True Range

Function Prototype

/* True Range */
/* Type: indicator */
/* Input arrays: 3    Options: 0    Output arrays: 1 */
/* Inputs: high, low, close */
/* Options: none */
/* Outputs: tr */
int ti_tr_start(TI_REAL const *options);
int ti_tr(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

True range is a measure of volatility. It represents how much a security changed price on a given day.

True range for each day is the greatest of:

• Day's high minus day's low
• The absolute value of the day's high minus the previous day's close
• The absolute value of the day's low minus the previous day's close

True Range is often used as Average True Range which is calculated by applying Wilders Smoothing to True Range.

See Also

• Average True Range

References

• Kaufman, Perry J. (2013) Trading Systems and Methods
• Wilder, J. Welles (1978) New Concepts in Technical Trading Systems
• Murphy, J. (1999) Technical Analysis of the Financial Markets
• Achelis, S. (2000) Technical Analysis from A to Z, 2nd Edition
• Wikipedia: Average true range

Example Usage

Calling From C

/* Example usage of True Range */
/* Assuming that 'high', 'low', and 'close' are pre-loaded arrays of size 'in_size'. */
TI_REAL *inputs[] = {high, low, close};
TI_REAL options[] = {}; /* No options */
TI_REAL *outputs[1]; /* tr */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_tr_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* tr */

/* Run the actual calculation. */
const int ret = ti_tr(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of True Range
tr = ti.tr(high, low, close)

Example Calculation

Chart

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