New indicator: ATR

src/naiback/indicators/__init__.py

@@ -4,3 +4,4 @@ from .rsi import RSI
 from .intradaybarnumber import IntradayBarNumber
 from .highest import Highest,HighestValue
 from .lowest import Lowest,LowestValue
+from .atr import ATR

src/naiback/indicators/atr.py

@@ -0,0 +1,20 @@
+
+import numpy as np
+
+def ATR(bars, period):
+    tr = np.zeros(len(bars.close))
+
+    if len(bars.close) == 0:
+        return np.array([])
+
+    tr[0] = bars.high[0] - bars.low[0]
+    for i in range(1, len(bars.close)):
+        tr[i] = max(bars.high[i] - bars.low[i], abs(bars.high[i] - bars.close[i - 1]), abs(bars.low[i] - bars.close[i - 1]))
+
+    atr = np.zeros(len(bars.close))
+    if len(bars.close) <= period:
+        return atr
+    atr[period - 1] = sum(tr[0:period]) / period
+    for i in range(period, len(bars.close)):
+        atr[i] = (atr[i - 1] * (period - 1) + tr[i]) / period
+    return atr