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Normalized Average True Range
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‎README.md‎

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@@ -30,11 +30,11 @@ Last but not least, `talipp` is a community project and therefore open to any su
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### What's new in the recent versions
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- Normalized Average True Range indicator
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- Rogers-Satchell volatility indicator
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- auto-sampling of input values
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- [v2.0.0 scope](https://github.com/nardew/talipp/issues/111)
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For the full history of changes see [CHANGELOG](https://github.com/nardew/talipp/releases).
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For the full history of changes see [Release Notes](https://github.com/nardew/talipp/releases).
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---
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@@ -45,7 +45,7 @@ For the full history of changes see [CHANGELOG](https://github.com/nardew/talipp
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- Accumulation/Distribution (ADL)
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- Aroon
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- Average Directional Index (ADX)
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- Average True Range (ATR)
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- Average True Range (ATR), Normalized Average True Range (NATR)
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- Awesome Oscillator (AO)
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- Balance of Power (BOP)
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- Bollinger Bands (BB)

‎docs/indicator-catalogue.md‎

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# Indicator catalogue
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| Name | Full name | Description |
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|-------------------------------------------------------------------------|---------------------------------------|----------------------------------------------------------------------------------------------------------------------|
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| Name | Full name | Description |
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|-------------------------------------------------------------------------|---------------------------------------|----------------------------------------------------------------------------------------------------------------|
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| [ADL][talipp.indicators.AccuDist.AccuDist] | Accumulation Distribution Line | [](https://school.stockcharts.com/doku.php?id=technical_indicators:accumulation_distribution_line) |
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| [ADX][talipp.indicators.ADX.ADX] | Average Directional Index | [](https://school.stockcharts.com/doku.php?id=technical_indicators:average_directional_index_adx) |
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| [ALMA][talipp.indicators.ALMA.ALMA] | Arnaud Legoux Moving Average | |
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| [ALMA][talipp.indicators.ALMA.ALMA] | Arnaud Legoux Moving Average | |
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| [AO][talipp.indicators.AO.AO] | Awesome Oscillator | [](https://www.babypips.com/forexpedia/awesome-oscillator) |
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| [Aroon][talipp.indicators.Aroon.Aroon] | Aroon Indicator | [](https://www.investopedia.com/terms/a/aroon.asp) |
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| [ATR][talipp.indicators.ATR.ATR] | Average True Range | [](https://school.stockcharts.com/doku.php?id=technical_indicators:average_true_range_atr) |
@@ -22,7 +22,7 @@
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| [EMV][talipp.indicators.EMV.EMV] | Ease of Movement | [](https://school.stockcharts.com/doku.php?id=technical_indicators:ease_of_movement_emv) |
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| [ForceIndex][talipp.indicators.ForceIndex.ForceIndex] | Force Index | [](https://school.stockcharts.com/doku.php?id=technical_indicators:force_index) |
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| [HMA][talipp.indicators.HMA.HMA] | Hull Moving Average | [](https://school.stockcharts.com/doku.php?id=technical_indicators:hull_moving_average) |
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| [IBS][talipp.indicators.IBS.IBS] | Internal Bar Strength | [](https://www.coingecko.com/learn/internal-bar-strength-ibs) |
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| [IBS][talipp.indicators.IBS.IBS] | Internal Bar Strength | [](https://www.coingecko.com/learn/internal-bar-strength-ibs) |
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| [IchimokuCloud][talipp.indicators.Ichimoku.Ichimoku] | Ichimoku Cloud | [](https://school.stockcharts.com/doku.php?id=technical_indicators:ichimoku_cloud) |
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| [KAMA][talipp.indicators.KAMA.KAMA] | Kauffman's Adaptive Moving Average | [](https://school.stockcharts.com/doku.php?id=technical_indicators:kaufman_s_adaptive_moving_average) |
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| [KeltnerChannels][talipp.indicators.KeltnerChannels.KeltnerChannels] | Keltner Channels | [](https://school.stockcharts.com/doku.php?id=technical_indicators:keltner_channels) |
