Average True Range in TqSdk

Article TqSdk

Summary

This tutorial explains the true range (TR) and average true range (ATR), then shows how to calculate and display both for a Shanghai Futures Exchange gold contract using TqSdk. True range takes the largest of the current high-low range, the gap between the current high and previous close, and the gap between the previous close and current low. ATR is described as a simple moving average of true range over a chosen window; the example uses 14 daily observations.

The tutorial demonstrates retrieving daily bars, computing the indicator, and assigning ATR and TR values to chart panels. It also shows that plot properties such as color and line width can be set. The example is instructional rather than a trading strategy: it explains indicator calculation and charting but gives no entry or exit rules, performance evidence, or guidance for interpreting ATR across contracts with different price scales. The choice of window is presented as conventional, not justified by comparative testing.

Key ideas

True range accounts for both the current bar's range and gaps relative to the previous close.
ATR is calculated as a moving average of true range over a selected lookback window.
The example uses a 14-period ATR on daily gold futures data.
TqSdk values can be assigned to separate chart panels with configurable display properties.
The tutorial teaches calculation and plotting, not a validated trading signal.

Tags

Futures Technical indicators Volatility

Full text

# 获取 SHFE.au1912 合约的平均真实波幅，导入TqApi和对应的技术指标函数ATR


.. _draw_indicator:

技术指标绘图和使用示例
=========================================================================
在TqSdk中我们提供了非常丰富的 :ref:`tqsdk.ta` ，下面我们以真实波幅均值（ATR average true range）为例，来讲解这个指标在策略中如何使用并在天勤终端和VS code插件版中进行画图

ATR的计算比较简单，首先我们要算出当前真实的波幅.这里不单单考虑当前的价格波动，同时也要考虑到前一个时间点收盘价和当前开盘价之间的价格缺口.而ATR则是真实波幅一段时间窗口（一般取14天）的简单移动平均.计算公式如下：

1.真实波幅（TR）： TR = MAX（∣最高价-最低价∣，∣最高价-昨收∣，∣昨收-最低价∣）

2.真实波幅均值（ATR）： ATR = TR的N日简单移动平均

在天勤中我们可以很方便的计算出以上两个数据::

    # 获取 SHFE.au1912 合约的平均真实波幅，导入TqApi和对应的技术指标函数ATR
    from tqsdk import TqApi, TqAuth
    from tqsdk.ta import ATR

    api = TqApi(TqAuth("快期账户", "账户密码"))
    klines = api.get_kline_serial("SHFE.au1912", 24 * 60 * 60)
    atr = ATR(klines, 14)
    print(atr.tr)  # 真实波幅
    print(atr.atr)  # 真实波幅均值
    # 预计的输出是这样的:
    [..., 143.0, 48.0, 80.0, ...]
    [..., 95.20000000000005, 92.0571428571429, 95.21428571428575, ...]
    # 通过api.wait_update()将vs code信息发送给天勤终端
    api.wait_update()
    api.close()
	
如何在天勤终端和外部天勤IDE插件进行绘图？
--------------------------------------------------------------------------
在得到这两个数据之后，我们可使用天勤终端内配置的IDE或 Vs Code插件版来进行绘图::

    # 创建副图以折线显示art.art数据 
    klines["ATR_atr"] = atr.atr
    # ATR_atr.board为选择图版，可选，缺省为"MAIN"表示绘制在主图 
    klines["ATR_atr.board"] = "ATR_atr"
    # 通过api.wait_update()将vs code信息发送给天勤终端
    api.wait_update()
    api.close()
	
以上代码运行之后，会在天勤内部绘制额外atr.atr副图

.. figure:: ../images/draw_index.png

设定color和width对应可选参数即可更改副图图像颜色和宽度属性::

    # 在副图以折线形态显示atr.tr数据
    klines["ATR_tr"] = atr.tr
    # ATR_tr.board为选择图版，可选，缺省为"MAIN"表示绘制在主图
    klines["ATR_tr.board"] = "ATR_tr"
    # ATR_tr.color为文本颜色，可选，缺省为红色
    klines["ATR_tr.color"] = 0xFF00FF00
    # ATR_tr.width 为折线宽度，可选
    klines["ATR_tr.width"] = 3
    # 创建另外副图显示art.art数据
    klines["ATR_atr"] = atr.atr
    klines["ATR_atr.board"] = "ATR_atr"
    # 通过api.wait_update()将vs code信息发送给天勤终端
    api.wait_update()
    api.close()

运行代码显示如下：

.. figure:: ../images/indicate_index.png

更多的画图示例在示例程序 t90 - t95 ： :ref:`demo`

Shown in full with attribution under the source's licence. Licence: Apache-2.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Calculating and Plotting Average True Range in TqSdk

Summary

Key ideas

Tags