ATR

Description

Wilder-smoothed rolling average of TrueRange:

\[\begin{split} \begin{aligned} \text{ATR}[w] &= \frac{1}{w} \sum_{i=1}^{w} \text{TR}[i] \quad\text{(SMA seed)} \\ \text{ATR}[t] &= \frac{(w - 1) \cdot \text{ATR}[t - 1] + \text{TR}[t]}{w} \quad\text{for } t > w \end{aligned} \end{split}\]

3-input, 1-output on (high, low, close). First valid output at sample index window_size. Matches talib.ATR bit-exactly post-warmup.

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 ATR

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 = ATR(14)(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="ATR(14)", line=dict(color="red")), row=2, col=1)
fig.update_layout(title="Average true range (ATR)",
                  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="ATR", row=2, col=1)
fig.show()