ATR=TrueRange with WilderMA

nardew · Jul 8, 2024 · 06a3106 · 06a3106
1 parent ed5e0e1
commit 06a3106
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Showing 8 changed files with 147 additions and 34 deletions.
diff --git a/talipp/indicators/ATR.py b/talipp/indicators/ATR.py
@@ -1,9 +1,10 @@
 from typing import List, Any
 
-from talipp.indicator_util import has_valid_values
 from talipp.indicators.Indicator import Indicator, InputModifierType
+from talipp.indicators.TrueRange import TrueRange
 from talipp.input import SamplingPeriodType
 from talipp.ohlcv import OHLCV
+from talipp.ma import MAType, MAFactory
 
 
 class ATR(Indicator):
@@ -19,40 +20,24 @@ class ATR(Indicator):
         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,
+                 ma_type: MAType = MAType.WilderMA,
                  input_sampling: SamplingPeriodType = None):
         super(ATR, self).__init__(input_modifier=input_modifier,
                                   input_sampling=input_sampling)
 
         self.period = period
-        self.tr = []
 
-        self.add_managed_sequence(self.tr)
+        self._tr = TrueRange()
+        self.add_sub_indicator(self._tr)
+
+        self._ma_tr = MAFactory.get_ma(ma_type, period, input_indicator=self._tr)
 
         self.initialize(input_values, input_indicator)
 
     def _calculate_new_value(self) -> Any:
-        high = self.input_values[-1].high
-        low = self.input_values[-1].low
-
-        if has_valid_values(self.input_values, 1, exact=True):
-            self.tr.append(high - low)
-        else:
-            close2 = self.input_values[-2].close
-            self.tr.append(max(
-                high - low,
-                abs(high - close2),
-                abs(low - close2),
-            ))
-
-        if len(self.input_values) < self.period:
-            return None
-        elif len(self.input_values) == self.period:
-            return sum(self.tr) / self.period
-        else:
-            return (self.output_values[-1] * (self.period - 1) + self.tr[-1]) / self.period
+        return self._ma_tr.output_values[-1]
diff --git a/talipp/indicators/CHOP.py b/talipp/indicators/CHOP.py
@@ -2,7 +2,7 @@
 from typing import List, Any
 
 from talipp.indicator_util import has_valid_values
-from talipp.indicators.ATR import ATR
+from talipp.indicators.TrueRange import TrueRange
 from talipp.indicators.Indicator import Indicator, InputModifierType
 from talipp.input import SamplingPeriodType
 from talipp.ohlcv import OHLCV
@@ -33,19 +33,19 @@ def __init__(self, period: int,
 
         self.period = period
 
-        self.atr = ATR(1)
-        self.add_sub_indicator(self.atr)
+        self.tr = TrueRange()
+        self.add_sub_indicator(self.tr)
 
         self.initialize(input_values, input_indicator)
 
     def _calculate_new_value(self) -> Any:
-        if not has_valid_values(self.atr, self.period) or not has_valid_values(self.input_values, self.period):
+        if not has_valid_values(self.tr, self.period) or not has_valid_values(self.input_values, self.period):
             return None
 
         max_high = max(self.input_values[-self.period:], key = lambda x: x.high).high
         min_low = min(self.input_values[-self.period:], key = lambda x: x.low).low
 
         if max_high != min_low:
-            return 100.0 * log10(sum(self.atr[-self.period:]) / (max_high - min_low) ) / log10(self.period)
+            return 100.0 * log10(sum(self.tr[-self.period:]) / (max_high - min_low) ) / log10(self.period)
         else:
             return None
diff --git a/talipp/indicators/TrueRange.py b/talipp/indicators/TrueRange.py
@@ -0,0 +1,45 @@
+from typing import List, Any
+
+from talipp.indicator_util import has_valid_values
+from talipp.indicators.Indicator import Indicator, InputModifierType
+from talipp.input import SamplingPeriodType
+from talipp.ohlcv import OHLCV
+
+
+class TrueRange(Indicator):
+    """True Range
+
+    Input type: [OHLCV][talipp.ohlcv.OHLCV]
+
+    Output type: `float`
+
+    Args:
+        input_values: List of input values.
+        input_indicator: Input indicator.
+        input_modifier: Input modifier.
+        input_sampling: Input sampling type.
+    """
+
+    def __init__(self,
+                 input_values: List[OHLCV] = None,
+                 input_indicator: Indicator = None,
+                 input_modifier: InputModifierType = None,
+                 input_sampling: SamplingPeriodType = None):
+        super(TrueRange, self).__init__(input_modifier=input_modifier,
+                                  input_sampling=input_sampling)
+
+        self.initialize(input_values, input_indicator)
+
+    def _calculate_new_value(self) -> Any:
+        high = self.input_values[-1].high
+        low = self.input_values[-1].low
+
+        if has_valid_values(self.input_values, 1, exact=True):
+            return high - low
+        else:
+            close2 = self.input_values[-2].close
+            return max(
+                high - low,
+                abs(high - close2),
+                abs(low - close2),
+            )
diff --git a/talipp/indicators/VTX.py b/talipp/indicators/VTX.py
@@ -2,7 +2,7 @@
 from typing import List, Any
 
 from talipp.indicator_util import has_valid_values
-from talipp.indicators.ATR import ATR
+from talipp.indicators.TrueRange import TrueRange
 from talipp.indicators.Indicator import Indicator, InputModifierType
 from talipp.input import SamplingPeriodType
 from talipp.ohlcv import OHLCV
@@ -53,8 +53,8 @@ def __init__(self, period: int,
         self.minus_vm = []
         self.add_managed_sequence(self.minus_vm)
 
