97 lines
2.5 KiB
Go
97 lines
2.5 KiB
Go
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package talib
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// ATR - Wilder-smoothed average of the True Range over a period, measuring price volatility regardless of direction.
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// Higher ATR means greater volatility; no directional bias.
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//
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// TR_t = max(high-low, |prevClose-high|, |prevClose-low|)
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// ATR seed = simple average of first period TR values
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// ATR_t = (ATR_{t-1} * (period-1) + TR_t) / period
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func ATR(inHigh, inLow, inClose []float64, optInTimePeriod int) []float64 {
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var (
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startIdx int32
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endIdx = int32(len(inClose) - 1)
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outBegIdx int32
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outNBElement int32
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outReal = make([]float64, len(inClose))
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)
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if retCode := atr(
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startIdx,
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endIdx,
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inHigh,
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inLow,
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inClose,
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int32(optInTimePeriod),
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&outBegIdx,
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&outNBElement,
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outReal,
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); retCode != 0 {
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return nil
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}
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return outReal
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}
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// NATR - Average True Range expressed as a percentage of the current close, making volatility comparable across price levels and securities.
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// Same computation as ATR, then normalized by close. Higher values mean greater relative volatility; unit is percent of price.
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//
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// NATR = (ATR / Close) * 100
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// ATR: first value = SMA of TRANGE over period; then Wilder smoothing ATR_t = (ATR_{t-1}*(period-1) + TR_t) / period
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func NATR(inHigh, inLow, inClose []float64, optInTimePeriod int) []float64 {
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var (
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startIdx int32
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endIdx = int32(len(inClose) - 1)
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outBegIdx int32
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outNBElement int32
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outReal = make([]float64, len(inClose))
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)
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if retCode := natr(
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startIdx,
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endIdx,
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inHigh,
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inLow,
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inClose,
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int32(optInTimePeriod),
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&outBegIdx,
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&outNBElement,
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outReal,
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); retCode != 0 {
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return nil
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}
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return outReal
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}
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// TRANGE - True Range: the greatest of today's high-low span and the two gaps between yesterday's close and today's high/low.
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// Base volatility measure used to build ATR/NATR. Larger values mean wider or gappier bars (higher volatility).
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//
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// TR = max( high - low, |prevClose - high|, |prevClose - low| )
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//
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// Note: The first bar produces no value because it has no prior close;
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// unlike some definitions, it does not fall back to the high-low range for that bar.
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func TRANGE(inHigh, inLow, inClose []float64) []float64 {
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var (
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startIdx int32
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endIdx = int32(len(inClose) - 1)
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outBegIdx int32
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outNBElement int32
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outReal = make([]float64, len(inClose))
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)
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if retCode := trange(
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startIdx,
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endIdx,
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inHigh,
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inLow,
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inClose,
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&outBegIdx,
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&outNBElement,
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outReal,
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); retCode != 0 {
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return nil
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}
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return outReal
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}
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