fix tr indicator

clojure-quant · Mar 29, 2024 · 0cfd04d · 0cfd04d
1 parent 6958d5b
commit 0cfd04d
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Showing 5 changed files with 26 additions and 9 deletions.
diff --git a/lib/indicator/src/ta/indicator.clj b/lib/indicator/src/ta/indicator.clj
@@ -8,6 +8,7 @@
    [tablecloth.api :as tc]
    [ta.indicator.helper :refer [indicator]]
    [ta.indicator.signal :refer [upward-change downward-change]]
+   [ta.indicator.returns :refer [diff-2col]]
    [ta.helper.ds :refer [has-col]]
    [ta.math.series :refer [gauss-summation]])
   (:import [clojure.lang PersistentQueue]))
@@ -153,15 +154,20 @@
     hl2))
 
 (defn tr
-  "input: bar-ds with (:low :high) columns
-   output: (high-low)"
+  "input: bar-ds with (:low :high :close) columns
+   output: Max [(H−L), abs(H−Cprev), abs(L−Cprev)]"
   [bar-ds]
   (assert (has-col bar-ds :low) "tr needs :low column in bar-ds")
   (assert (has-col bar-ds :high) "tr needs :high column in bar-ds")
-  (let [low (:low bar-ds)
-        high (:high bar-ds)
-        hl (dfn/- high low)]
-    hl))
+  (assert (has-col bar-ds :close) "tr needs :close column in bar-ds")
+  (let [{:keys [high low close]} bar-ds
+        hl (dfn/- high low)
+        hc (diff-2col high close (first hl))
+        lc (diff-2col low close (first hl))]
+    (dfn/max
+      hl
+      (dfn/abs hc)
+      (dfn/abs lc))))
 
 (defn atr
   "atr is a mma(n) on (tr bar)"

diff --git a/lib/indicator/src/ta/indicator/returns.clj b/lib/indicator/src/ta/indicator/returns.clj
@@ -38,6 +38,19 @@
         (- (integrated-values idx)
            (integrated-values (- idx n))))))))
 
+(defn diff-2col
+  "returns a vector of the difference between 2 columns (shifted)
+   formula: x = col1 (current) - col2 (prev)
+   first value is passed as argument"
+  [col1 col2 v]
+  (let [len (count col1)]
+    (dtype/clone
+      (dtype/make-reader
+        :float64 len
+        (if (= idx 0)
+          v
+          (- (col1 idx) (col2 (dec idx))))))))
+
 (defn return-stddev [price]
   (let [d (diff price)]
     (dfn/standard-deviation d)))

diff --git a/lib/indicator/test/ta/indicator/helper_test.clj b/lib/indicator/test/ta/indicator/helper_test.clj
@@ -9,7 +9,6 @@
 
 (deftest test-tr
   (is (all-fuzzy=
-       0.1
        (ta4j/bar ds :helpers/TR)
        (ind/tr ds))))
 

diff --git a/lib/indicator/test/ta/indicator/indicator_test.clj b/lib/indicator/test/ta/indicator/indicator_test.clj
@@ -39,7 +39,6 @@
 
 (deftest test-atr
   (is (all-fuzzy=
-       0.1
        (ta4j/bar ds :ATR 4)
        (ind/atr {:n 4} ds))))
 

diff --git a/lib/indicator/test/ta/indicator/util/data.clj b/lib/indicator/test/ta/indicator/util/data.clj
@@ -17,6 +17,6 @@
                {:date (t/instant "2019-11-11T00:00:00.000Z") :open 130.0 :high 150.7 :low 90.055 :close 125.0 :volume 15000}
                {:date (t/instant "2019-11-12T00:00:00.000Z") :open 125.0 :high 130.6 :low 90.044 :close 120.0 :volume 12000}
                {:date (t/instant "2019-11-13T00:00:00.000Z") :open 120.0 :high 120.0 :low 90.033 :close 110.0 :volume 11000}
-               {:date (t/instant "2019-11-14T00:00:00.000Z") :open 101.0 :high 110.0 :low 90.022 :close 100.0 :volume  9000}
+               {:date (t/instant "2019-11-14T00:00:00.000Z") :open 101.0 :high 110.0 :low 88.022 :close 89.0 :volume  9000}
                {:date (t/instant "2019-11-15T00:00:00.000Z") :open 100.0 :high 120.0 :low 90.011 :close 110.0 :volume 11000}]))