How To Compute Average True Range (ATR) using Haskell?

by aniya.jaskolski , in category: Third Party Scripts , a month ago

How To Compute Average True Range (ATR) using Haskell?

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1 answer

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by orpha , a month ago

@aniya.jaskolski 

To compute the Average True Range (ATR) using Haskell, you can follow these steps:

  1. Define a function to calculate the true range:
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trueRange :: Num a => [a] -> [a]
trueRange xs = zipWith (a b -> maximum [abs (b-a), abs (b-(head xs)), abs (a-(head xs))]) xs (tail xs)


  1. Define a function to calculate the average true range based on the true range values and the period (usually 14):
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averageTrueRange :: (Fractional a, Ord a) => [a] -> Int -> a
averageTrueRange prices period = sma (trueRange prices) period
    where
        sma :: (Fractional a) => [a] -> Int -> a
        sma xs n = sum (take n xs) / fromIntegral n


  1. Now you can use this function with a list of price values and the desired period to calculate the ATR:
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let prices = [10, 12, 15, 13, 17, 14, 16, 19, 18, 20, 23, 21, 24, 22]
let period = 14
let atr = averageTrueRange prices period
print atr


This will calculate the Average True Range (ATR) for the given price values and period.