add true range indicator

indicator_true_range.go

@@ -0,0 +1,26 @@
+package techan
+
+import "github.com/sdcoffey/big"
+
+type trueRangeIndicator struct {
+	series *TimeSeries
+}
+
+// NewTrueRangeIndicator returns a base indicator
+// which calculates the true rangat the current point in time for a series
+// https://www.investopedia.com/terms/a/atr.asp
+func NewTrueRangeIndicator(series *TimeSeries) Indicator {
+	return trueRangeIndicator{
+		series: series,
+	}
+}
+
+func (tri trueRangeIndicator) Calculate(index int) big.Decimal {
+	candle := tri.series.Candles[index]
+	previousClose := tri.series.Candles[index-1].ClosePrice
+
+	trueHigh := big.MaxSlice(candle.MaxPrice, previousClose)
+	trueLow := big.MinSlice(candle.MinPrice, previousClose)
+
+	return trueHigh.Sub(trueLow)
+}

indicator_true_range_test.go

@@ -0,0 +1,23 @@
+package techan
+
+import (
+	"testing"
+)
+
+func TestTrueRangeIndicator(t *testing.T) {
+	ts := mockTimeSeriesOCHL(
+		[]float64{10, 15, 20, 10},
+		[]float64{11, 16, 21, 11},
+		[]float64{12, 17, 22, 12},
+		[]float64{13, 18, 23, 13},
+		[]float64{14, 19, 24, 14},
+		[]float64{15, 20, 25, 15},
+	)
+
+	trueRangeIndicator := NewTrueRangeIndicator(ts)
+
+	decimalEquals(t, 10, trueRangeIndicator.Calculate(4))
+	decimalEquals(t, 10, trueRangeIndicator.Calculate(3))
+	decimalEquals(t, 10, trueRangeIndicator.Calculate(2))
+	decimalEquals(t, 10, trueRangeIndicator.Calculate(1))
+}