This indicator computes the Rogers-Satchell Volatility It is an estimator for measuring the volatility of securities with an average return not equal to zero. More...
Public Member Functions | |
| RogersSatchellVolatility (int period) | |
| Initializes a new instance of the RogersSatchellVolatility class using the specified parameters More... | |
| RogersSatchellVolatility (string name, int period) | |
| Initializes a new instance of the RogersSatchellVolatility class using the specified parameters More... | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| override bool | IsReady => Samples >= _period |
| Gets a flag indicating when this indicator is ready and fully initialized More... | |
| int | WarmUpPeriod => _period |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IBaseDataBar input) |
| Computes the next value of this indicator from the given state More... | |
 Protected Member Functions inherited from QuantConnect.Indicators.BarIndicator | |
| BarIndicator (string name) | |
| Creates a new TradeBarIndicator with the specified name More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
This indicator computes the Rogers-Satchell Volatility It is an estimator for measuring the volatility of securities with an average return not equal to zero.
Definition at line 26 of file RogersSatchellVolatility.cs.
Constructor & Destructor Documentation
◆ RogersSatchellVolatility() [1/2]
| QuantConnect.Indicators.RogersSatchellVolatility.RogersSatchellVolatility | ( | int | period | ) |
Initializes a new instance of the RogersSatchellVolatility class using the specified parameters
- Parameters
-
period The period of moving window
Definition at line 45 of file RogersSatchellVolatility.cs.
◆ RogersSatchellVolatility() [2/2]
| QuantConnect.Indicators.RogersSatchellVolatility.RogersSatchellVolatility | ( | string | name, |
| int | period | ||
| ) |
Initializes a new instance of the RogersSatchellVolatility class using the specified parameters
- Parameters
-
name The name of this indicator period The period of moving window
Definition at line 55 of file RogersSatchellVolatility.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value of this indicator from the given state
- Parameters
-
input The input given to the indicator
- Returns
- A new value for this indicator
Definition at line 67 of file RogersSatchellVolatility.cs.
◆ Reset()
| override void QuantConnect.Indicators.RogersSatchellVolatility.Reset | ( | ) |
Resets this indicator to its initial state
Definition at line 93 of file RogersSatchellVolatility.cs.
Member Data Documentation
◆ IsReady
| override bool QuantConnect.Indicators.RogersSatchellVolatility.IsReady => Samples >= _period |
Gets a flag indicating when this indicator is ready and fully initialized
Definition at line 34 of file RogersSatchellVolatility.cs.
◆ WarmUpPeriod
| int QuantConnect.Indicators.RogersSatchellVolatility.WarmUpPeriod => _period |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 39 of file RogersSatchellVolatility.cs.
The documentation for this class was generated from the following file:
- Indicators/RogersSatchellVolatility.cs
