Average True Range Wikipedia.
The True Range of a bar is max(high - low, |high - prev_close|, |low - prev_close|) (just high - low for the first bar). ATR is
Wilder's smoothed average (RMA) of the True Range series, seeded with
the SMA of the first period True Ranges — the standard TA-Lib
convention.
Bars are maps with at least :high, :low and :close; extra keys
are ignored. See TAlib for the remaining conventions: chronological
order, oldest first, series aligned with the input, nil when there is
not enough data.
Summary
Functions
Calculate the latest Average True Range.
Calculate the full ATR series.
Warm up streaming ATR state from history.
The Normalized ATR: ATR / close * 100, in percent.
Advance streaming ATR state by one bar (a map with at least :high,
:low and :close), in O(1).
The True Range of every bar: max(high - low, |high - prev_close|, |low - prev_close|) (high - low for the first bar).
Functions
@spec atr([map()], pos_integer()) :: float() | nil
Calculate the latest Average True Range.
Parameters
- bars: list of bars, oldest first.
- period: lookback window, a positive integer (default 14).
Examples
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.ATR.atr(bars, 2)
3.0@spec atr_list([map()], pos_integer()) :: [float() | nil]
Calculate the full ATR series.
Returns a list aligned with bars: the first period - 1 entries are
nil, and every later entry is the Wilder-smoothed average of the True
Ranges as of that point.
Parameters
- bars: list of bars, oldest first.
- period: lookback window, a positive integer (default 14).
Examples
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.ATR.atr_list(bars, 2)
[nil, nil, 3.0]@spec init([map()], pos_integer()) :: {TAlib.Indicators.ATR.State.t(), [float() | nil]}
Warm up streaming ATR state from history.
Returns {state, values} with values the full ATR series of
history (identical to atr_list/2), and state ready to continue
it one bar at a time in O(1) via next/2. History needs at least
period + 1 bars.
Examples
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> {state, values} = TAlib.Indicators.ATR.init(bars, 2)
iex> values
[nil, nil, 3.0]
iex> {_state, 3.5} = TAlib.Indicators.ATR.next(state, %{high: 14, low: 10, close: 11})@spec natr([map()], pos_integer()) :: float() | nil
The Normalized ATR: ATR / close * 100, in percent.
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.ATR.natr(bars, 2) |> Float.round(4)
25.0@spec next(TAlib.Indicators.ATR.State.t(), map()) :: {TAlib.Indicators.ATR.State.t(), float() | nil}
Advance streaming ATR state by one bar (a map with at least :high,
:low and :close), in O(1).
iex> {state, _} = TAlib.Indicators.ATR.init([%{high: 12, low: 8, close: 10}, %{high: 11, low: 9, close: 10}, %{high: 13, low: 9, close: 12}], 2)
iex> {_state, value} = TAlib.Indicators.ATR.next(state, %{high: 14, low: 10, close: 11})
iex> value
3.5The True Range of every bar: max(high - low, |high - prev_close|, |low - prev_close|) (high - low for the first bar).
iex> bars = [
...> %{high: 12, low: 8, close: 10},
...> %{high: 11, low: 9, close: 10},
...> %{high: 13, low: 9, close: 12}
...> ]
iex> TAlib.Indicators.ATR.true_range(bars)
[4, 2, 4]