# Copyright 2003, 2004, 2005, 2006, 2007, 2009, 2010 Kevin Ryde # This file is part of Chart. # # Chart is free software; you can redistribute it and/or modify it under the # terms of the GNU General Public License as published by the Free Software # Foundation; either version 3, or (at your option) any later version. # # Chart is distributed in the hope that it will be useful, but WITHOUT ANY # WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the GNU General Public License for more # details. # # You should have received a copy of the GNU General Public License along # with Chart. If not, see . package App::Chart::Series::Derived::NATR; use 5.010; use strict; use warnings; use Carp; use Locale::TextDomain 1.17; # for __p() use Locale::TextDomain ('App-Chart'); use base 'App::Chart::Series::Indicator'; use App::Chart::Series::Derived::ATR; use App::Chart::Series::Derived::WilliamsR; # http://www.traders.com/Documentation/FEEDbk_docs/Archive/052006/TradersTips/TradersTips.html # TASC Trader's Tips May 2006, various formulas. # # http://www.theessentialsoftrading.com/Blog/index.php/category/technical-analysis/ # Blog by John Forman, sample of S&P500 back to 1980. # # http://www.trade2win.com/knowledge/articles/general_articles/average-true-range-indicator/ # Article by John Forman (2 pages), sample of monthly S&P 500 from 1998 # to 2007 comparing ATR to NATR (seems to be 14-period smoothing). # http://www.trade2win.com/knowledge/articles/general_articles/average-true-range-indicator/page2 # Continuing that article, sample of monthly S&P 500 from 1986 to 2006 # comparing ATR to NATR (again seems to be 14-period smoothing). # # http://www.theessentialsoftrading.com/ # John Forman's web site. # sub longname { __('NATR - Normalized ATR') } sub shortname { __('NATR') } sub manual { __p('manual-node','Normalized ATR') } use constant { type => 'indicator', units => 'natr', # percentage, but only a small one minimum => 0, parameter_info => [ { name => __('Days'), key => 'atr_days', # shared with ATR.pm type => 'integer', minimum => 1, default => 14 } ], }; sub new { my ($class, $parent, $N) = @_; $N //= parameter_info()->[0]->{'default'}; ($N > 0) || croak "NATR bad N: $N"; return $class->SUPER::new (parent => $parent, parameters => [ $N ], arrays => { values => [] }, array_aliases => { }); } # Return a procedure which calculates a normalized average true range over # an accumulated exponential moving average of $N days. # # Each call $proc->($high, $low, $close) enters a new day into the window, # and the return is the NATR for that day, or undef if not enough points yet. # # $high and/or $low can be undef in each call, in which case $close is used. # $closeq cannot be undef. # # A NATR is in theory influenced by all preceding data, but warmup_count() # is designed to determine a warmup count. # sub proc { my ($class_or_self, $N) = @_; my $atr_proc = App::Chart::Series::Derived::ATR->proc ($N); return sub { my ($high, $low, $close) = @_; my $atr = $atr_proc->($high, $low, $close); return ($close == 0 ? undef : 100 * $atr / $close); }; } *warmup_count = \&App::Chart::Series::Derived::ATR::warmup_count; *fill_part = \&App::Chart::Series::Derived::WilliamsR::fill_part; 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::NATR -- normalized average true range (ATR) # # =head1 SYNOPSIS # # my $series = $parent->NATR($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L # # =cut