

type Po[T helper.Number] struct {
    // contains filtered or unexported fields
}

func NewPo
func NewPo[T helper.Number]() *Po[T]

NewPo function initializes a new PO instance with the default parameters.

func NewPoWithPeriod
func NewPoWithPeriod[T helper.Number](period int) *Po[T]

NewPoWithPeriod function initializes a new PO instance with the given period.

func (*Po[T]) Compute
func (p *Po[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the PO over the specified period.

func (*Po[T]) IdlePeriod
func (p *Po[T]) IdlePeriod() int

IdlePeriod is the initial period that PO won't yield any results.

type SuperTrend

SuperTrend represents the configuration parameters for calculating the Super Trend.

BasicUpperBands = (High + Low) / 2 + Multiplier * ATR
BasicLowerBands = (High + Low) / 2 - Multiplier * ATR
FinalUpperBands = If (BasicUpperBand < PreviousFinalUpperBand)
                  Or (PreviousClose > PreviousFinalUpperBand)
                  Then BasicUpperBand Else PreviousFinalUpperBand
FinalLowerBands = If (BasicLowerBand > PreviousFinalLowerBand)
                  Or (PreviousClose < PreviousFinalLowerBand)
                  Then BasicLowerBand Else PreviousFinalLowerBand
SuperTrend = If upTrend
			 Then
               If (Close <= FinalUpperBand) Then FinalUpperBand Else FinalLowerBand
             Else
               If (Close >= FinalLowerBand) Then FinalLowerBand Else FinalUpperBand

UpTrend = If (SuperTrend == FinalUpperBand) Then True Else False

Example:

type SuperTrend[T helper.Number] struct {
    Atr        *Atr[T]
    Multiplier T
}

func NewSuperTrend
func NewSuperTrend[T helper.Number]() *SuperTrend[T]

NewSuperTrend function initializes a new Super Trend instance with the default parameters.

func NewSuperTrendWithMa
func NewSuperTrendWithMa[T helper.Number](ma trend.Ma[T], multiplier T) *SuperTrend[T]

NewSuperTrendWithMa function initializes a new Super Trend instance with the given moving average instance and multiplier.

func NewSuperTrendWithPeriod
func NewSuperTrendWithPeriod[T helper.Number](period int, multiplier T) *SuperTrend[T]

NewSuperTrendWithPeriod initializes a new Super Trend instance with the given period and multiplier.

func (*SuperTrend[T]) Compute
func (s *SuperTrend[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function calculates the Super Trend, using separate channels for highs, lows, and closings.

func (*SuperTrend[T]) IdlePeriod
func (s *SuperTrend[T]) IdlePeriod() int

IdlePeriod is the initial period that Super Trend won't yield any results.

type UlcerIndex

UlcerIndex represents the configuration parameters for calculating the Ulcer Index (UI). It measures downside risk. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs.

High Closings = Max(period, Closings)
Percentage Drawdown = 100 * ((Closings - High Closings) / High Closings)
Squared Average = Sma(period, Percent Drawdown * Percent Drawdown)
Ulcer Index = Sqrt(Squared Average)

Example:

ui := volatility.NewUlcerIndex[float64]()
ui.Compute(closings)

type UlcerIndex[T helper.Number] struct {
    // Time period.
    Period int
}

func NewUlcerIndex
func NewUlcerIndex[T helper.Number]() *UlcerIndex[T]

NewUlcerIndex function initializes a new Ulcer Index instance with the default parameters.

func (*UlcerIndex[T]) Compute
func (u *UlcerIndex[T]) Compute(closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Ulcer Index over the specified period.

func (*UlcerIndex[T]) IdlePeriod
func (u *UlcerIndex[T]) IdlePeriod() int

IdlePeriod is the initial period that Ulcer Index won't yield any results.

Generated by gomarkdoc

Documentation

Overview

Package volatility contains the volatility indicator functions.

This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.

