need code for ATR (Average True Range) to use with Reactive State Engine

Hi, I have tried coding ATR but did not have success. I have code for TR (as trueRange can not be used with Reactive State Engine).

@state
def tr(high, low, close) {
	cp=prev(close)
	return rowMax(abs(high-low),abs(high-cp),abs(low-cp))
}

I am calculating ATR based on https://school.stockcharts.com/doku.php?id=technical_indicators:average_true_range_atr

check their excel file for formula https://school.stockcharts.com/lib/exe/fetch.php?media=technical_indicators:average_true_range_atr:cs-atr.xls

please provide me code to use with Reactive State Engine.

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默认排序时间排序

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Shena Mao 2021-09-18 13:56

Sorry for late response.

I want to confirm whether your ATR is always based on daily market price? Because if it's not based on a high-frequency market data, I don't think you need to use reactive State Engine to realize ATR.

According to the formula you refered, it was difficult to deal with streaming data.

For now, I suggest that you calculate ATR based on historical data if you do not need to use high-frequency streaming data.

need code for ATR (Average True Range) to use with Reactive State Engine

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