atr v0.0.6

Average True Range

Use ATR to calculate the volatility of a set data.

Usage

Pass the atr() function your data set, in the form of an array matrix. Supply the second parameter with an array of the keys you've used. Supply the third parameter with the number of smoothing periods desired.

var atr = require('atr');

var data = [
  {
    high: 10,
    low: 8,
    close: 9
  }
  ...
];

atr(data, ['high', 'low', 'close'], 14);

Produces an array of objects, containing:

[{
  frange: 1.0600000000000023,
  hrange: 0.1700000000000017,
  lrange: 0.8900000000000006,
  trange: 1.0600000000000023,
  atr: 1.3628571428571423
}]

Note, the first n atr are calculated only using the trange and the first item in the array will not be calculated, as it requires a previous set.