Struct GarmanKlassVolatilityEngine 

pub struct GarmanKlassVolatilityEngine { /* private fields */ }

Garman-Klass volatility from open, high, low and close, annualised, in percent.

Per bar 0.5 * ln(high/low)^2 - (2 ln 2 - 1) * ln(close/open)^2, floored at zero and skipped for non-positive prices; the mean over the last period bars is rooted, annualised with sqrt(252) and scaled by 100.

First output: with the period-th bar. Indicator::reset clears the window.

Implementations

impl GarmanKlassVolatilityEngine

pub fn new(period: usize) -> Self

Trait Implementations

impl Indicator for GarmanKlassVolatilityEngine

fn name(&self) -> &str

fn warmup_period(&self) -> usize

fn reset(&mut self)

fn on_bar(&mut self, bar: &Bar) -> Option<IndicatorOutput>

fn alerts(&self) -> Vec<IndicatorAlert>

fn on_checked_bar( &mut self, bar: &Bar, ) -> Result<Option<IndicatorOutput>, BarValidationError>

Validates a bar before forwarding it to Indicator::on_bar.