Class RogersSatchellVolatilityRTIndicator

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.RogersSatchellVolatilityRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class RogersSatchellVolatilityRTIndicator
extends AbstractWindowSeriesRTIndicator

Rogers-Satchell Volatility estimator with O(1) per-tick updates.

Uses the full OHLC bar to estimate volatility without assuming zero drift, making it more accurate than Parkinson and Garman-Klass for trending markets. Rogers & Satchell (1991) showed this estimator is unbiased regardless of the drift (mean return) of the underlying process.

The Rogers-Satchell variance for each bar is:

  RS_i = ln(H_i / C_i) * ln(H_i / O_i) + ln(L_i / C_i) * ln(L_i / O_i)

The rolling estimator averages over n bars:

  σ² = (1/n) * Σ RS_i

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

Annualization is supported via withAnnualizationFactor(double).

Constructor Summary

Constructors

Constructor	Description
RogersSatchellVolatilityRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getRogersSatchellVariance()	Returns the current Rogers-Satchell 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 — Rogers-Satchell 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 Rogers-Satchell volatility.
RogersSatchellVolatilityRTIndicator	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

RogersSatchellVolatilityRTIndicator

public RogersSatchellVolatilityRTIndicator(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 RogersSatchellVolatilityRTIndicator 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)

getRogersSatchellVariance

public double getRogersSatchellVariance()

Returns the current Rogers-Satchell variance (squared volatility, before annualization).

update

public double update(double newValue)

Not supported — Rogers-Satchell 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 Rogers-Satchell volatility.