Class: DhanHQ::Indicators::ATR

Inherits:
Object
  • Object
show all
Defined in:
lib/DhanHQ/indicators.rb

Overview

Average True Range (ATR)

Volatility indicator measuring market volatility.

Examples:

Calculate ATR

ohlc = [
  { open: 100, high: 105, low: 98, close: 103 },
  { open: 103, high: 108, low: 101, close: 106 },
  ...
]
atr = DhanHQ::Indicators::ATR.calculate(ohlc, period: 14)

Class Method Summary collapse

Class Method Details

.calculate(data, period: 14) ⇒ Array<Float>

Calculate ATR for the given OHLC data.

Parameters:

  • data (Array<Hash>) —

    Array of OHLC hashes with :open, :high, :low, :close

  • period (Integer) (defaults to: 14) —

    Number of periods (default: 14)

Returns:

  • (Array<Float>) —

    ATR values (nil for insufficient data points)



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# File 'lib/DhanHQ/indicators.rb', line 248

def self.calculate(data, period: 14)
  return [] if data.nil? || data.empty? || period < 1
  return [] if data.length < 2

  # Calculate true ranges
  true_ranges = data.each_cons(2).map do |prev, curr|
    high = curr[:high] || curr["high"]
    low = curr[:low] || curr["low"]
    prev_close = prev[:close] || prev["close"]

    [high - low, (high - prev_close).abs, (low - prev_close).abs].max
  end

  # Calculate ATR using smoothed average
  atr_values = [nil] # First value has no true range

  # First ATR is simple average
  if true_ranges.length >= period
    first_atr = true_ranges[0...period].sum.to_f / period
    atr_values.concat(Array.new(period - 1, nil))
    atr_values << first_atr

    # Subsequent ATRs use smoothing
    true_ranges[period..].each do |tr|
      previous_atr = atr_values.last
      atr_values << (((previous_atr * (period - 1)) + tr) / period)
    end
  else
    atr_values.concat(Array.new(true_ranges.length, nil))
  end

  atr_values
end