License 

Copyright (c) 2021-2024 Onur Cinar.
The source code is provided under GNU AGPLv3 License.
https://github.com/cinar/indicator

Disclaimer

The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

Index

Constants

View Source 
const (
	// DefaultChandelierExitPeriod is the default period for the Chandelier Exit.
	DefaultChandelierExitPeriod = 22

	// DefaultChandelierExitMultiplier is the default multiplier for the Chandelier Exit.
	DefaultChandelierExitMultiplier = 3
)
View Source 
const (
	// DefaultSuperTrendPeriod is the default period value.
	DefaultSuperTrendPeriod = 14

	// DefaultSuperTrendMultiplier is the default multiplier value.
	DefaultSuperTrendMultiplier = 2.5
)
View Source 
const (
	// DefaultAccelerationBandsPeriod is the default period for the Acceleration Bands.
	DefaultAccelerationBandsPeriod = 20
)
View Source 
const (
	// DefaultAtrPeriod is the default period for the Average True Range (ATR).
	DefaultAtrPeriod = 14
)
View Source 
const (
	// DefaultBollingerBandsPeriod is the default period for the Bollinger Bands.
	DefaultBollingerBandsPeriod = 20
)
View Source 
const (
	// DefaultDonchianChannelPeriod is the default period for the Donchian Channel.
	DefaultDonchianChannelPeriod = 20
)
View Source 
const (
	// DefaultKeltnerChannelPeriod is the default period for the Keltner Channel.
	DefaultKeltnerChannelPeriod = 20
)
View Source 
const (
	// DefaultPoPeriod is the default period for the Projection Oscillator (PO).
	DefaultPoPeriod = 14
)
View Source 
const (
	// DefaultUlcerIndexPeriod is the default period for the Ulcer Index.
	DefaultUlcerIndexPeriod = 14
)

Variables

This section is empty.

Functions

This section is empty.

Types

type AccelerationBands 

type AccelerationBands[T helper.Number] struct {
	// Time period.
	Period int
}

AccelerationBands represents the configuration parameters for calculating the Acceleration Bands. 

Upper Band = SMA(High * (1 + 4 * (High - Low) / (High + Low)))
Middle Band = SMA(Closing)
Lower Band = SMA(Low * (1 - 4 * (High - Low) / (High + Low)))

Example: 

accelerationBands := NewAccelerationBands[float64]()
accelerationBands.Compute(values)

func NewAccelerationBands 

func NewAccelerationBands[T helper.Number]() *AccelerationBands[T]

NewAccelerationBands function initializes a new Acceleration Bands instance with the default parameters.

func (*AccelerationBands[T]) Compute 

func (a *AccelerationBands[T]) Compute(high, low, closing <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Acceleration Bands over the specified period.

func (*AccelerationBands[T]) IdlePeriod 

func (a *AccelerationBands[T]) IdlePeriod() int

IdlePeriod is the initial period that Acceleration Bands won't yield any results.

type Atr 

type Atr[T helper.Number] struct {
	// Ma is the moving average for the ATR.
	Ma trend.Ma[T]
}

Atr represents the configuration parameters for calculating the Average True Range (ATR). It is a technical analysis indicator that measures market volatility by decomposing the entire range of stock prices for that period. 

TR = Max((High - Low), (High - Closing), (Closing - Low))
ATR = MA TR

By default, SMA is used as the MA.

Example: 

atr := volatility.NewAtr()
atr.Compute(highs, lows, closings)

func NewAtr 

func NewAtr[T helper.Number]() *Atr[T]

NewAtr function initializes a new ATR instance with the default parameters.

func NewAtrWithMa 

func NewAtrWithMa[T helper.Number](ma trend.Ma[T]) *Atr[T]

NewAtrWithMa function initializes a new ATR instance with the given moving average instance.

func NewAtrWithPeriod 

func NewAtrWithPeriod[T helper.Number](period int) *Atr[T]

NewAtrWithPeriod function initializes a new ATR instance with the given period.

func (*Atr[T]) Compute 

func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the ATR over the specified period.

func (*Atr[T]) IdlePeriod 

func (a *Atr[T]) IdlePeriod() int

IdlePeriod is the initial period that Acceleration Bands won't yield any results.

type BollingerBandWidth 

type BollingerBandWidth[T helper.Number] struct {
	// Bollinger bands.
	BollingerBands *BollingerBands[T]
}

BollingerBandWidth represents the configuration parameters for calculating the Bollinger Band Width. It measures the percentage difference between the upper band and the lower band. It decreases as Bollinger Bands narrows and increases as Bollinger Bands widens.

