Struct YangZhangVolatility 

pub struct YangZhangVolatility { /* private fields */ }

Yang-Zhang Volatility — combines overnight, open-to-close and Rogers-Satchell volatilities into a single drift- and gap-robust estimator.

Yang & Zhang (2000) showed that the three estimators below are independent under a driftless GBM with overnight gaps, so a convex combination of their (sample) variances has minimum estimation variance at a specific blending factor k:

k        = 0.34 / (1.34 + (n + 1) / (n − 1))
σ²_on    = sample_var(ln(O_t / C_{t-1})    over n bars)         // overnight
σ²_oc    = sample_var(ln(C_t / O_t)        over n bars)         // open-to-close
σ²_rs    = mean(ln(H/C)·ln(H/O) + ln(L/C)·ln(L/O) over n bars)  // Rogers-Satchell
σ²_YZ    = σ²_on + k · σ²_oc + (1 − k) · σ²_rs
out      = √max(σ²_YZ, 0) · √trading_periods · 100

The “sample” variance uses Bessel’s correction (divisor n − 1), the same convention as HistoricalVolatility.

This is the gold-standard OHLC estimator for assets with both overnight gaps and intraday drift — equities, futures, and any market that doesn’t trade continuously. For pure intraday data (where C_{t-1} == O_t), the overnight term vanishes and Rogers-Satchell alone is sufficient.

Example

use wickra_core::{Candle, Indicator, YangZhangVolatility};

let mut indicator = YangZhangVolatility::new(20, 252).unwrap();
let mut last = None;
for i in 0..40 {
    let base = 100.0 + f64::from(i);
    let candle = Candle::new(base, base + 2.0, base - 2.0, base + 0.5, 1.0, i64::from(i))
        .unwrap();
    last = indicator.update(candle);
}
assert!(last.is_some());

Implementations

impl YangZhangVolatility

pub fn new(period: usize, trading_periods: usize) -> Result<Self>

Construct a Yang-Zhang Volatility estimator.

period is the rolling window of bars; trading_periods is the annualisation factor (252 daily, 52 weekly, 12 monthly, or 1 for raw per-bar volatility).

Errors

Returns Error::PeriodZero if either parameter is 0, or Error::InvalidPeriod if period < 2 (the sample variances inside Yang-Zhang need at least two samples).

pub const fn periods(&self) -> (usize, usize)

Configured (period, trading_periods).

pub const fn value(&self) -> Option<f64>

Current value if available.

pub const fn k(&self) -> f64

The Yang-Zhang blending factor k for this configuration.

Trait Implementations

impl Clone for YangZhangVolatility

fn clone(&self) -> YangZhangVolatility

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for YangZhangVolatility

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Indicator for YangZhangVolatility

type Input = Candle

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, candle: Candle) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.