TrueRange

Description

The per-bar true-range quantity that accounts for overnight gaps:

\[ \text{TR}[t] = \max\big(\ H - L,\ \ |H - C_{t-1}|,\ \ |L - C_{t-1}|\ \big) \]

3-input, 1-output on (high, low, close). The first sample returns NaN (no previous close). Otherwise stateless. Bit-exact to talib.TRANGE.

NaN handling

Policy: ignore. A NaN in any input at index t causes the function to skip that step: output at t is NaN and internal state is unchanged. Subsequent finite samples are processed as if step t had not occurred.

Examples

Usage example

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import TrueRange

np.random.seed(0)
close = 100*np.exp(np.cumsum(np.random.normal(0, 0.01, size=300)))
open_ = np.concatenate([[close[0]], close[:-1]])
wick = np.abs(np.random.normal(0, 0.4, size=300))
high = np.maximum(open_, close) + wick
low  = np.minimum(open_, close) - wick
out = TrueRange()(high, low, close)

fig = make_subplots(rows=2, cols=1, shared_xaxes=True,
                    row_heights=[0.55, 0.45], vertical_spacing=0.08)
fig.add_trace(go.Scatter(y=high, name="high", line=dict(color="#888")), row=1, col=1)
fig.add_trace(go.Scatter(y=low, name="low", line=dict(color="#bbb")), row=1, col=1)
fig.add_trace(go.Scatter(y=close, name="close", line=dict(color="royalblue")), row=1, col=1)
fig.add_trace(go.Scatter(y=out, name="TrueRange", line=dict(color="red")), row=2, col=1)
fig.update_layout(title="True range per bar (TrueRange)",
                  margin=dict(l=20, r=20, t=60, b=20),
                  legend=dict(orientation="h", yanchor="bottom", y=1.02, xanchor="right", x=1))
fig.update_yaxes(title_text="price", row=1, col=1)
fig.update_yaxes(title_text="true range", row=2, col=1)
fig.show()