During a period of rising price volatity the band width widens, and during a period of low market volatity band width contracts. 

Band Width = (Upper Band - Lower Band) / Middle BollingerBandWidth

Example: 

bbw := NewBollingerBandWidth[float64]()
bbw.Compute(c)

func NewBollingerBandWidth 

func NewBollingerBandWidth[T helper.Number]() *BollingerBandWidth[T]

NewBollingerBandWidth function initializes a new Bollinger Band Width instance with the default parameters.

func (*BollingerBandWidth[T]) Compute 

func (b *BollingerBandWidth[T]) Compute(c <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Bollinger Band Width.

func (*BollingerBandWidth[T]) IdlePeriod 

func (b *BollingerBandWidth[T]) IdlePeriod() int

IdlePeriod is the initial period that Bollinger Band Width won't yield any results.

type BollingerBands 

type BollingerBands[T helper.Number] struct {
	// Time period.
	Period int
}

BollingerBands represents the configuration parameters for calculating the Bollinger Bands. It is a technical analysis tool used to gauge a market's volatility and identify overbought and oversold conditions. Returns the upper band, the middle band, and the lower band. 

Middle Band = 20-Period SMA.
Upper Band = 20-Period SMA + 2 (20-Period Std)
Lower Band = 20-Period SMA - 2 (20-Period Std)

Example: 

bollingerBands := NewBollingerBands[float64]()
bollingerBands.Compute(values)

func NewBollingerBands 

func NewBollingerBands[T helper.Number]() *BollingerBands[T]

NewBollingerBands function initializes a new Bollinger Bands instance with the default parameters.

func (*BollingerBands[T]) Compute 

func (b *BollingerBands[T]) Compute(c <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Bollinger Bands over the specified period.

func (*BollingerBands[T]) IdlePeriod 

func (b *BollingerBands[T]) IdlePeriod() int

IdlePeriod is the initial period that Bollinger Bands won't yield any results.

type ChandelierExit 

type ChandelierExit[T helper.Number] struct {
	// Period is time period.
	Period int

	// Multiplier is for sensitivity.
	Multiplier T
}

ChandelierExit represents the configuration parameters for calculating the Chandelier Exit. It sets a trailing stop-loss based on the Average True Value (ATR). 

Chandelier Exit Long = 22-Period SMA High - ATR(22) * 3
Chandelier Exit Short = 22-Period SMA Low + ATR(22) * 3

Example: 

ce := volatility.NewChandelierExit[float64]()
ceLong, ceShort := ce.Compute(highs, lows, closings)

func NewChandelierExit 

func NewChandelierExit[T helper.Number]() *ChandelierExit[T]

NewChandelierExit function initializes a new Chandelier Exit instance with the default parameters.

func (*ChandelierExit[T]) Compute 

func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Chandelier Exit over the specified period.

func (*ChandelierExit[T]) IdlePeriod 

func (c *ChandelierExit[T]) IdlePeriod() int

IdlePeriod is the initial period that Chandelier Exit won't yield any results.

type DonchianChannel 

type DonchianChannel[T helper.Number] struct {
	// Max is the Moving Max instance.
	Max *trend.MovingMax[T]

	// Min is the Moving Min instance.
	Min *trend.MovingMin[T]
}

DonchianChannel represents the configuration parameters for calculating the Donchian Channel (DC). It calculates three lines generated by moving average calculations that comprise an indicator formed by upper and lower bands around a midrange or median band. The upper band marks the highest price of an asset while the lower band marks the lowest price of an asset, and the area between the upper and lower bands represents the Donchian Channel. 

