trueRange

Syntax

trueRange(high, low, close)

Arguments

The 3 parameters are numeric vectors of equal length.

Usually, high is the highest price of the current period; low is the lowest price of the current period; close is the closing price of the current period.

Details

Return a vector of the same length as each of the input vectors.

The result for each position is the maximum of | high - low |, | high - last period close | and | last period close - low |.

Examples

$ sym=take(`A`B,10)
$ date=2020.01.01 2020.01.01 2020.01.02 2020.01.02 2020.01.03 2020.01.03 2020.01.04 2020.01.04 2020.01.05 2020.01.05
$ high=[11.48,10.23,12.26,10.7,12.24,10.45,12.3,10.51,12.24,10.49]
$ low=[10.91,9.41,11.18,10,11.71,9.83,11.62,9.91,11.1,9.6]
$ close=[11.38,10.22,12.1,10.31,11.89,10.21,12.13,10.47,11.35,9.81]
$ t=table(sym,date,high,low,close)
$ select sym,trueRange(high,low,close) as trange from t context by sym;

sym	trange
A
A	1.08
A	0.53
A	0.68
A	1.14
B
B	0.7
B	0.62
B	0.6
B	0.89