cones
Calculate the realized volatility quantiles over rolling windows of time.
The cones indicator is designed to map out the ebb and flow of price movements through a detailed analysis of volatility quantiles. By examining the range of volatility within specific time frames, it offers a nuanced view of market behavior, highlighting periods of stability and turbulence.
The model for calculating volatility is selectable and can be one of the following:
- Standard deviation
- Parkinson
- Garman-Klass
- Hodges-Tompkins
- Rogers-Satchell
- Yang-Zhang
Read more about it in the model parameter description.
Examples
from openbb import obb
# Realized Volatility Cones.
stock_data = obb.equity.price.historical(symbol='TSLA', start_date='2023-01-01', provider='yfinance')
cones_data = obb.technical.cones(data=stock_data.results, lower_q=0.25, upper_q=0.75, model='std')
obb.technical.cones(data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])
Parameters
- standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | List[Data] | The data to use for the calculation. | False | |
| index | str, optional | Index column name to use with data, by default "date" | False | |
| lower_q | float, optional | The lower quantile value for calculations | False | |
| upper_q | float, optional | The upper quantile value for calculations | False | |
| model | Literal["std", "parkinson", "garman_klass", "hodges_tompkins", "rogers_satchell", "yang_zhang"], optional | The model used to calculate realized volatility | False | |
| is_crypto | bool, optional | Whether the data is crypto or not. If True, volatility is calculated for 365 days instead of 252 | False | |
| trading_periods | Optional[int] [default: 252] | Number of trading periods in a year. | True |
Returns
OBBject
results : List[Data]
The cones data.