def average_true_range(close_data, period):
"""
Average True Range.
Formula:
ATRt = ATRt-1 * (n - 1) + TRt / n
"""
tr = true_range(close_data, period)
atr = smoothed_moving_average(tr, period)
atr[0:period - 1] = tr[0:period - 1]
return atr
def average_true_range(close_data, period):
"""
Average True Range.
Formula:
ATRt = ATRt-1 * (n - 1) + TRt / n
"""
tr = true_range(close_data, period)
atr = np.zeros(len(tr))
atr[0:period - 1] = tr[0:period - 1]
atr[period - 1:period - 1 + period - 1] = tr[0:period - 1]
atr[period - 1 + period - 1] = ((1 / float(period)) *
sum(tr[period - 1:period - 1 + period]))
for idx in range(period - 1 + period, len(tr)):
atr[idx] = (atr[idx - 1] * (period - 1) + tr[idx]) / period
return atr
def test_true_range_invalid_period(self):
period = 128
with self.assertRaises(Exception) as cm:
true_range.true_range(self.close_data, period)
expected = "Error: data_len < period"
self.assertEqual(str(cm.exception), expected)
def test_true_range_period_10(self):
period = 10
tr = true_range.true_range(self.close_data, period)
np.testing.assert_array_equal(tr, self.tr_period_10_expected)