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