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Volatility Indicators

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11 functions.

pta.adr

Average Day Range

pta.adr(high=pl.col("high"), low=pl.col("low"), time_period=14)

TA-Lib name: ADR

Inputs

Input Default
high pl.col("high")
low pl.col("low")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 14 1 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.adr(time_period=20).alias("adr"))

pta.atr

Average True Range

pta.atr(high=pl.col("high"), low=pl.col("low"), close=pl.col("close"), time_period=14)

TA-Lib name: ATR

Inputs

Input Default
high pl.col("high")
low pl.col("low")
close pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 14 1 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.atr(time_period=20).alias("atr"))

pta.bbw

Bollinger BandWidth

pta.bbw(real=pl.col("close"), time_period=20, nb_dev_up=2, nb_dev_dn=2, ma_type=0)

TA-Lib name: BBW

Inputs

Input Default
real pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 20 2 .. 100000
nb_dev_up optInNbDevUp float 2 -3e+37 .. 3e+37
nb_dev_dn optInNbDevDn float 2 -3e+37 .. 3e+37
ma_type optInMAType int or name 0 SMA, EMA, WMA, DEMA, TEMA, TRIMA, KAMA, MAMA, T3, HMA, DISABLED, DEFAULT, ZLEMA, RMA, VIDYA, ALMA

Outputs

Field dtype
real Float64

Example

df.select(pta.bbw(time_period=20).alias("bbw"))

pta.cvi

Chaikin's Volatility

pta.cvi(high=pl.col("high"), low=pl.col("low"), time_period=10, roc_period=10)

TA-Lib name: CVI

Inputs

Input Default
high pl.col("high")
low pl.col("low")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 10 2 .. 100000
roc_period optInROCPeriod int 10 1 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.cvi(time_period=20).alias("cvi"))

pta.massi

Mass Index

pta.massi(high=pl.col("high"), low=pl.col("low"), fast_period=9, slow_period=25)

TA-Lib name: MASSI

Inputs

Input Default
high pl.col("high")
low pl.col("low")

Parameters

Parameter TA-Lib name Type Default Range / values
fast_period optInFastPeriod int 9 2 .. 100000
slow_period optInSlowPeriod int 25 2 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.massi().alias("massi"))

pta.natr

Normalized Average True Range

pta.natr(high=pl.col("high"), low=pl.col("low"), close=pl.col("close"), time_period=14)

TA-Lib name: NATR

Inputs

Input Default
high pl.col("high")
low pl.col("low")
close pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 14 1 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.natr(time_period=20).alias("natr"))

pta.percentb

Bollinger Bands %B

pta.percentb(real=pl.col("close"), time_period=20, nb_dev_up=2, nb_dev_dn=2, ma_type=0)

TA-Lib name: PERCENTB

Inputs

Input Default
real pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 20 2 .. 100000
nb_dev_up optInNbDevUp float 2 -3e+37 .. 3e+37
nb_dev_dn optInNbDevDn float 2 -3e+37 .. 3e+37
ma_type optInMAType int or name 0 SMA, EMA, WMA, DEMA, TEMA, TRIMA, KAMA, MAMA, T3, HMA, DISABLED, DEFAULT, ZLEMA, RMA, VIDYA, ALMA

Outputs

Field dtype
real Float64

Example

df.select(pta.percentb(time_period=20).alias("percentb"))

pta.rogerssatchell

Rogers-Satchell Volatility

pta.rogerssatchell(open=pl.col("open"), high=pl.col("high"), low=pl.col("low"), close=pl.col("close"), time_period=10, annualization=252)

TA-Lib name: ROGERSSATCHELL

Inputs

Input Default
open pl.col("open")
high pl.col("high")
low pl.col("low")
close pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 10 1 .. 100000
annualization optInAnnualization float 252 0 .. 3e+37

Outputs

Field dtype
real Float64

Example

df.select(pta.rogerssatchell(time_period=20).alias("rogerssatchell"))

pta.rvi

Relative Volatility Index

pta.rvi(real=pl.col("close"), time_period=14, std_dev_period=10)

TA-Lib name: RVI

Inputs

Input Default
real pl.col("close")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 14 1 .. 100000
std_dev_period optInStdDevPeriod int 10 2 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.rvi(time_period=20).alias("rvi"))

pta.rvir

Relative Volatility Index, refined high/low form

pta.rvir(high=pl.col("high"), low=pl.col("low"), time_period=14, std_dev_period=10)

TA-Lib name: RVIR

Inputs

Input Default
high pl.col("high")
low pl.col("low")

Parameters

Parameter TA-Lib name Type Default Range / values
time_period optInTimePeriod int 14 1 .. 100000
std_dev_period optInStdDevPeriod int 10 2 .. 100000

Outputs

Field dtype
real Float64

Example

df.select(pta.rvir(time_period=20).alias("rvir"))

pta.trange

True Range

pta.trange(high=pl.col("high"), low=pl.col("low"), close=pl.col("close"))

TA-Lib name: TRANGE

Inputs

Input Default
high pl.col("high")
low pl.col("low")
close pl.col("close")

Parameters

None.

Outputs

Field dtype
real Float64

Example

df.select(pta.trange().alias("trange"))