average_true_range

qf_lib.common.utils.miscellaneous.average_true_range.average_true_range(prices_df: qf_lib.containers.dataframe.prices_dataframe.PricesDataFrame, normalized: bool = False) → float[source]

Calculates the average true range.

Parameters
  • prices_df (PricesDataFrame) – PricesDataFrame containing High, Low, Close PriceFields and a number of rows equal to window_length + 1

  • normalized (bool) – if True, each true_range is normalized to the closing price for the same day; NATR is returned

Returns

Average True Range calculated as mean of True Range values; a time period is equal to the amount of rows in prices_df reduced by 1

Return type

float