feat: Add ATR Trailing Stop

stock_indicators/indicators/__init__.py

@@ -7,6 +7,7 @@
 from .alligator import (get_alligator)
 from .alma import (get_alma)
 from .aroon import (get_aroon)
+from .atr_stop import (get_atr_stop)
 from .atr import (get_atr)
 from .awesome import (get_awesome)
 from .basic_quotes import (get_basic_quote)

stock_indicators/indicators/atr_stop.py

@@ -0,0 +1,83 @@
+from decimal import Decimal
+from typing import Iterable, Optional, TypeVar
+
+from stock_indicators._cslib import CsIndicator
+from stock_indicators._cstypes import List as CsList
+from stock_indicators._cstypes import Decimal as CsDecimal
+from stock_indicators._cstypes import to_pydecimal
+from stock_indicators.indicators.common.enums import EndType
+from stock_indicators.indicators.common.helpers import RemoveWarmupMixin
+from stock_indicators.indicators.common.results import IndicatorResults, ResultBase
+from stock_indicators.indicators.common.quote import Quote
+
+
+def get_atr_stop(quotes: Iterable[Quote], lookback_periods: int = 21,
+                 multiplier: float = 3, end_type: EndType = EndType.CLOSE):
+    """Get ATR Trailing Stop calculated.
+
+    ATR Trailing Stop attempts to determine the primary trend of prices by using
+    Average True Range (ATR) band thresholds. It can indicate a buy/sell signal or a
+    trailing stop when the trend changes.
+
+    Parameters:
+        `quotes` : Iterable[Quote]
+            Historical price quotes.
+
+        `lookback_periods` : int, defaults 21
+            Number of periods for ATR.
+
+        `multiplier` : float, defaults 3
+            Multiplier sets the ATR band width.
+
+        `end_type` : EndType, defaults EndType.CLOSE
+            Sets basis for stop offsets (Close or High/Low).
+
+    Returns:
+        `AtrStopResults[AtrStopResult]`
+            AtrStopResults is list of AtrStopResult with providing useful helper methods.
+
+    See more:
+         - [ATR Trailing Stop Reference](https://python.stockindicators.dev/indicators/AtrStop/#content)
+         - [Helper Methods](https://python.stockindicators.dev/utilities/#content)
+    """
+    results = CsIndicator.GetAtrStop[Quote](CsList(Quote, quotes), lookback_periods, multiplier, end_type.cs_value)
+    return AtrStopResults(results, AtrStopResult)
+
+
+class AtrStopResult(ResultBase):
+    """
+    A wrapper class for a single unit of ATR Trailing Stop results.
+    """
+
+    @property
+    def atr_stop(self) -> Optional[Decimal]:
+        return to_pydecimal(self._csdata.AtrStop)
+
+    @atr_stop.setter
+    def atr_stop(self, value):
+        self._csdata.AtrStop = CsDecimal(value)
+
+    @property
+    def buy_stop(self) -> Optional[Decimal]:
+        return to_pydecimal(self._csdata.BuyStop)
+
+    @buy_stop.setter
+    def buy_stop(self, value):
+        self._csdata.BuyStop = CsDecimal(value)
+
+    @property
+    def sell_stop(self) -> Optional[Decimal]:
+        return to_pydecimal(self._csdata.SellStop)
+
+    @sell_stop.setter
+    def sell_stop(self, value):
+        self._csdata.SellStop = CsDecimal(value)
+
+
+_T = TypeVar("_T", bound=AtrStopResult)
+class AtrStopResults(RemoveWarmupMixin, IndicatorResults[_T]):
+    """
+    A wrapper class for the list of ATR Trailing Stop results.
+    It is exactly same with built-in `list` except for that it provides
+    some useful helper methods written in CSharp implementation.
+    """

tests/test_atr_stop.py

@@ -0,0 +1,107 @@
+import pytest
+from stock_indicators import indicators
+from stock_indicators.indicators.common.enums import EndType
+
+class TestAtrStop:
+    def test_standard(self, quotes):
+        results = indicators.get_atr_stop(quotes, 21, 3, EndType.CLOSE)
+
+        assert 502 == len(results)
+        assert 481 == len(list(filter(lambda x: x.atr_stop is not None, results)))
+
+        r = results[20]
+        assert r.atr_stop is None
+        assert r.buy_stop is None
+        assert r.sell_stop is None
+
+        r = results[21]
+        assert 211.13 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[151]
+        assert 232.7861 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[152]
+        assert 236.3913 == round(float(r.atr_stop), 4)
+        assert r.atr_stop == r.buy_stop
+        assert r.sell_stop is None
+
+        r = results[249]
+        assert 253.8863 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[501]
+        assert 246.3232 == round(float(r.atr_stop), 4)
+        assert r.atr_stop == r.buy_stop
+        assert r.sell_stop is None
+
+    def test_high_low(self, quotes):
+        results = indicators.get_atr_stop(quotes, 21, 3, EndType.HIGH_LOW)
+
+        assert 502 == len(results)
+        assert 481 == len(list(filter(lambda x: x.atr_stop is not None, results)))
+
+        r = results[20]
+        assert r.atr_stop is None
+        assert r.buy_stop is None
+        assert r.sell_stop is None
+
+        r = results[21]
+        assert 210.23 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[69]
+        assert 221.0594 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[70]
+        assert 226.4624 == round(float(r.atr_stop), 4)
+        assert r.atr_stop == r.buy_stop
+        assert r.sell_stop is None
+
+        r = results[249]
+        assert 253.4863 == round(float(r.atr_stop), 4)
+        assert r.buy_stop is None
+        assert r.atr_stop == r.sell_stop
+
+        r = results[501]
+        assert 252.6932 == round(float(r.atr_stop), 4)
+        assert r.atr_stop == r.buy_stop
+        assert r.sell_stop is None
+
+
+    def test_bad_data(self, bad_quotes):
+        r = indicators.get_atr_stop(bad_quotes, 7)
+
+        assert 502 == len(r)
+
+    def test_no_quotes(self, quotes):
+        r = indicators.get_atr_stop([])
+        assert 0 == len(r)
+
+        r = indicators.get_atr_stop(quotes[:1])
+        assert 1 == len(r)
+
+    def test_removed(self, quotes):
+        results = indicators.get_atr_stop(quotes, 21, 3).remove_warmup_periods()
+
+        assert 481 == len(results)
+
+        last = results.pop()
+        assert 246.3232 == round(float(last.atr_stop), 4)
+        assert last.atr_stop == last.buy_stop
+        assert last.sell_stop is None
+
+    def test_exceptions(self, quotes):
+        from System import ArgumentOutOfRangeException
+        with pytest.raises(ArgumentOutOfRangeException):
+            indicators.get_atr_stop(quotes, 1)
+
+        with pytest.raises(ArgumentOutOfRangeException):
+            indicators.get_atr_stop(quotes, 7, 0)