atr¶

Defined in fynance.features.ohlcv

atr(high, low=None, close=None, w=14)[source]

Average True Range (Wilder), causal.

The true range \(TR_t = \max(H_t - L_t, |H_t - C_{t-1}|, |L_t - C_{t-1}|)\) smoothed by a Wilder moving average of window w.

Parameters:

high, low, closearray-like, or high = OHLCV: High/Low/Close series, or a single OHLCV.
wint, optional: Smoothing window. Default 14.

Returns:

numpy.ndarray: ATR series, >= 0, aligned with the input.

Raises:

ValueError: If w < 1, or if low / close are missing without an OHLCV first argument.

Examples

>>> import numpy as np
>>> h = np.array([10., 11., 12., 11.5])
>>> low = np.array([9., 9.5, 11., 10.5])
>>> c = np.array([9.5, 10.5, 11.5, 11.])
>>> atr(h, low, c, w=2).round(4)
array([1.    , 1.25  , 1.375 , 1.1875])