-        self.atr = ATR(1)
-        self.add_sub_indicator(self.atr)
+        self.tr = TrueRange()
+        self.add_sub_indicator(self.tr)
 
         self.initialize(input_values, input_indicator)
 
@@ -68,9 +68,9 @@ def _calculate_new_value(self) -> Any:
         self.plus_vm.append(abs(value.high - value2.low))
         self.minus_vm.append(abs(value.low - value2.high))
 
-        if not has_valid_values(self.atr, self.period) or not has_valid_values(self.plus_vm, self.period) or \
+        if not has_valid_values(self.tr, self.period) or not has_valid_values(self.plus_vm, self.period) or \
                 not has_valid_values(self.minus_vm, self.period):
             return None
 
-        atr_sum = float(sum(self.atr[-self.period:]))
+        atr_sum = float(sum(self.tr[-self.period:]))
         return VTXVal(sum(self.plus_vm[-self.period:]) / atr_sum, sum(self.minus_vm[-self.period:]) / atr_sum)
diff --git a/talipp/indicators/WilderMA.py b/talipp/indicators/WilderMA.py
@@ -0,0 +1,42 @@
+from typing import List, Any
+
+from talipp.indicator_util import has_valid_values
+from talipp.indicators.Indicator import Indicator, InputModifierType
+from talipp.input import SamplingPeriodType
+
+
+class WilderMA(Indicator):
+    """Wilder's Moving Average.
+
+    Input type: `float`
+
+    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[float] = None,
+                 input_indicator: Indicator = None,
+                 input_modifier: InputModifierType = None,
+                 input_sampling: SamplingPeriodType = None):
+        super().__init__(input_modifier=input_modifier,
+                         input_sampling=input_sampling)
+
+        self.period = period
+        self.k = 1.0 / self.period
+
+        self.initialize(input_values, input_indicator)
+
+    def _calculate_new_value(self) -> Any:
+        if len(self.input_values) < self.period:
+            return None
+        elif has_valid_values(self.input_values, self.period, exact=True):
+            return sum(self.input_values[-self.period:]) / self.period
+        else:
+            return float(self.k * self.input_values[-1] + (1.0 - self.k) * self.output_values[-1])
diff --git a/talipp/indicators/__init__.py b/talipp/indicators/__init__.py
@@ -47,12 +47,14 @@
 from .T3 import T3 as T3
 from .TEMA import TEMA as TEMA
 from .TRIX import TRIX as TRIX
+from .TrueRange import TrueRange as TrueRange
 from .TSI import TSI as TSI
 from .TTM import TTM as TTM
 from .UO import UO as UO
 from .VTX import VTX as VTX
 from .VWAP import VWAP as VWAP
 from .VWMA import VWMA as VWMA
+from .WilderMA import WilderMA as WilderMA
 from .WMA import WMA as WMA
 from .ZigZag import ZigZag as ZigZag
 from .ZLEMA import ZLEMA as ZLEMA
@@ -113,6 +115,7 @@
     "VTX",
     "VWAP",
     "VWMA",
+    "WilderMA",
     "WMA",
     "ZigZag",
     "ZLEMA"

diff --git a/talipp/ma.py b/talipp/ma.py
@@ -14,6 +14,7 @@
 from talipp.indicators.TEMA import TEMA
 from talipp.indicators.TRIX import TRIX
 from talipp.indicators.VWMA import VWMA
+from talipp.indicators.WilderMA import WilderMA
 from talipp.indicators.WMA import WMA
 from talipp.indicators.ZLEMA import ZLEMA
 
@@ -54,6 +55,9 @@ class MAType(Enum):
     VWMA = auto()
     """[Volume Weighted Moving Average][talipp.indicators.VWMA]"""
 
+    WilderMA = auto()
+    """[Wilder's Moving Average][talipp.indicators.WMA]"""
+
     WMA = auto()
     """[Weighted Moving Average][talipp.indicators.WMA]"""
 
@@ -101,6 +105,8 @@ def get_ma(ma_type: MAType,
             return HMA(period=period, input_values=input_values, input_indicator=input_indicator, input_modifier=input_modifier)
         elif ma_type == MAType.VWMA:
             return VWMA(period=period, input_values=input_values, input_indicator=input_indicator, input_modifier=input_modifier)
+        elif ma_type == MAType.WilderMA:
+            return WilderMA(period=period, input_values=input_values, input_indicator=input_indicator, input_modifier=input_modifier)
         elif ma_type == MAType.WMA:
             return WMA(period=period, input_values=input_values, input_indicator=input_indicator, input_modifier=input_modifier)
         elif ma_type == MAType.T3:

diff --git a/test/test_WilderMA.py b/test/test_WilderMA.py
@@ -0,0 +1,32 @@
+import unittest
+
+from talipp.indicators import WilderMA
+
+from TalippTest import TalippTest
+
+
+class Test(TalippTest):
+    def setUp(self) -> None:
+        self.input_values = list(TalippTest.CLOSE_TMPL)
+
+    def test_init(self):
+        ind = WilderMA(5, self.input_values)
+
+        print(ind)
+
+        self.assertAlmostEqual(ind[-3], 9.699400, places = 5)
+        self.assertAlmostEqual(ind[-2], 9.805521, places = 5)
+        self.assertAlmostEqual(ind[-1], 9.844417, places = 5)
+
+    def test_update(self):
+        self.assertIndicatorUpdate(WilderMA(5, self.input_values))
+
+    def test_delete(self):
+        self.assertIndicatorDelete(WilderMA(5, self.input_values))
+
+    def test_purge_oldest(self):
+        self.assertIndicatorPurgeOldest(WilderMA(5, self.input_values))
+
+
+if __name__ == '__main__':
+    unittest.main()