@@ -32,18 +32,19 @@
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| [MassIndex][talipp.indicators.MassIndex.MassIndex] | Mass Index | [](https://school.stockcharts.com/doku.php?id=technical_indicators:mass_index) |
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| [McGinleyDynamic][talipp.indicators.McGinleyDynamic.McGinleyDynamic] | McGinley Dynamic | [](https://www.investopedia.com/terms/m/mcginley-dynamic.asp) |
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| [MeanDev][talipp.indicators.MeanDev.MeanDev] | Mean Deviation | [](https://school.stockcharts.com/doku.php?id=technical_indicators:accumulation_distribution_line) |
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| [NATR][talipp.indicators.NATR.NATR] | Normalized Average True Range | [](https://www.macroption.com/normalized-atr/) |
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| [OBV][talipp.indicators.OBV.OBV] | On-balacen Volume | [](https://school.stockcharts.com/doku.php?id=technical_indicators:on_balance_volume_obv) |
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| [ParabolicSAR][talipp.indicators.ParabolicSAR.ParabolicSAR] | Parabolic Stop and Reverse | [](https://school.stockcharts.com/doku.php?id=technical_indicators:parabolic_sar) |
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| [PivotsHL][talipp.indicators.PivotsHL.PivotsHL][^1][^2] | Pivot High Low Points | |
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| [PivotsHL][talipp.indicators.PivotsHL.PivotsHL][^1][^2] | Pivot High Low Points | |
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| [ROC][talipp.indicators.ROC.ROC] | Rate of Change | [](https://school.stockcharts.com/doku.php?id=technical_indicators:rate_of_change_roc_and_momentum) |
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| [RogersSatchell][talipp.indicators.RogersSatchell.RogersSatchell] | Rogers-Satchell volatility indicator | [](https://portfolioslab.com/tools/rogers-satchell) |
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| [RogersSatchell][talipp.indicators.RogersSatchell.RogersSatchell] | Rogers-Satchell volatility indicator | [](https://portfolioslab.com/tools/rogers-satchell) |
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| [RSI][talipp.indicators.RSI.RSI] | Relative Strength Index | [](https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi) |
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| [SFX][talipp.indicators.SFX.SFX] | | |
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| [SFX][talipp.indicators.SFX.SFX] | | |
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| [SMA][talipp.indicators.SMA.SMA] | Simple Moving Average | [](https://www.investopedia.com/terms/s/sma.asp) |
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| [SMMA][talipp.indicators.SMMA.SMMA] | Smoothed Simple Moving Average | |
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| [SOBV][talipp.indicators.SOBV.SOBV] | Smoothed On-Balance Volume | |
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| [SMMA][talipp.indicators.SMMA.SMMA] | Smoothed Simple Moving Average | |
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| [SOBV][talipp.indicators.SOBV.SOBV] | Smoothed On-Balance Volume | |
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| [STC][talipp.indicators.STC.STC] | Schaff Trend Cycle | [](https://howtotrade.com/indicators/schaff-trend-cycle/) |
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| [StdDev][talipp.indicators.StdDev.StdDev] | Standard Deviation | |
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| [StdDev][talipp.indicators.StdDev.StdDev] | Standard Deviation | |
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| [Stoch][talipp.indicators.Stoch.Stoch] | Stochastic Oscillator | [](https://school.stockcharts.com/doku.php?id=technical_indicators:stochastic_oscillator_fast_slow_and_full) |
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| [StochRSI][talipp.indicators.StochRSI.StochRSI] | Stochastic Relative Strength Index | [](https://school.stockcharts.com/doku.php?id=technical_indicators:stochrsi) |
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| [SuperTrend][talipp.indicators.SuperTrend.SuperTrend] | Super Trend | [](https://www.investopedia.com/supertrend-indicator-7976167) |
@@ -57,7 +58,7 @@
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| [VWAP][talipp.indicators.VWAP.VWAP] | Volume-weighted Average Price | [](https://school.stockcharts.com/doku.php?id=technical_indicators:vwap_intraday) |
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| [VWMA][talipp.indicators.VWMA.VWMA] | Volume-weighted Moving Average | [](https://www.tradingsetupsreview.com/volume-weighted-moving-average-vwma/) |
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| [WMA][talipp.indicators.WMA.WMA] | Weighted Moving Average | [](https://fxopen.com/blog/en/what-is-a-weighted-moving-average-and-how-do-you-calculate-it/) |
60-
| [ZigZag][talipp.indicators.ZigZag.ZigZag][^1] | ZigZag | [](https://school.stockcharts.com/doku.php?id=technical_indicators:zigzag) |
61+
| [ZigZag][talipp.indicators.ZigZag.ZigZag][^1] | ZigZag | [](https://school.stockcharts.com/doku.php?id=technical_indicators:zigzag) |
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| [ZLEMA][talipp.indicators.ZLEMA.ZLEMA] | Zero-lag Exponential Moving Average | [](https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average) |
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Request a new indicator via [GitHub Issues](https://github.com/nardew/talipp/issues/new).

