/// <summary>
/// Calculates Average True Range indicator
/// </summary>
/// <param name="highs">Signal representing price highs</param>
/// <param name="lows">Signal representing price lows</param>
/// <param name="closes">Signal representing closing prices</param>
/// <param name="periods">Number of periods</param>
/// <returns>Object containing operation results</returns>
public static ATRResult ATR(IEnumerable <double> highs, IEnumerable <double> lows, IEnumerable <double> closes, int periods)
{
// calculate True Range first
var trueRangeList = new List <double>();
for (int i = 0; i < highs.Count(); i++)
{
double currentHigh = highs.ElementAt(i);
double currentLow = lows.ElementAt(i);
double previousClose = closes.ElementAtOrDefault(i - 1);
double highMinusLow = currentHigh - currentLow;
double highMinusPrevClose = i != 0 ? Math.Abs(currentHigh - previousClose) : 0;
double lowMinusPrevClose = i != 0 ? Math.Abs(currentLow - previousClose) : 0;
double trueRangeValue = highMinusLow;
if (highMinusPrevClose > trueRangeValue)
{
trueRangeValue = highMinusPrevClose;
}
if (lowMinusPrevClose > trueRangeValue)
{
trueRangeValue = lowMinusPrevClose;
}
trueRangeList.Add(trueRangeValue);
}
// calculate Average True Range
var atrList = new List <double>();
double initialATR = trueRangeList.Take(periods).Average();
atrList.Add(initialATR);
for (int i = periods; i < trueRangeList.Count; i++)
{
double currentATR = (atrList[i - periods] * (periods - 1) + trueRangeList[i]) / periods;
atrList.Add(currentATR);
}
var result = new ATRResult()
{
StartIndexOffset = periods - 1,
Values = atrList
};
return(result);
}
/// <summary>
/// Calculates Average True Range indicator
/// </summary>
/// <param name="highs">Signal representing price highs</param>
/// <param name="lows">Signal representing price lows</param>
/// <param name="closes">Signal representing closing prices</param>
/// <param name="periods">Number of periods</param>
/// <returns>Object containing operation results</returns>
public static ATRResult ATR(IEnumerable<double> highs, IEnumerable<double> lows, IEnumerable<double> closes, int periods)
{
// calculate True Range first
var trueRangeList = new List<double>();
for (int i = 0; i < highs.Count(); i++)
{
double currentHigh = highs.ElementAt(i);
double currentLow = lows.ElementAt(i);
double previousClose = closes.ElementAtOrDefault(i - 1);
double highMinusLow = currentHigh - currentLow;
double highMinusPrevClose = i != 0 ? Math.Abs(currentHigh - previousClose) : 0;
double lowMinusPrevClose = i != 0 ? Math.Abs(currentLow - previousClose) : 0;
double trueRangeValue = highMinusLow;
if (highMinusPrevClose > trueRangeValue)
{
trueRangeValue = highMinusPrevClose;
}
if (lowMinusPrevClose > trueRangeValue)
{
trueRangeValue = lowMinusPrevClose;
}
trueRangeList.Add(trueRangeValue);
}
// calculate Average True Range
var atrList = new List<double>();
double initialATR = trueRangeList.Take(periods).Average();
atrList.Add(initialATR);
for (int i = periods; i < trueRangeList.Count; i++)
{
double currentATR = (atrList[i - periods] * (periods - 1) + trueRangeList[i]) / periods;
atrList.Add(currentATR);
}
var result = new ATRResult()
{
StartIndexOffset = periods - 1,
Values = atrList
};
return result;
}