# 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 <http://www.gnu.org/licenses/>.
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<App::Chart::Series>
#
# =cut