use crate::indicators::metadata::{IndicatorMetadata, ParamDef};
use crate::indicators::smoothing::EMA;
use crate::traits::Next;
talib_3_in_1_out!(TaATR, talib_rs::volatility::atr, timeperiod: usize);
impl From<usize> for TaATR {
fn from(p: usize) -> Self {
Self::new(p)
}
}
talib_3_in_1_out!(TaNATR, talib_rs::volatility::natr, timeperiod: usize);
impl From<usize> for TaNATR {
fn from(p: usize) -> Self {
Self::new(p)
}
}
talib_3_in_1_out!(TaTRANGE, talib_rs::volatility::trange);
impl Default for TaTRANGE {
fn default() -> Self {
Self::new()
}
}
#[derive(Debug, Clone, Default)]
pub struct TrueRange {
prev_close: Option<f64>,
}
impl Next<(f64, f64, f64)> for TrueRange {
type Output = f64;
fn next(&mut self, (high, low, close): (f64, f64, f64)) -> Self::Output {
let tr = match self.prev_close {
Some(pc) => {
let h_l = high - low;
let h_pc = (high - pc).abs();
let l_pc = (low - pc).abs();
h_l.max(h_pc).max(l_pc)
}
None => high - low,
};
self.prev_close = Some(close);
tr
}
}
#[derive(Debug, Clone)]
pub struct ATR {
tr: TrueRange,
smoothing: EMA,
}
impl ATR {
pub fn new(period: usize) -> Self {
Self {
tr: TrueRange::default(),
smoothing: EMA::new(period),
}
}
}
impl Next<(f64, f64, f64)> for ATR {
type Output = f64;
fn next(&mut self, input: (f64, f64, f64)) -> Self::Output {
let tr = self.tr.next(input);
self.smoothing.next(tr)
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::Next;
use proptest::prelude::*;
proptest! {
#[test]
fn test_ta_atr_parity(
h in prop::collection::vec(1.0..100.0, 1..100),
l in prop::collection::vec(1.0..100.0, 1..100),
c in prop::collection::vec(1.0..100.0, 1..100)
) {
let len = h.len().min(l.len()).min(c.len());
if len == 0 { return Ok(()); }
let mut high = Vec::with_capacity(len);
let mut low = Vec::with_capacity(len);
let mut close = Vec::with_capacity(len);
for i in 0..len {
let v_h: f64 = h[i];
let v_l: f64 = l[i];
let v_c: f64 = c[i];
high.push(v_h.max(v_l).max(v_c));
low.push(v_h.min(v_l).min(v_c));
close.push(v_c);
}
let period = 14;
let mut ta_atr = TaATR::new(period);
let streaming_results: Vec<f64> = (0..len).map(|i| ta_atr.next((high[i], low[i], close[i]))).collect();
let batch_results = talib_rs::volatility::atr(&high, &low, &close, period).unwrap_or_else(|_| vec![f64::NAN; len]);
for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
if s.is_nan() {
assert!(b.is_nan());
} else {
approx::assert_relative_eq!(s, b, epsilon = 1e-6);
}
}
}
#[test]
fn test_ta_trange_parity(
h in prop::collection::vec(1.0..100.0, 1..100),
l in prop::collection::vec(1.0..100.0, 1..100),
c in prop::collection::vec(1.0..100.0, 1..100)
) {
let len = h.len().min(l.len()).min(c.len());
if len == 0 { return Ok(()); }
let mut high = Vec::with_capacity(len);
let mut low = Vec::with_capacity(len);
let mut close = Vec::with_capacity(len);
for i in 0..len {
let v_h: f64 = h[i];
let v_l: f64 = l[i];
let v_c: f64 = c[i];
high.push(v_h.max(v_l).max(v_c));
low.push(v_h.min(v_l).min(v_c));
close.push(v_c);
}
let mut ta_tr = TaTRANGE::new();
let streaming_results: Vec<f64> = (0..len).map(|i| ta_tr.next((high[i], low[i], close[i]))).collect();
let batch_results = talib_rs::volatility::trange(&high, &low, &close).unwrap_or_else(|_| vec![f64::NAN; len]);
for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
if s.is_nan() {
assert!(b.is_nan());
} else {
approx::assert_relative_eq!(s, b, epsilon = 1e-6);
}
}
}
}
}
pub const TRUE_RANGE_METADATA: IndicatorMetadata = IndicatorMetadata {
name: "True Range",
description: "True Range measures daily volatility.",
usage: "Use as the foundational volatility module providing ATR, True Range, and related volatility measures used by higher-level indicators such as SuperTrend and Keltner Channels.",
keywords: &["volatility", "atr", "classic", "range"],
ehlers_summary: "Average True Range, developed by J. Welles Wilder in New Concepts in Technical Trading Systems (1978), measures the average of the true range over N bars. True Range accounts for overnight gaps by taking the maximum of: current high minus low, current high minus prior close, prior close minus current low. It remains the industry standard raw volatility measure.",
params: &[],
formula_source: "https://www.investopedia.com/terms/a/atr.asp",
formula_latex: r#"
\[
TR = \max(H - L, |H - C_{t-1}|, |L - C_{t-1}|)
\]
"#,
gold_standard_file: "true_range.json",
category: "Classic",
};
pub const ATR_METADATA: IndicatorMetadata = IndicatorMetadata {
name: "Average True Range",
description: "ATR represents the average of true ranges over a specified period.",
usage: "Use as the foundational volatility module providing ATR, True Range, and related volatility measures used by higher-level indicators such as SuperTrend and Keltner Channels.",
keywords: &["volatility", "atr", "classic", "range"],
ehlers_summary: "Average True Range, developed by J. Welles Wilder in New Concepts in Technical Trading Systems (1978), measures the average of the true range over N bars. True Range accounts for overnight gaps by taking the maximum of: current high minus low, current high minus prior close, prior close minus current low. It remains the industry standard raw volatility measure.",
params: &[ParamDef {
name: "period",
default: "14",
description: "Smoothing period",
}],
formula_source: "https://www.investopedia.com/terms/a/atr.asp",
formula_latex: r#"
\[
ATR = \frac{ATR_{t-1} \times (n-1) + TR_t}{n}
\]
"#,
gold_standard_file: "atr.json",
category: "Classic",
};
pub const NATR_METADATA: IndicatorMetadata = IndicatorMetadata {
name: "Normalized Average True Range (NATR)",
description: "A normalized version of ATR that represents volatility as a percentage of price.",
usage: "Use to compare volatility across different securities with varying price levels. NATR allows for normalized risk assessment and position sizing.",
keywords: &["volatility", "atr", "normalization", "classic"],
ehlers_summary: "Normalized ATR (NATR) was developed to allow traders to compare the volatility of high-priced stocks with low-priced stocks. By dividing the ATR by the closing price and multiplying by 100, the result is a percentage that can be used consistently across all assets. — TA-Lib Documentation",
params: &[ParamDef { name: "timeperiod", default: "14", description: "Smoothing period" }],
formula_source: "https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/normalized-average-true-range-natr/",
formula_latex: r#"
\[
NATR = \frac{ATR(n)}{Close} \times 100
\]
"#,
gold_standard_file: "natr.json",
category: "Classic",
};