namespace QuanTAlib; /// /// Represents an Average True Range (ATR) calculator, a measure of market volatility. /// /// /// The ATR class calculates the average true range using an Exponential Moving Average (EMA) /// 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. /// public class Atr : AbstractBarBase { private readonly Ema _ma; private double _prevClose, _p_prevClose; /// /// Initializes a new instance of the Atr class with the specified period. /// /// The period over which to calculate the ATR. /// /// Thrown when period is less than 1. /// public Atr(int period) { if (period < 1) { throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1."); } _ma = new(1.0/period); WarmupPeriod = _ma.WarmupPeriod; Name = $"ATR({period})"; } /// /// Initializes a new instance of the Atr class with the specified source and period. /// /// The source object to subscribe to for bar updates. /// The period over which to calculate the ATR. public Atr(object source, int period) : this(period) { var pubEvent = source.GetType().GetEvent("Pub"); pubEvent?.AddEventHandler(source, new BarSignal(Sub)); } /// /// Initializes the Atr instance by setting up the initial state. /// public override void Init() { base.Init(); _ma.Init(); _prevClose = double.NaN; } /// /// Manages the state of the Atr instance based on whether a new bar is being processed. /// /// Indicates whether the current input is a new bar. protected override void ManageState(bool isNew) { if (isNew) { _index++; _p_prevClose = _prevClose; } else { _prevClose = _p_prevClose; } } /// /// Performs the ATR calculation for the current bar. /// /// /// The calculated ATR value for the current bar. /// /// /// This method calculates the true range for the current bar and then uses an EMA /// to smooth the true range values. For the first bar, it uses the high-low range /// as the true range. /// protected override double Calculation() { ManageState(Input.IsNew); double trueRange = Math.Max( Math.Max( Input.High - Input.Low, Math.Abs(Input.High - _prevClose) ), Math.Abs(Input.Low - _prevClose) ); if (_index < 2) { trueRange = Input.High - Input.Low; } TValue emaTrueRange = _ma.Calc(new TValue(Input.Time, trueRange, Input.IsNew)); IsHot = _ma.IsHot; _prevClose = Input.Close; return emaTrueRange.Value; } }