Class YangZhangVolatilityRTIndicator

java.lang.Object

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

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

All Implemented Interfaces:

Resettable, RTIndicator

public class YangZhangVolatilityRTIndicator
extends AbstractRTIndicator

Yang-Zhang Volatility estimator with O(1) per-tick updates.

Combines overnight (close-to-open), open-to-close, and Rogers-Satchell variance components into the most efficient OHLC-based estimator, ~14x more efficient than close-to-close (Yang & Zhang 2000).

The Yang-Zhang variance is:

  σ²_YZ = σ²_overnight + k * σ²_close-open + (1 - k) * σ²_RS

where:

• σ²_overnight = sample variance of ln(Open_i / Close_{i-1})
• σ²_close-open = sample variance of ln(Close_i / Open_i)
• σ²_RS = Rogers-Satchell variance (population)
• k = 0.34 / (1.34 + (n+1)/(n-1))

Maintains three parallel WindowSeriesStore instances with five accumulators (sumO, sumOSq, sumC, sumCSq, sumRS). The first OHLC bar establishes the initial close — computation starts from the second bar.

Annualization is supported via withAnnualizationFactor(double).

Constructor Summary

Constructors

Constructor	Description
YangZhangVolatilityRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
int	getPeriods()
double	getYangZhangVariance()	Returns the current Yang-Zhang variance (squared volatility, before annualization).
boolean	isReady()	Returns whether this indicator has received enough data to produce meaningful values.
void	reset()
double	update(double newValue)	Not supported — Yang-Zhang 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 Yang-Zhang volatility.
YangZhangVolatilityRTIndicator	withAnnualizationFactor(double factor)	Sets the annualization factor.

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

YangZhangVolatilityRTIndicator

public YangZhangVolatilityRTIndicator(int periods)

Method Details

getPeriods

public int getPeriods()

isReady

public boolean isReady()

Description copied from interface: RTIndicator

Returns whether this indicator has received enough data to produce meaningful values.

During the warmup period, RTIndicator.getValue() may return 0 or a partial estimate that should not be used for trading decisions. Once this method returns true, the indicator's output is statistically valid.

The default implementation returns true for backward compatibility. Indicators with warmup requirements should override this method.

For composite indicators (e.g. Bollinger Bands, MACD), readiness is determined by the slowest internal component.

Returns:

true if the indicator has completed its warmup period

withAnnualizationFactor

public YangZhangVolatilityRTIndicator withAnnualizationFactor(double factor)

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

getYangZhangVariance

public double getYangZhangVariance()

Returns the current Yang-Zhang variance (squared volatility, before annualization).

update

public double update(double newValue)

Not supported — Yang-Zhang 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 Yang-Zhang volatility.

reset

public void reset()

Specified by:

reset in interface Resettable

Overrides:

reset in class AbstractRTIndicator