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Python classes implementing True Range and Average True Range indicators
Jonathan Kamens
posted Nov 7, 2012

In https://www.quantopian.com/posts/time-frame-based-indicator, Jay Deng asked about how to implement Time Range and Average Time Range indicators in Python for Quantopian. Eddie Hebert posted some sample code at https://www.quantopian.com/posts/average-true-range-basic-implementation.

The code I'm posting here improves on Eddie's implementation in two ways: (1) it encapsulates the functionality in easy-to-use Python classes, and (2) it implements both True Range and Average True Range (I think the thing that Eddie called Average True Range was actually True Range).

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1 response
Jay Deng
Nov 7, 2012

Thank you Jonathan for the class version
This is really a good template for implementing indicators that need to trace back certain bars historically, i.e. MACD
I am new to python so this really helps a lot!!!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.