Upper Channel = Mmax(period, closings)
Lower Channel = Mmin(period, closings)
Middle Channel = (Upper Channel + Lower Channel) / 2

Example: 

dc := volatility.NewDonchianChannel[float64]()
result := dc.Compute(values)

func NewDonchianChannel 

func NewDonchianChannel[T helper.Number]() *DonchianChannel[T]

NewDonchianChannel function initializes a new Donchian Channel instance with the default parameters.

func NewDonchianChannelWithPeriod 

func NewDonchianChannelWithPeriod[T helper.Number](period int) *DonchianChannel[T]

NewDonchianChannelWithPeriod function initializes a new Donchian Channel instance with the given period.

func (*DonchianChannel[T]) Compute 

func (d *DonchianChannel[T]) Compute(c <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Donchian Channel over the specified period.

func (*DonchianChannel[T]) IdlePeriod 

func (d *DonchianChannel[T]) IdlePeriod() int

IdlePeriod is the initial period that Donchian Channel won't yield any results.

type KeltnerChannel 

type KeltnerChannel[T helper.Number] struct {
	// Atr is the ATR instance.
	Atr *Atr[T]

	// Ema is the EMA instance.
	Ema *trend.Ema[T]
}

KeltnerChannel represents the configuration parameters for calculating the Keltner Channel (KC). It provides volatility-based bands that are placed on either side of an asset's price and can aid in determining the direction of a trend. 

Middle Line = EMA(period, closings)
Upper Band = EMA(period, closings) + 2 * ATR(period, highs, lows, closings)
Lower Band = EMA(period, closings) - 2 * ATR(period, highs, lows, closings)

Example: 

dc := volatility.NewKeltnerChannel[float64]()
result := dc.Compute(highs, lows, closings)

func NewKeltnerChannel 

func NewKeltnerChannel[T helper.Number]() *KeltnerChannel[T]

NewKeltnerChannel function initializes a new Keltner Channel instance with the default parameters.

func NewKeltnerChannelWithPeriod 

func NewKeltnerChannelWithPeriod[T helper.Number](period int) *KeltnerChannel[T]

NewKeltnerChannelWithPeriod function initializes a new Keltner Channel instance with the given period.

func (*KeltnerChannel[T]) Compute 

func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <-chan T, <-chan T)

Compute function takes a channel of numbers and computes the Keltner Channel over the specified period.

func (*KeltnerChannel[T]) IdlePeriod 

func (k *KeltnerChannel[T]) IdlePeriod() int

IdlePeriod is the initial period that Keltner Channel won't yield any results.

type MovingStd 

type MovingStd[T helper.Number] struct {
	// Time period.
	Period int
}

MovingStd represents the configuration parameters for calculating the Moving Standard Deviation over the specified period. 

Std = Sqrt(1/Period * Sum(Pow(value - sma), 2))

func NewMovingStd 

func NewMovingStd[T helper.Number]() *MovingStd[T]

NewMovingStd function initializes a new Moving Standard Deviation instance with the default parameters.

func NewMovingStdWithPeriod 

func NewMovingStdWithPeriod[T helper.Number](period int) *MovingStd[T]

NewMovingStdWithPeriod function initializes a new Moving Standard Deviation instance with the given period.

func (*MovingStd[T]) Compute 

func (m *MovingStd[T]) Compute(c <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Moving Standard Deviation over the specified period.

func (*MovingStd[T]) IdlePeriod 

func (m *MovingStd[T]) IdlePeriod() int

IdlePeriod is the initial period that Moving Standard Deviation won't yield any results.

type Po 

type Po[T helper.Number] struct {
	// contains filtered or unexported fields
}

Po represents the configuration parameters for calculating the Projection Oscillator (PO). It uses the linear regression slope, along with highs and lows. Period defines the moving window to calculates the PO. 

