Pratik Bhadane
117 lines
2.5 KiB
Python
117 lines
2.5 KiB
Python
"""
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Volatility Indicators — Measure the magnitude of price fluctuations.
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Functions
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---------
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ATR — Average True Range
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NATR — Normalized Average True Range
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TRANGE — True Range
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"""
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from __future__ import annotations
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import numpy as np
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from numpy.typing import ArrayLike
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from ferro_ta._ferro_ta import (
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atr as _atr,
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)
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from ferro_ta._ferro_ta import (
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natr as _natr,
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)
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from ferro_ta._ferro_ta import (
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trange as _trange,
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)
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from ferro_ta._utils import _to_f64
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from ferro_ta.core.exceptions import _normalize_rust_error
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def ATR(
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high: ArrayLike,
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low: ArrayLike,
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close: ArrayLike,
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timeperiod: int = 14,
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) -> np.ndarray:
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"""Average True Range.
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Parameters
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----------
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high : array-like
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Sequence of high prices.
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low : array-like
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Sequence of low prices.
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close : array-like
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Sequence of closing prices.
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timeperiod : int, optional
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Smoothing period (default 14).
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Returns
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-------
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numpy.ndarray
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Array of ATR values; leading ``timeperiod - 1`` entries are ``NaN``.
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"""
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try:
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return _atr(_to_f64(high), _to_f64(low), _to_f64(close), timeperiod)
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except ValueError as e:
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_normalize_rust_error(e)
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def NATR(
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high: ArrayLike,
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low: ArrayLike,
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close: ArrayLike,
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timeperiod: int = 14,
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) -> np.ndarray:
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"""Normalized Average True Range.
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Parameters
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----------
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high : array-like
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Sequence of high prices.
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low : array-like
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Sequence of low prices.
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close : array-like
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Sequence of closing prices.
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timeperiod : int, optional
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Smoothing period (default 14).
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Returns
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-------
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numpy.ndarray
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Array of NATR values (percentage); leading ``timeperiod - 1`` entries are ``NaN``.
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"""
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try:
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return _natr(_to_f64(high), _to_f64(low), _to_f64(close), timeperiod)
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except ValueError as e:
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_normalize_rust_error(e)
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def TRANGE(
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high: ArrayLike,
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low: ArrayLike,
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close: ArrayLike,
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) -> np.ndarray:
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"""True Range.
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Parameters
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----------
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high : array-like
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Sequence of high prices.
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low : array-like
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Sequence of low prices.
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close : array-like
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Sequence of closing prices.
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Returns
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-------
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numpy.ndarray
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Array of True Range values.
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"""
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try:
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return _trange(_to_f64(high), _to_f64(low), _to_f64(close))
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except ValueError as e:
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_normalize_rust_error(e)
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__all__ = ["ATR", "NATR", "TRANGE"]
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