How To Calculate Average True Range (ATR) in Ruby?

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

def average_true_range(prices, period)
  tr_values = []
  
  prices.each_with_index do |price, index|
    if index == 0
      tr_values << prices[index + 1] - prices[index]
    elsif index > 0
      hl_diff = prices[index] - prices[index - 1]
      hc_diff = prices[index] - prices[index - 1]
      lc_diff = prices[index - 1] - prices[index]
      
      tr_values << [hl_diff.abs, hc_diff.abs, lc_diff.abs].max
    end
  end
  
  true_range = tr_values.inject(0, :+)
  atr = true_range / period.to_f
  
  return atr
end

# Example usage
prices = [10, 12, 15, 13, 16, 18, 20, 21, 22, 20]
period = 5

atr = average_true_range(prices, period)
puts "Average True Range is: #{atr}"