Module backtrader.indicators.atr

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, Max, Min, MovAv


class TrueHigh(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR

    Records the "true high" which is the maximum of today's high and
    yesterday's close

    Formula:
      - truehigh = max(high, close_prev)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truehigh',)

    def __init__(self):
        self.lines.truehigh = Max(self.data.high, self.data.close(-1))
        super(TrueHigh, self).__init__()


class TrueLow(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR

    Records the "true low" which is the minimum of today's low and
    yesterday's close

    Formula:
      - truelow = min(low, close_prev)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truelow',)

    def __init__(self):
        self.lines.truelow = Min(self.data.low, self.data.close(-1))
        super(TrueLow, self).__init__()


class TrueRange(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book New Concepts in
    Technical Trading Systems.

    Formula:
      - max(high - low, abs(high - prev_close), abs(prev_close - low)

      which can be simplified to

      - max(high, prev_close) - min(low, prev_close)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range

    The idea is to take the previous close into account to calculate the range
    if it yields a larger range than the daily range (High - Low)
    '''
    alias = ('TR',)

    lines = ('tr',)

    def __init__(self):
        self.lines.tr = TrueHigh(self.data) - TrueLow(self.data)
        super(TrueRange, self).__init__()


class AverageTrueRange(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"*.

    The idea is to take the close into account to calculate the range if it
    yields a larger range than the daily range (High - Low)

    Formula:
      - SmoothedMovingAverage(TrueRange, period)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    alias = ('ATR',)

    lines = ('atr',)
    params = (('period', 14), ('movav', MovAv.Smoothed))

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.atr = self.p.movav(TR(self.data), period=self.p.period)
        super(AverageTrueRange, self).__init__()

Classes

class ATR

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

The idea is to take the close into account to calculate the range if it yields a larger range than the daily range (High - Low)

Formula

  • SmoothedMovingAverage(TrueRange, period)

See

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class AverageTrueRange

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems".

The idea is to take the close into account to calculate the range if it yields a larger range than the daily range (High - Low)

Formula

  • SmoothedMovingAverage(TrueRange, period)

See

Expand source code 
class AverageTrueRange(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"*.

    The idea is to take the close into account to calculate the range if it
    yields a larger range than the daily range (High - Low)

    Formula:
      - SmoothedMovingAverage(TrueRange, period)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    alias = ('ATR',)

    lines = ('atr',)
    params = (('period', 14), ('movav', MovAv.Smoothed))

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.atr = self.p.movav(TR(self.data), period=self.p.period)
        super(AverageTrueRange, self).__init__()

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class TR

Defined by J. Welles Wilder, Jr. in 1978 in his book New Concepts in Technical Trading Systems.

Formula

  • max(high - low, abs(high - prev_close), abs(prev_close - low)

which can be simplified to

  • max(high, prev_close) - min(low, prev_close)

See

The idea is to take the previous close into account to calculate the range if it yields a larger range than the daily range (High - Low)

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class TrueHigh

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the ATR

Records the "true high" which is the maximum of today's high and yesterday's close

Formula

  • truehigh = max(high, close_prev)

See

Expand source code 
class TrueHigh(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR

    Records the "true high" which is the maximum of today's high and
    yesterday's close

    Formula:
      - truehigh = max(high, close_prev)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truehigh',)

    def __init__(self):
        self.lines.truehigh = Max(self.data.high, self.data.close(-1))
        super(TrueHigh, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class TrueLow

Defined by J. Welles Wilder, Jr. in 1978 in his book "New Concepts in Technical Trading Systems" for the ATR

Records the "true low" which is the minimum of today's low and yesterday's close

Formula

  • truelow = min(low, close_prev)

See

Expand source code 
class TrueLow(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR

    Records the "true low" which is the minimum of today's low and
    yesterday's close

    Formula:
      - truelow = min(low, close_prev)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truelow',)

    def __init__(self):
        self.lines.truelow = Min(self.data.low, self.data.close(-1))
        super(TrueLow, self).__init__()

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class TrueRange

Defined by J. Welles Wilder, Jr. in 1978 in his book New Concepts in Technical Trading Systems.

Formula

  • max(high - low, abs(high - prev_close), abs(prev_close - low)

which can be simplified to

  • max(high, prev_close) - min(low, prev_close)

See

The idea is to take the previous close into account to calculate the range if it yields a larger range than the daily range (High - Low)

Expand source code 
class TrueRange(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book New Concepts in
    Technical Trading Systems.

    Formula:
      - max(high - low, abs(high - prev_close), abs(prev_close - low)

      which can be simplified to

      - max(high, prev_close) - min(low, prev_close)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range

    The idea is to take the previous close into account to calculate the range
    if it yields a larger range than the daily range (High - Low)
    '''
    alias = ('TR',)

    lines = ('tr',)

    def __init__(self):
        self.lines.tr = TrueHigh(self.data) - TrueLow(self.data)
        super(TrueRange, self).__init__()

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members