Struct HistoricalVolatilityEngine 

pub struct HistoricalVolatilityEngine { /* private fields */ }

Historical volatility: the annualised standard deviation of log returns, in percent.

Over the last period + 1 closes, the period log returns ln(close_t / close_{t-1}) (0 for a non-positive price) give a sample standard deviation (divisor period - 1, at least 1), annualised with sqrt(252) and scaled by 100.

First output: with the period + 1-th bar. Indicator::reset clears the window.

Implementations

impl HistoricalVolatilityEngine

pub fn new(period: usize) -> Self

Trait Implementations

impl Indicator for HistoricalVolatilityEngine

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.