gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-18 02:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Atr, FlowIndicator and fixes

Browse Source
This commit is contained in:
Miha Kralj
2024-10-21 16:06:47 -07:00
parent fbe4046b5d
commit e3d7cd9896
15 changed files with 335 additions and 189 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/volatility/Atr.cs
+21 -16
View File
@@ -4,13 +4,14 @@ namespace QuanTAlib;
/// Represents an Average True Range (ATR) calculator, a measure of market volatility.
/// </summary>
/// <remarks>
/// The ATR class calculates the average true range using an Exponential Moving Average (EMA)
/// The ATR class calculates the average true range using a Relative Moving Average (RMA)
/// of the true range. The true range is the greatest of: current high - current low,
/// absolute value of current high - previous close, or absolute value of current low - previous close.
/// </remarks>
public class Atr : AbstractBase
{
private readonly Ema _ma;
public double Tr { get; private set; }
private readonly Rma _ma;
private double _prevClose, _p_prevClose;
/// <summary>
@@ -26,7 +27,7 @@ public class Atr : AbstractBase
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
_ma = new(1.0 / period);
_ma = new(period, useSma: true);
WarmupPeriod = _ma.WarmupPeriod;
Name = $"ATR({period})";
}
@@ -50,6 +51,7 @@ public class Atr : AbstractBase
base.Init();
_ma.Init();
_prevClose = double.NaN;
Tr = 0;
}
/// <summary>
@@ -76,7 +78,7 @@ public class Atr : AbstractBase
/// The calculated ATR value for the current bar.
/// </returns>
/// <remarks>
/// This method calculates the true range for the current bar and then uses an EMA
/// This method calculates the true range for the current bar and then uses an RMA
/// to smooth the true range values. For the first bar, it uses the high-low range
/// as the true range.
/// </remarks>
@@ -84,22 +86,25 @@ public class Atr : AbstractBase
{
ManageState(BarInput.IsNew);
double trueRange = Math.Max(
Math.Max(
BarInput.High - BarInput.Low,
Math.Abs(BarInput.High - _prevClose)
),
Math.Abs(BarInput.Low - _prevClose)
);
if (_index < 2)
if (_index == 1)
{
trueRange = BarInput.High - BarInput.Low;
Tr = BarInput.High - BarInput.Low;
_prevClose = BarInput.Close;
}
else
{
Tr = Math.Max(
BarInput.High - BarInput.Low,
Math.Max(
Math.Abs(BarInput.High - _prevClose),
Math.Abs(BarInput.Low - _prevClose)
)
);
}
_ma.Calc(new TValue(Input.Time, Tr, BarInput.IsNew));
TValue emaTrueRange = _ma.Calc(new TValue(Input.Time, trueRange, Input.IsNew));
IsHot = _ma.IsHot;
_prevClose = BarInput.Close;
return emaTrueRange.Value;
return _ma.Value;
}
}