Source code for pandas_ta.volatility.true_range

# -*- coding: utf-8 -*-
from numpy import nan as npNaN
from pandas import concat
from pandas_ta import Imports
from pandas_ta.utils import get_drift, get_offset, non_zero_range, verify_series


[docs]def true_range(high, low, close, talib=None, drift=None, offset=None, **kwargs): """Indicator: True Range""" # Validate arguments high = verify_series(high) low = verify_series(low) close = verify_series(close) drift = get_drift(drift) offset = get_offset(offset) mode_tal = bool(talib) if isinstance(talib, bool) else True # Calculate Result if Imports["talib"] and mode_tal: from talib import TRANGE true_range = TRANGE(high, low, close) else: high_low_range = non_zero_range(high, low) prev_close = close.shift(drift) ranges = [high_low_range, high - prev_close, prev_close - low] true_range = concat(ranges, axis=1) true_range = true_range.abs().max(axis=1) true_range.iloc[:drift] = npNaN # Offset if offset != 0: true_range = true_range.shift(offset) # Handle fills if "fillna" in kwargs: true_range.fillna(kwargs["fillna"], inplace=True) if "fill_method" in kwargs: true_range.fillna(method=kwargs["fill_method"], inplace=True) # Name and Categorize it true_range.name = f"TRUERANGE_{drift}" true_range.category = "volatility" return true_range
true_range.__doc__ = \ """True Range An method to expand a classical range (high minus low) to include possible gap scenarios. Sources: https://www.macroption.com/true-range/ Calculation: Default Inputs: drift=1 ABS = Absolute Value prev_close = close.shift(drift) TRUE_RANGE = ABS([high - low, high - prev_close, low - prev_close]) Args: high (pd.Series): Series of 'high's low (pd.Series): Series of 'low's close (pd.Series): Series of 'close's talib (bool): If TA Lib is installed and talib is True, Returns the TA Lib version. Default: True drift (int): The shift period. Default: 1 offset (int): How many periods to offset the result. Default: 0 Kwargs: fillna (value, optional): pd.DataFrame.fillna(value) fill_method (value, optional): Type of fill method Returns: pd.Series: New feature """