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Drastically improve the speed of ATR calculation #326

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Drastically improve the speed of ATR calculation #326

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8 changes: 1 addition & 7 deletions ta/volatility.py
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Original file line number Diff line number Diff line change
Expand Up @@ -46,13 +46,7 @@ def __init__(
def _run(self):
close_shift = self._close.shift(1)
true_range = self._true_range(self._high, self._low, close_shift)
atr = np.zeros(len(self._close))
atr[self._window - 1] = true_range[0: self._window].mean()
for i in range(self._window, len(atr)):
atr[i] = (atr[i - 1] * (self._window - 1) + true_range.iloc[i]) / float(
self._window
)
self._atr = pd.Series(data=atr, index=true_range.index)
self._atr = true_range.ewm(alpha=1 / self.window, min_periods=self.window, adjust=False).mean()

def average_true_range(self) -> pd.Series:
"""Average True Range (ATR)
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