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Contents
# lib/sqa/indicator/average_true_range.rb
# See Also: true_range
class SQA::Indicator; class << self
def average_true_range(
high_prices, # Array of the day's high price
low_prices, # Array of the day's low price
close_prices, # Array of the day's closing price
period # Integer the number of days to consider
)
true_ranges = true_range(high_prices, low_prices, close_prices)
atr_values = []
# debug_me{[ :period, :true_ranges ]}
window_span = period - 1
true_ranges.size.times do |inx|
start_inx = inx - window_span
end_inx = start_inx + window_span
start_inx = 0 if start_inx < 0
window = true_ranges[start_inx..end_inx]
# debug_me{[
# :inx,
# :start_inx,
# :end_inx,
# :window,
# "window.mean"
# ]}
atr_values << window.mean
end
atr_values # Array
end
alias_method :atr, :average_true_range
end; end
Version data entries
20 entries across 20 versions & 1 rubygems