Struct ta::indicators::AverageTrueRange

pub struct AverageTrueRange { /* fields omitted */ }

Average true range (ATR).

A technical analysis volatility indicator, originally developed by J. Welles Wilder. The average true range is an N-day smoothed moving average of the true range values. This implementation uses exponential moving average.

Formula

ATR(period)_t = EMA(period) of TR_t

Where:

• EMA(period) - exponential moving average with smoothing period
• TR_t - true range for period t

Parameters

• period - smoothing period of EMA (integer greater than 0)

Example

extern crate ta;
#[macro_use] extern crate assert_approx_eq;

use ta::{Next, DataItem};
use ta::indicators::AverageTrueRange;

fn main() {
    let data = vec![
        // open, high, low, close, atr
        (9.7   , 10.0, 9.0, 9.5  , 1.0),    // tr = high - low = 10.0 - 9.0 = 1.0
        (9.9   , 10.4, 9.8, 10.2 , 0.95),   // tr = high - prev_close = 10.4 - 9.5 = 0.9
        (10.1  , 10.7, 9.4, 9.7  , 1.125),  // tr = high - low = 10.7 - 9.4 = 1.3
        (9.1   , 9.2 , 8.1, 8.4  , 1.3625), // tr = prev_close - low = 9.7 - 8.1 = 1.6
    ];
    let mut indicator = AverageTrueRange::new(3).unwrap();

    for (open, high, low, close, atr) in data {
        let di = DataItem::builder()
            .high(high)
            .low(low)
            .close(close)
            .open(open)
            .volume(1000.0)
            .build().unwrap();
        assert_approx_eq!(indicator.next(&di), atr);
    }
}

Implementations

impl AverageTrueRange

pub fn new(period: usize) -> Result<Self>

Trait Implementations

impl Clone for AverageTrueRange

fn clone(&self) -> AverageTrueRange

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for AverageTrueRange

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for AverageTrueRange

fn default() -> Self

Returns the “default value” for a type.

impl Display for AverageTrueRange

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<T: High + Low + Close> Next<&'_ T> for AverageTrueRange

type Output = f64

fn next(&mut self, input: &T) -> Self::Output

impl Next<f64> for AverageTrueRange

type Output = f64

fn next(&mut self, input: f64) -> Self::Output

impl Period for AverageTrueRange

fn period(&self) -> usize

impl Reset for AverageTrueRange

fn reset(&mut self)