Signature | Description | Parameters |
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#include <DataFrame/DataFrameFinancialVisitors.h> template<typename T, typename I = unsigned long, std::size_t A = 0> struct TrueRangeVisitor; |
This is a “single action visitor”, meaning it is passed the whole data vector in one call and you must use the single_act_visit() interface. This visitor calculates price range based on low, high, and close. It requires 3 input columns in order of low, highme, close. The result is a vector of values with same number of items as the given columns. The first roll_peiord - 1 items, in the result will be NAN, if rolling_avg is true. The true range indicator is taken as the greatest of the following: current high less the current low; the absolute value of the current high less the previous close; and the absolute value of the current low less the previous close. explicit TrueRangeVisitor(bool rolling_avg = false, size_t rolling_period = 14, normalize = false); rolling_avg: Apply rolling average to the result vector rolling_period: Rolling average period normalize: If rolling_avg and normalize are true, the ATR is normalized by 100/ClosePrice |
T: Column data type I: Index type A: Memory alignment boundary for vectors. Default is system default alignment |
static void test_TrueRangeVisitor() { std::cout << "\nTesting TrueRangeVisitor{ } ..." << std::endl; typedef StdDataFrame<std::string> StrDataFrame; StrDataFrame df; try { df.read("data/SHORT_IBM.csv", io_format::csv2); TrueRangeVisitor<double, std::string> tr; std::future<TrueRangeVisitor<double, std::string> &> fut = df.single_act_visit_async<double, double, double>("IBM_Low", "IBM_High", "IBM_Close", tr); fut.get(); assert(tr.get_result().size() == 1721); assert(std::abs(tr.get_result()[0] - 2.2) < 0.0001); assert(std::abs(tr.get_result()[12] - 2.8906) < 0.0001); assert(std::abs(tr.get_result()[19] - 2.8988) < 0.0001); assert(std::abs(tr.get_result()[20] - 2.8429) < 0.0001); assert(std::abs(tr.get_result()[24] - 2.5409) < 0.0001); assert(std::abs(tr.get_result()[25] - 2.5886) < 0.0001); assert(std::abs(tr.get_result()[1720] - 3.4109) < 0.0001); assert(std::abs(tr.get_result()[1712] - 3.6414) < 0.0001); assert(std::abs(tr.get_result()[1707] - 3.5273) < 0.0001); TrueRangeVisitor<double, std::string> tr2 (true, 14, true); std::future<TrueRangeVisitor<double, std::string> &> fut2 = df.single_act_visit_async<double, double, double>("IBM_Low", "IBM_High", "IBM_Close", tr2); fut2.get(); assert(tr2.get_result().size() == 1721); assert(std::abs(tr2.get_result()[0] - 1.1858) < 0.0001); assert(std::abs(tr2.get_result()[12] - 1.534) < 0.0001); assert(std::abs(tr2.get_result()[19] - 1.6344) < 0.0001); assert(std::abs(tr2.get_result()[20] - 1.609) < 0.0001); assert(std::abs(tr2.get_result()[24] - 1.4547) < 0.0001); assert(std::abs(tr2.get_result()[25] - 1.4604) < 0.0001); assert(std::abs(tr2.get_result()[1720] - 3.0547) < 0.0001); assert(std::abs(tr2.get_result()[1712] - 3.1025) < 0.0001); assert(std::abs(tr2.get_result()[1707] - 2.8196) < 0.0001); } catch (const DataFrameError &ex) { std::cout << ex.what() << std::endl; } }