lib/quant.rb in quant-0.0.3 vs lib/quant.rb in quant-0.0.4

@@ -28,9 +28,32 @@
       end
     end
     dc
   end
 
+  def self.tr(ohlc)
+    tr = []
+    ohlc.each_with_index do |e, i|
+      tr << if i == 0
+        not_a_number
+      else
+        high       = e[1]
+        low        = e[2]
+        last_close = ohlc[i - 1][3]
+        [ high - low, (high - last_close).abs, (last_close - low).abs ].max
+      end
+    end
+    tr
+  end
+
+  def self.atr(ohlc, n)
+    tr = tr(ohlc)
+    tr.delete_if{ |e| e.nan? }
+    a = sma(tr, n)
+    0.upto(ohlc.length - tr.length - 1) { a.unshift(not_a_number) } if ohlc.length > tr.length
+    a
+  end
+
   private
 
   def self.not_a_number
     0 / 0.0
   end