To calculate the average true range, perform the following steps:
The ATR is based on the low and high price of N days, usually the last 20 days.
N = int(sys.argv[1]) h = h[-N:] l = l[-N:]
We also need to know the close price of the previous day.
previousclose = c[-N -1: -1]
For each day, we calculate the following:
h – l: The daily range (the difference between high and low price)h – previousclose: The difference between high price and previous closepreviousclose – l: The difference between the previous close and the low price
The
maxfunction 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 maxima across arrays—meaning the maxima of the first elements in the arrays, the second elements in the arrays, and so on. Use the NumPymaximumfunction instead of themaxfunction for this purpose.truerange = np.maximum...