INNER CODE UNIT · Python

atrlimit

aticio/legitindicators · legitindicators.py:99

def atrlimit(data, length, ss_length):
    """Average True Range implementation with a limit for using as a volatility indicator

    :param data: list of ohlc data [open, high, low, close]
    :type data: list
    :param length: lookback period for atr indicator
    :type length: int
    :param ss_length: Super Smoother length to be used as threashold
    :type ss_length: int
    :return: list of ones and zeros to be used as volatility indicator
    :rtype: list
    """
    atrl = []

    avgtr = atr(data, length)
    s_avgtr = super_smoother(avgtr, ss_length)

    for t, _ in enumerate(avgtr):

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