PL = Min(period, (high + MLS(period, x, high)))
PH = Max(period, (low + MLS(period, x, low)))
PO = 100 * (Closing - PL) / (PH - PL)

Example: 

po := volatility.NewPo()
ps := po.Compute(highs, lows, closings)

func NewPo 

func NewPo[T helper.Number]() *Po[T]

NewPo function initializes a new PO instance with the default parameters.

func NewPoWithPeriod 

func NewPoWithPeriod[T helper.Number](period int) *Po[T]

NewPoWithPeriod function initializes a new PO instance with the given period.

func (*Po[T]) Compute 

func (p *Po[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the PO over the specified period.

func (*Po[T]) IdlePeriod 

func (p *Po[T]) IdlePeriod() int

IdlePeriod is the initial period that PO won't yield any results.

type SuperTrend 

type SuperTrend[T helper.Number] struct {
	Atr        *Atr[T]
	Multiplier T
}

SuperTrend represents the configuration parameters for calculating the Super Trend. 

BasicUpperBands = (High + Low) / 2 + Multiplier * ATR
BasicLowerBands = (High + Low) / 2 - Multiplier * ATR
FinalUpperBands = If (BasicUpperBand < PreviousFinalUpperBand)
                  Or (PreviousClose > PreviousFinalUpperBand)
                  Then BasicUpperBand Else PreviousFinalUpperBand
FinalLowerBands = If (BasicLowerBand > PreviousFinalLowerBand)
                  Or (PreviousClose < PreviousFinalLowerBand)
                  Then BasicLowerBand Else PreviousFinalLowerBand
SuperTrend = If upTrend
			 Then
               If (Close <= FinalUpperBand) Then FinalUpperBand Else FinalLowerBand
             Else
               If (Close >= FinalLowerBand) Then FinalLowerBand Else FinalUpperBand

UpTrend = If (SuperTrend == FinalUpperBand) Then True Else False

Example:

func NewSuperTrend 

func NewSuperTrend[T helper.Number]() *SuperTrend[T]

NewSuperTrend function initializes a new Super Trend instance with the default parameters.

func NewSuperTrendWithMa 

func NewSuperTrendWithMa[T helper.Number](ma trend.Ma[T], multiplier T) *SuperTrend[T]

NewSuperTrendWithMa function initializes a new Super Trend instance with the given moving average instance and multiplier.

func NewSuperTrendWithPeriod 

func NewSuperTrendWithPeriod[T helper.Number](period int, multiplier T) *SuperTrend[T]

NewSuperTrendWithPeriod initializes a new Super Trend instance with the given period and multiplier.

func (*SuperTrend[T]) Compute 

func (s *SuperTrend[T]) Compute(highs, lows, closings <-chan T) <-chan T

Compute function calculates the Super Trend, using separate channels for highs, lows, and closings.

func (*SuperTrend[T]) IdlePeriod 

func (s *SuperTrend[T]) IdlePeriod() int

IdlePeriod is the initial period that Super Trend won't yield any results.

type UlcerIndex 

type UlcerIndex[T helper.Number] struct {
	// Time period.
	Period int
}

UlcerIndex represents the configuration parameters for calculating the Ulcer Index (UI). It measures downside risk. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. 

High Closings = Max(period, Closings)
Percentage Drawdown = 100 * ((Closings - High Closings) / High Closings)
Squared Average = Sma(period, Percent Drawdown * Percent Drawdown)
Ulcer Index = Sqrt(Squared Average)

Example: 

ui := volatility.NewUlcerIndex[float64]()
ui.Compute(closings)

func NewUlcerIndex 

func NewUlcerIndex[T helper.Number]() *UlcerIndex[T]

NewUlcerIndex function initializes a new Ulcer Index instance with the default parameters.

func (*UlcerIndex[T]) Compute 

func (u *UlcerIndex[T]) Compute(closings <-chan T) <-chan T

Compute function takes a channel of numbers and computes the Ulcer Index over the specified period.

func (*UlcerIndex[T]) IdlePeriod 

func (u *UlcerIndex[T]) IdlePeriod() int

IdlePeriod is the initial period that Ulcer Index won't yield any results.

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