Class GarmanKlassVolatilityRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.core.AbstractWindowSeriesRTIndicator

com.wualabs.qtsurfer.engine.indicators.statistics.pro.volatility.GarmanKlassVolatilityRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class GarmanKlassVolatilityRTIndicator
extends AbstractWindowSeriesRTIndicator

Garman-Klass Volatility estimator with O(1) per-tick updates.

Uses the full OHLC bar to estimate volatility, incorporating both the high-low range and the open-close movement. Garman & Klass (1980) showed this estimator is ~7.4x more efficient than the classical close-to-close estimator, and more efficient than Parkinson's range-based estimator because it also captures overnight drift.

The Garman-Klass variance for each bar is:

  GK_i = 0.5 * ln(H_i / L_i)² - (2 * ln(2) - 1) * ln(C_i / O_i)²

The rolling estimator averages over n bars:

  σ² = (1/n) * Σ GK_i

Maintains a single accumulator (sumGK) over a window storing per-bar GK values. On eviction the accumulator is decremented.

Annualization is supported via withAnnualizationFactor(double).

Constructor Summary

Constructors

Constructor	Description
GarmanKlassVolatilityRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getGarmanKlassVariance()	Returns the current Garman-Klass variance (squared volatility, before annualization).
protected void	onEvict(double evicted)	Called when the window evicts the oldest value.
protected void	onReset()	Called after window is cleared.
double	update(double newValue)	Not supported — Garman-Klass requires OHLC inputs.
double	update(double open, double high, double low, double close)	Updates the indicator with a new OHLC bar and returns the current Garman-Klass volatility.
GarmanKlassVolatilityRTIndicator	withAnnualizationFactor(double factor)	Sets the annualization factor.

Methods inherited from class AbstractWindowSeriesRTIndicator

getPeriods, isReady, reset, window, windowSize

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getId, isHidden, ro, update, update

Constructor Details

GarmanKlassVolatilityRTIndicator

public GarmanKlassVolatilityRTIndicator(int periods)

Method Details

onEvict

protected void onEvict(double evicted)

Description copied from class: AbstractWindowSeriesRTIndicator

Called when the window evicts the oldest value. Override to update accumulators.

Overrides:

onEvict in class AbstractWindowSeriesRTIndicator

onReset

protected void onReset()

Description copied from class: AbstractWindowSeriesRTIndicator

Called after window is cleared. Override to zero accumulators.

Overrides:

onReset in class AbstractWindowSeriesRTIndicator

withAnnualizationFactor

public GarmanKlassVolatilityRTIndicator withAnnualizationFactor(double factor)

Sets the annualization factor. The output is multiplied by this factor.

Common values:

• Math.sqrt(252) — daily bars (trading days/year)
• Math.sqrt(365) — daily bars (calendar days/year)

getGarmanKlassVariance

public double getGarmanKlassVariance()

Returns the current Garman-Klass variance (squared volatility, before annualization).

update

public double update(double newValue)

Not supported — Garman-Klass requires OHLC inputs. Use update(double, double, double, double).

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator

Throws:

UnsupportedOperationException - always

update

public double update(double open,
 double high,
 double low,
 double close)

Updates the indicator with a new OHLC bar and returns the current Garman-Klass volatility.