NumPy : Beginner's Guide - Third Edition

Time for action – calculating the Average True Range

To calculate the ATR, perform the following steps:

1. The ATR is based on the low and high price of N days, usually the last 20 days.

   N = 5
   h = h[-N:]
   l = l[-N:]

2. We also need to know the close price of the previous day:

   previousclose = c[-N -1: -1]

   For each day, we calculate the following:

   The daily range—the difference between the high and low price:

   h – l
   

   The difference between the high and previous close:

   h – previousclose
   

   The difference between the previous close and the low price:

   previousclose – l
   

3. The max() function returns the maximum of an array. Based on those three values, we calculate the so-called true range, which is the maximum of these values. We are now interested in the element-wise ...