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Miha Kralj
2026-01-31 14:05:53 -08:00
parent 51e885a4a6
commit 5ed4b6c0fc
102 changed files with 2883 additions and 593 deletions
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lib/volatility/atrn/Atrn.cs
+4 -10
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@@ -7,18 +7,12 @@ namespace QuanTAlib;
/// ATRN: Average True Range Normalized
/// </summary>
/// <remarks>
/// ATRN normalizes the ATR to a [0,1] range using min-max scaling over a lookback window.
/// This makes volatility comparable across different price scales and time periods.
/// ATR normalized to [0,1] via min-max scaling over 10×period lookback.
/// Enables cross-asset volatility comparison regardless of price scale.
///
/// Calculation:
/// 1. Calculate ATR using RMA smoothing
/// 2. Find min/max ATR over lookback window (10 * period)
/// 3. Normalize: (ATR - minATR) / (maxATR - minATR)
/// 4. If maxATR equals minATR, return 0.5
///
/// Sources:
/// Derived from ATR by J. Welles Wilder, normalized for cross-asset comparison.
/// Calculation: <c>ATRN = (ATR - minATR) / (maxATR - minATR)</c>.
/// </remarks>
/// <seealso href="Atrn.md">Detailed documentation</seealso>
[SkipLocalsInit]
public sealed class Atrn : AbstractBase
{