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
$$tr_{t} = maximum(high_{t} - low_{t}, |high_{t} - close_{t-1}|, |low_{t} - close_{t-1}|)$$
True Range is often used as Average True Range which is calculated by applying Wilders Smoothing to True Range.
See Also
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
date | high | low | close | tr |
---|---|---|---|---|
2005-11-01 | 82.15 | 81.29 | 81.59 | 0.86 |
2005-11-02 | 81.89 | 80.64 | 81.06 | 1.25 |
2005-11-03 | 83.03 | 81.31 | 82.87 | 1.97 |
2005-11-04 | 83.30 | 82.65 | 83.00 | 0.65 |
2005-11-07 | 83.85 | 83.07 | 83.61 | 0.85 |
2005-11-08 | 83.90 | 83.11 | 83.15 | 0.79 |
2005-11-09 | 83.33 | 82.49 | 82.84 | 0.84 |
2005-11-10 | 84.30 | 82.30 | 83.99 | 2.00 |
2005-11-11 | 84.84 | 84.15 | 84.55 | 0.85 |
2005-11-14 | 85.00 | 84.11 | 84.36 | 0.89 |
2005-11-15 | 85.90 | 84.03 | 85.53 | 1.87 |
2005-11-16 | 86.58 | 85.39 | 86.54 | 1.19 |
2005-11-17 | 86.98 | 85.76 | 86.89 | 1.22 |
2005-11-18 | 88.00 | 87.17 | 87.77 | 1.11 |
2005-11-21 | 87.87 | 87.01 | 87.29 | 0.86 |
Chart
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