File Coverage

blib/lib/Math/Business/ATR.pm

Criterion	Covered	Total	%
statement	55	56	98.2
branch	15	18	83.3
condition	3	6	50.0
subroutine	8	9	88.8
pod	0	6	0.0
total	81	95	85.2

package Math::Business::ATR;

use strict;
use warnings;
use Carp;

1;

sub tag { (shift)->{tag} }

sub recommended {
    my $class = shift;

    $class->new(14);
}

sub new {
    my $class = shift;
    my $this  = bless {
    }, $class;

    my $days = shift;
    if( defined $days ) {
        $this->set_days( $days );
    }

    return $this;
}

sub set_days {
    my $this = shift;
    my $arg  = int(shift);

    croak "days must be a positive non-zero integer" if $arg <= 0;

    $this->{tag} = "ATR($arg)";

    # NOTE: wilder uses 13/14 * last + 1/14 * current for his exponential average ...
    # probably wouldn't have been my first choice, but that's how ATR is defined.

    $this->{days} = $arg;
    $this->{R1}  = ($arg-1)/$arg;
    $this->{R} = 1/$arg;
}

sub insert {
    my $this = shift;

    my $y_close = $this->{y_close};
    while( defined( my $point = shift ) ) {
        croak "insert takes three tuple [high, low, close]" unless ref $point eq "ARRAY" and @$point == 3;
        my ($t_high, $t_low, $t_close) = @$point;

        if( defined $y_close ) {
            my $A = abs( $t_high - $t_low );
            my $B = abs( $t_high - $y_close );
            my $C = abs( $t_low  - $y_close );

            my $true_range = $A;
               $true_range = $B if $B > $true_range;
               $true_range = $C if $C > $true_range;

            if( defined(my $atr = $this->{ATR}) ) {
                $this->{ATR} = $this->{R1} * $atr + $this->{R} * $true_range;

            } else {
                my $p;
                my $N = $this->{days};
                if( ref($p = $this->{_p}) and (@$p >= $N-1) ) {
                    my $sum = 0;
                       $sum += $_ for @$p;
                       $sum += $true_range;

                    $this->{ATR} = $sum / $N;
                    delete $this->{_p};

                } else {
                    push @{$this->{_p}}, $true_range;
                }
            }

        } else {
            my $true_range = $t_high - $t_low;

            # NOTE: _p shouldn't exist because this initializer is only used for the very first entry
            die "something is clearly wrong, see note below above line" if exists $this->{_p};

            # NOTE: this initializer sucks because the calculation is done
            # differently than it would be if you had data from the day before.
            # IMO, we should just return undef for an extra day, but this
            # appears to be by definition, so we do it:

            $this->{_p} = [$true_range];
        }

        $y_close = $t_close;
    }

    $this->{y_close} = $y_close;
}

sub query {
    my $this = shift;

    return $this->{ATR};
}

__END__