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nardew merged 1 commit into from
Mar 16, 2025
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Normalized Average True Range #169

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6 changes: 3 additions & 3 deletions README.md
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Expand Up @@ -30,11 +30,11 @@ Last but not least, `talipp` is a community project and therefore open to any su

### What's new in the recent versions

- Normalized Average True Range indicator
- Rogers-Satchell volatility indicator
- auto-sampling of input values
- [v2.0.0 scope](https://github.com/nardew/talipp/issues/111)

For the full history of changes see [CHANGELOG](https://github.com/nardew/talipp/releases).
For the full history of changes see [Release Notes](https://github.com/nardew/talipp/releases).

---

Expand All @@ -45,7 +45,7 @@ For the full history of changes see [CHANGELOG](https://github.com/nardew/talipp
- Accumulation/Distribution (ADL)
- Aroon
- Average Directional Index (ADX)
- Average True Range (ATR)
- Average True Range (ATR), Normalized Average True Range (NATR)
- Awesome Oscillator (AO)
- Balance of Power (BOP)
- Bollinger Bands (BB)
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23 changes: 12 additions & 11 deletions docs/indicator-catalogue.md
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@@ -1,10 +1,10 @@
# Indicator catalogue

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

Request a new indicator via [GitHub Issues](https://github.com/nardew/talipp/issues/new).
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3 changes: 2 additions & 1 deletion examples/binance_online.py
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Expand Up @@ -8,7 +8,7 @@

from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, \
KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, OBV, ROC, RogersSatchell, RSI, \
KAMA, KeltnerChannels, KST, KVO, MACD, MassIndex, McGinleyDynamic, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, \
ParabolicSAR, \
SFX, SMA, SMMA, SOBV, STC, StdDev, \
Stoch, StochRSI, SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
Expand Down Expand Up @@ -61,6 +61,7 @@ async def run():
print(f'MassIndex: {MassIndex(9, 9, 10, ohlcv)[-1]}')
print(f'McGinleyDynamic: {McGinleyDynamic(14, close)[-1]}')
print(f'MeanDev: {MeanDev(10, close)[-1]}')
print(f'NATR: {NATR(14, ohlcv)[-5:]}')
print(f'OBV: {OBV(ohlcv)[-1]}')
print(f'ROC: {ROC(9, close)[-1]}')
print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-5:]}')
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5 changes: 3 additions & 2 deletions examples/indicators.py
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Expand Up @@ -2,7 +2,7 @@

from talipp.indicators import AccuDist, ADX, ALMA, AO, Aroon, ATR, BB, BOP, CCI, ChaikinOsc, ChandeKrollStop, CHOP, \
CoppockCurve, DEMA, DonchianChannels, DPO, EMA, EMV, ForceIndex, HMA, IBS, Ichimoku, KAMA, KeltnerChannels, KST, KVO, \
MACD, MassIndex, MeanDev, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
MACD, MassIndex, MeanDev, NATR, OBV, ROC, RogersSatchell, RSI, ParabolicSAR, SFX, SMA, SMMA, SOBV, STC, StdDev, Stoch, StochRSI, \
SuperTrend, T3, TEMA, TRIX, TSI, TTM, UO, VTX, VWAP, VWMA, WMA, ZigZag, ZLEMA
from talipp.ohlcv import OHLCVFactory

Expand Down Expand Up @@ -47,9 +47,10 @@
print(f'MACD: {MACD(12, 26, 9, close)[-1]}')
print(f'MassIndex: {MassIndex(9, 9, 10, ohlcv)[-1]}')
print(f'MeanDev: {MeanDev(10, close)[-1]}')
print(f'NATR: {NATR(14, ohlcv)[-1]}')
print(f'OBV: {OBV(ohlcv)[-1]}')
print(f'ROC: {ROC(9, close)[-1]}')
#print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-1]}')
print(f'RogersSatchell: {RogersSatchell(9, ohlcv)[-1]}')
print(f'RSI: {RSI(14, close)[-1]}')
print(f"SAR: {ParabolicSAR(0.02, 0.02, 0.2, ohlcv)[-20:]}")
print(f'SFX: {SFX(12, 12, 3, ohlcv)[-1]}')
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47 changes: 47 additions & 0 deletions talipp/indicators/NATR.py
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@@ -0,0 +1,47 @@
from typing import List, Any

from talipp.indicator_util import has_valid_values
from talipp.indicators import ATR
from talipp.indicators.Indicator import Indicator, InputModifierType
from talipp.input import SamplingPeriodType
from talipp.ohlcv import OHLCV


class NATR(Indicator):
"""Normalized Average True Range

Input type: [OHLCV][talipp.ohlcv.OHLCV]

Output type: `float`

Args:
period: Period.
input_values: List of input values.
input_indicator: Input indicator.
input_modifier: Input modifier.
input_sampling: Input sampling type.
"""

def __init__(self, period: int,
input_values: List[OHLCV] = None,
input_indicator: Indicator = None,
input_modifier: InputModifierType = None,
input_sampling: SamplingPeriodType = None):
super(NATR, self).__init__(input_modifier=input_modifier,
input_sampling=input_sampling)

self.period = period
self.atr = ATR(period)

self.add_sub_indicator(self.atr)

self.initialize(input_values, input_indicator)

def _calculate_new_value(self) -> Any:
if not has_valid_values(self.atr, 1):
return None

if self.input_values[-1].close == 0:
return None

return 100.0 * self.atr[-1] / self.input_values[-1].close
2 changes: 1 addition & 1 deletion talipp/indicators/RogersSatchell.py
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Expand Up @@ -42,4 +42,4 @@ def _calculate_new_value(self) -> Any:
for ohlcv in self.input_values[-self.period:]:
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)

return sqrt(s / self.period)
return sqrt(s / self.period) if s > 0 else None
2 changes: 2 additions & 0 deletions talipp/indicators/__init__.py
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Expand Up @@ -29,6 +29,7 @@
from .MassIndex import MassIndex as MassIndex
from .McGinleyDynamic import McGinleyDynamic as McGinleyDynamic
from .MeanDev import MeanDev as MeanDev
from .NATR import NATR as NATR
from .OBV import OBV as OBV
from .PivotsHL import PivotsHL as PivotsHL
from .ROC import ROC as ROC
Expand Down Expand Up @@ -89,6 +90,7 @@
"MassIndex",
"McGinleyDynamic",
"MeanDev",
"NATR",
"OBV",
"ParabolicSAR",
"PivotsHL",
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32 changes: 32 additions & 0 deletions test/test_NATR.py
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import unittest

from talipp.indicators import NATR

from TalippTest import TalippTest


class TestATR(TalippTest):
def setUp(self) -> None:
self.input_values = list(TalippTest.OHLCV_TMPL)

def test_init(self):
ind = NATR(5, self.input_values)

print(ind)

self.assertAlmostEqual(ind[-3], 6.387410, places = 5)
self.assertAlmostEqual(ind[-2], 6.501871, places = 5)
self.assertAlmostEqual(ind[-1], 6.861131, places = 5)

def test_update(self):
self.assertIndicatorUpdate(NATR(5, self.input_values))

def test_delete(self):
self.assertIndicatorDelete(NATR(5, self.input_values))

def test_purge_oldest(self):
self.assertIndicatorPurgeOldest(NATR(5, self.input_values))


if __name__ == '__main__':
unittest.main()
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