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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
44 lines
1.6 KiB
Plaintext
44 lines
1.6 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Average True Range Normalized (ATRN)", "ATRN", overlay=false, format=format.percent, precision=2)
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//@function Calculates the Average True Range Normalized (ATRN) relative to its maximum value over a longer period.
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//@param length The period length for the ATR calculation. The highest uses a length of 10 * length.
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//@returns The ATRN value, normalized relative to its maximum over the longer period.
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//@optimized Beta precomputation for RMA warmup compensation
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atrn(simple int length) =>
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if length <= 0
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runtime.error("Period must be greater than 0")
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var float prevClose = close
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float tr1 = high - low
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float tr2 = math.abs(high - prevClose)
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float tr3 = math.abs(low - prevClose)
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float trueRange = math.max(tr1, tr2, tr3)
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prevClose := close
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float alpha = 1.0 / float(length)
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float beta = 1.0 - alpha
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var float EPSILON = 1e-10
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var float raw_rma = 0.0
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var float e = 1.0
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float atrValue = na
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if not na(trueRange)
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raw_rma := (raw_rma * (length - 1) + trueRange) / length
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e *= beta
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atrValue := e > EPSILON ? raw_rma / (1.0 - e) : raw_rma
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int lookbackWindow = math.min(10 * length, bar_index + 1)
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float maxAtr = ta.highest(atrValue, lookbackWindow)
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float minAtr = ta.lowest(atrValue, lookbackWindow)
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minAtr < maxAtr ? (atrValue - minAtr) / (maxAtr - minAtr) : 0.5
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// ---------- Main loop ----------
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// Inputs
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i_length = input.int(14, "Length", minval=1, tooltip="Number of bars used for the ATR calculation")
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// Calculation
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atrnValue = atrn(i_length)
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// Plot
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plot(atrnValue, "ATRN", color=color.yellow, linewidth=2)
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