__init__.py 文件源码

def calculate_atr(self, window=14):
        """ Average True Range Shows volatility of market 
                ATR(t) = ((n-1) * ATR(t-1) + Tr(t)) / n 
                where Tr(t) = Max(Abs(High - Low), Abs(High - Close(t - 1)), Abs(Low - Close(t - 1));
        """
        self.set_max_win(window)
        i = 0  
        tr_l = [0]  
        for i in range(self.df.index[-1]):  
            tr = max(self.df.get_value(i + 1, 'High'), 
                     self.df.get_value(i, 'Adj_Close')) - min(self.df.get_value(i + 1, 'Low'), 
                     self.df.get_value(i, 'Adj_Close'))  
            tr_l.append(tr)  
        name = 'atr_%s' % (window)
        self.df[name] = pd.ewma(pd.Series(tr_l), span=window, min_periods=window)
        return name