ATR calculation to use the previous closing value.

strategy/volatility/testdata/super_trend_strategy.csv

@@ -15,8 +15,8 @@ Action
 0
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-1
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+1
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@@ -30,8 +30,8 @@ Action
 1
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--1
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@@ -43,17 +43,16 @@ Action
 0
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+-1
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+1
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--1
-0
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-1
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 -1
@@ -66,6 +65,7 @@ Action
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+0
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@@ -88,8 +88,8 @@ Action
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-0
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@@ -100,8 +100,8 @@ Action
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-0
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+1
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@@ -117,8 +117,8 @@ Action
 -1
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-0
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@@ -133,18 +133,18 @@ Action
 0
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-0
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+0
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--1
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@@ -177,8 +177,8 @@ Action
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@@ -197,8 +197,8 @@ Action
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@@ -245,8 +245,8 @@ Action
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-0
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+1
+-1

volatility/README.md

@@ -226,7 +226,7 @@ IdlePeriod is the initial period that Acceleration Bands won't yield any results
 Atr represents the configuration parameters for calculating the Average True Range \(ATR\). It is a technical analysis indicator that measures market volatility by decomposing the entire range of stock prices for that period.
 
 ```
-TR = Max((High - Low), (High - Closing), (Closing - Low))
+TR = Max((High - Low), (High - Previous Closing), (Previous Closing - Low))
 ATR = MA TR
 ```
 
@@ -283,7 +283,7 @@ func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T
 Compute function takes a channel of numbers and computes the ATR over the specified period.
 
 <a name="Atr[T].IdlePeriod"></a>
-### func \(\*Atr\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/atr.go#L66>)
+### func \(\*Atr\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/atr.go#L70>)
 
 ```go
 func (a *Atr[T]) IdlePeriod() int
@@ -441,7 +441,7 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <
 Compute function takes a channel of numbers and computes the Chandelier Exit over the specified period.
 
 <a name="ChandelierExit[T].IdlePeriod"></a>
-### func \(\*ChandelierExit\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/chandelier_exit.go#L74>)
+### func \(\*ChandelierExit\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/chandelier_exit.go#L81>)
 
 ```go
 func (c *ChandelierExit[T]) IdlePeriod() int
@@ -569,7 +569,7 @@ func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <
 Compute function takes a channel of numbers and computes the Keltner Channel over the specified period.
 
 <a name="KeltnerChannel[T].IdlePeriod"></a>
-### func \(\*KeltnerChannel\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/keltner_channel.go#L79>)
+### func \(\*KeltnerChannel\[T\]\) [IdlePeriod](<https://github.com/cinar/indicator/blob/master/volatility/keltner_channel.go#L82>)
 
 ```go
 func (k *KeltnerChannel[T]) IdlePeriod() int

volatility/atr.go

@@ -20,7 +20,7 @@ const (
 // It is a technical analysis indicator that measures market volatility by decomposing the
 // entire range of stock prices for that period.
 //
-//	TR = Max((High - Low), (High - Closing), (Closing - Low))
+//	TR = Max((High - Low), (High - Previous Closing), (Previous Closing - Low))
 //	ATR = MA TR
 //
 // By default, SMA is used as the MA.
@@ -41,7 +41,7 @@ func NewAtr[T helper.Number]() *Atr[T] {
 
 // NewAtrWithPeriod function initializes a new ATR instance with the given period.
 func NewAtrWithPeriod[T helper.Number](period int) *Atr[T] {
-	return NewAtrWithMa[T](trend.NewSmaWithPeriod[T](period))
+	return NewAtrWithMa(trend.NewSmaWithPeriod[T](period))
 }
 
 // NewAtrWithMa function initializes a new ATR instance with the given moving average instance.
@@ -53,6 +53,10 @@ func NewAtrWithMa[T helper.Number](ma trend.Ma[T]) *Atr[T] {
 
 // Compute function takes a channel of numbers and computes the ATR over the specified period.
 func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T {
+	// Use previous closing by skipping highs and lows by one.
+	highs = helper.Skip(highs, 1)
+	lows = helper.Skip(lows, 1)
+
 	tr := helper.Operate3(highs, lows, closings, func(high, low, closing T) T {
 		return T(math.Max(float64(high-low), math.Max(float64(high-closing), float64(closing-low))))
 	})
@@ -64,5 +68,6 @@ func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T {
 
 // IdlePeriod is the initial period that Acceleration Bands won't yield any results.
 func (a *Atr[T]) IdlePeriod() int {
-	return a.Ma.IdlePeriod()
+	// Ma idle period and for using the previous closing.
+	return a.Ma.IdlePeriod() + 1
 }

volatility/chandelier_exit.go

@@ -53,8 +53,15 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <
 
 	atr := NewAtrWithPeriod[T](c.Period)
 
-	maxHighs := max.Compute(highsSplice[0])
-	minLows := min.Compute(lowsSplice[0])
+	maxHighs := helper.Skip(
+		max.Compute(highsSplice[0]),
+		atr.IdlePeriod()-max.IdlePeriod(),
+	)
+
+	minLows := helper.Skip(
+		min.Compute(lowsSplice[0]),
+		atr.IdlePeriod()-min.IdlePeriod(),
+	)
 
 	atr3Splice := helper.Duplicate(
 		helper.MultiplyBy(
@@ -72,5 +79,5 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <
 
 // IdlePeriod is the initial period that Chandelier Exit won't yield any results.
 func (c *ChandelierExit[T]) IdlePeriod() int {
-	return c.Period - 1
+	return c.Period
 }

volatility/keltner_channel.go

@@ -62,7 +62,10 @@ func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, <
 
 	//	Middle Line = EMA(period, closings)
 	middles := helper.Duplicate(
-		k.Ema.Compute(closingsSplice[1]),
+		helper.Skip(
+			k.Ema.Compute(closingsSplice[1]),
+			k.Atr.IdlePeriod()-k.Ema.IdlePeriod(),
+		),
 		3,
 	)