‎examples/binance_online.py‎

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from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
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CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, \
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KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, OBV, ROC, RogersSatchell, RSI, \
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KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, \
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ParabolicSAR, \
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SFX, SMA, SMMA, SOBV, STC, StdDev, \
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Stoch, StochRSI, SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
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print(f'MassIndex: {MassIndex(9, 9, 10, ohlcv)[-1]}')
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print(f'McGinleyDynamic: {McGinleyDynamic(14, close)[-1]}')
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print(f'MeanDev: {MeanDev(10, close)[-1]}')
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print(f'NATR: {NATR(14, ohlcv)[-5:]}')
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print(f'OBV: {OBV(ohlcv)[-1]}')
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print(f'ROC: {ROC(9, close)[-1]}')
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print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-5:]}')

‎examples/indicators.py‎

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from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
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CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, KAMA, KeltnerChannels, KST, KVO, \
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MACD, MassIndex, MeanDev, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
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MACD, MassIndex, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
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SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
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from talipp.ohlcv import OHLCVFactory
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print(f'MACD: {MACD(12, 26, 9, close)[-1]}')
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print(f'MassIndex: {MassIndex(9, 9, 10, ohlcv)[-1]}')
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print(f'MeanDev: {MeanDev(10, close)[-1]}')
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print(f'NATR: {NATR(14, ohlcv)[-1]}')
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print(f'OBV: {OBV(ohlcv)[-1]}')
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print(f'ROC: {ROC(9, close)[-1]}')
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#print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-1]}')
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print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-1]}')
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print(f'RSI: {RSI(14, close)[-1]}')
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print(f"SAR: {ParabolicSAR(0.02, 0.02, 0.2, ohlcv)[-20:]}")
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print(f'SFX: {SFX(12, 12, 3, ohlcv)[-1]}')

‎talipp/indicators/NATR.py‎

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from typing import List, Any
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from talipp.indicator_util import has_valid_values
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from talipp.indicators import ATR
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from talipp.indicators.Indicator import Indicator, InputModifierType
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from talipp.input import SamplingPeriodType
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from talipp.ohlcv import OHLCV
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class NATR(Indicator):
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"""Normalized Average True Range
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Input type: [OHLCV][talipp.ohlcv.OHLCV]
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Output type: `float`
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Args:
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period: Period.
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input_values: List of input values.
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input_indicator: Input indicator.
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input_modifier: Input modifier.
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input_sampling: Input sampling type.
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"""
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def __init__(self, period: int,
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input_values: List[OHLCV] = None,
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input_indicator: Indicator = None,
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input_modifier: InputModifierType = None,
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input_sampling: SamplingPeriodType = None):
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super(NATR, self).__init__(input_modifier=input_modifier,
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input_sampling=input_sampling)
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self.period = period
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self.atr = ATR(period)
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self.add_sub_indicator(self.atr)
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self.initialize(input_values, input_indicator)
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def _calculate_new_value(self) -> Any:
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if not has_valid_values(self.atr, 1):
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return None
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if self.input_values[-1].close == 0:
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return None
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return 100.0 * self.atr[-1] / self.input_values[-1].close

‎talipp/indicators/RogersSatchell.py‎

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for ohlcv in self.input_values[-self.period:]:
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s += log(float(ohlcv.high) / ohlcv.close) * log(float(ohlcv.high) / ohlcv.open) + log(float(ohlcv.low) / ohlcv.close) * log(float(ohlcv.low) / ohlcv.open)
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return sqrt(s / self.period)
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return sqrt(s / self.period) if s > 0 else None

‎talipp/indicators/__init__.py‎

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from .MassIndex import MassIndex as MassIndex
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from .McGinleyDynamic import McGinleyDynamic as McGinleyDynamic
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from .MeanDev import MeanDev as MeanDev
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from .NATR import NATR as NATR
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from .OBV import OBV as OBV
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from .PivotsHL import PivotsHL as PivotsHL
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from .ROC import ROC as ROC
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"MassIndex",
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"McGinleyDynamic",
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"MeanDev",
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"NATR",
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"OBV",
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"ParabolicSAR",
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"PivotsHL",

‎test/test_NATR.py‎

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import unittest
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from talipp.indicators import NATR
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from TalippTest import TalippTest
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class TestATR(TalippTest):
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def setUp(self) -> None:
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self.input_values = list(TalippTest.OHLCV_TMPL)
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def test_init(self):
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ind = NATR(5, self.input_values)
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print(ind)
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self.assertAlmostEqual(ind[-3], 6.387410, places = 5)
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self.assertAlmostEqual(ind[-2], 6.501871, places = 5)
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self.assertAlmostEqual(ind[-1], 6.861131, places = 5)
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def test_update(self):
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self.assertIndicatorUpdate(NATR(5, self.input_values))
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def test_delete(self):
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self.assertIndicatorDelete(NATR(5, self.input_values))
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def test_purge_oldest(self):
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self.assertIndicatorPurgeOldest(NATR(5, self.input_values))
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if __name__ == '__main__':
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unittest.main()

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