This is an open-source ATR function written by the owners of the group, and I would like to ask you to write a version of PANDAS without using the TALIB function.
def ATR(records, period=14): if len(records) == 0: return [] if ‘Close’ not in records[0]: raise “TA.ATR argument must KLine”
R = Std._zeros(len(records))
m = 0.0
n = 0.0
for i in xrange(0, len(records)):
TR = 0
if i == 0:
TR = records[i]['High'] - records[i]['Low']
else:
TR = max(records[i]['High'] - records[i]['Low'], abs(records[i]['High'] - records[i - 1]['Close']), abs(records[i - 1]['Close'] - records[i]['Low']))
m += TR
if i < period:
n = m / (i + 1)
else:
n = (((period - 1) * n) + TR) / period
R[i] = n
return R
The grassIt's the same speed.