tr_atr.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "import matplotlib\n",
    "import matplotlib.pyplot as plt\n",
    "import mpl_finance as mpf\n",
    "\n",
    "import os\n",
    "from tiingo import TiingoClient\n",
    "\n",
    "config = {}\n",
    "config['session'] = True\n",
    "config['api_key'] = os.environ['TIINGO_API_KEY']\n",
    "\n",
    "client = TiingoClient(config)\n",
    "\n",
    "def get_df_from_tiingo(symbol, start, end):\n",
    "    df = pd.DataFrame(client.get_ticker_price(symbol,\n",
    "                      startDate=start,\n",
    "                      endDate=end,\n",
    "                      frequency='daily'\n",
    "                     ))\n",
    "    df['date'] = pd.to_datetime(df['date']).dt.date\n",
    "    df.set_index('date', inplace=True)\n",
    "    del df.index.name\n",
    "    return df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "symbol = 'AAPL'\n",
    "start = '2017-01-01'\n",
    "end = '2018-01-01'\n",
    "prices = get_df_from_tiingo(symbol, start, end)\n",
    "\n",
    "prices = prices.loc[:, ['adjClose', 'adjHigh', 'adjLow', 'adjOpen']]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>adjClose</th>\n",
       "      <th>adjHigh</th>\n",
       "      <th>adjLow</th>\n",
       "      <th>adjOpen</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2017-01-03</th>\n",
       "      <td>111.697374</td>\n",
       "      <td>111.870473</td>\n",
       "      <td>110.360659</td>\n",
       "      <td>111.360791</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-04</th>\n",
       "      <td>111.572357</td>\n",
       "      <td>112.043573</td>\n",
       "      <td>111.312708</td>\n",
       "      <td>111.408874</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-05</th>\n",
       "      <td>112.139739</td>\n",
       "      <td>112.384195</td>\n",
       "      <td>111.370408</td>\n",
       "      <td>111.476191</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-06</th>\n",
       "      <td>113.389904</td>\n",
       "      <td>113.630320</td>\n",
       "      <td>112.005106</td>\n",
       "      <td>112.303223</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-09</th>\n",
       "      <td>114.428502</td>\n",
       "      <td>114.851634</td>\n",
       "      <td>113.418754</td>\n",
       "      <td>113.428370</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-10</th>\n",
       "      <td>114.543902</td>\n",
       "      <td>114.803551</td>\n",
       "      <td>113.764953</td>\n",
       "      <td>114.216936</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-11</th>\n",
       "      <td>115.159367</td>\n",
       "      <td>115.332467</td>\n",
       "      <td>114.053453</td>\n",
       "      <td>114.188086</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-12</th>\n",
       "      <td>114.678535</td>\n",
       "      <td>114.726618</td>\n",
       "      <td>113.678403</td>\n",
       "      <td>114.337144</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-13</th>\n",
       "      <td>114.476585</td>\n",
       "      <td>115.034351</td>\n",
       "      <td>114.255402</td>\n",
       "      <td>114.543902</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-17</th>\n",
       "      <td>115.399783</td>\n",
       "      <td>115.630583</td>\n",
       "      <td>113.688020</td>\n",
       "      <td>113.803420</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-18</th>\n",
       "      <td>115.390167</td>\n",
       "      <td>115.880616</td>\n",
       "      <td>115.120901</td>\n",
       "      <td>115.399783</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-19</th>\n",
       "      <td>115.188217</td>\n",
       "      <td>115.486333</td>\n",
       "      <td>114.793934</td>\n",
       "      <td>114.822784</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-20</th>\n",
       "      <td>115.399783</td>\n",
       "      <td>115.832533</td>\n",
       "      <td>115.144558</td>\n",
       "      <td>115.832533</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-23</th>\n",
       "      <td>115.476717</td>\n",
       "      <td>116.178732</td>\n",
       "      <td>115.178600</td>\n",
       "      <td>115.399783</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-24</th>\n",
       "      <td>115.370933</td>\n",
       "      <td>115.495950</td>\n",
       "      <td>114.918951</td>\n",
       "      <td>114.967034</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-25</th>\n",
       "      <td>117.207713</td>\n",
       "      <td>117.419280</td>\n",
       "      <td>115.669050</td>\n",
       "      <td>115.803683</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-26</th>\n",
       "      <td>117.265413</td>\n",
       "      <td>117.746246</td>\n",
       "      <td>116.938447</td>\n",
       "      <td>117.005764</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-27</th>\n",
       "      <td>117.275030</td>\n",
       "      <td>117.659696</td>\n",
       "      <td>116.938447</td>\n",
       "      <td>117.457746</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-30</th>\n",
       "      <td>116.967297</td>\n",
       "      <td>116.967297</td>\n",
       "      <td>116.034482</td>\n",
       "      <td>116.294132</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-31</th>\n",
       "      <td>116.698031</td>\n",
       "      <td>116.736498</td>\n",
       "      <td>115.996016</td>\n",
       "      <td>116.505698</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-01</th>\n",
       "      <td>123.814351</td>\n",
       "      <td>125.487648</td>\n",
       "      <td>122.141054</td>\n",
       "      <td>122.160287</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-02</th>\n",
       "      <td>123.602785</td>\n",
       "      <td>124.429816</td>\n",
       "      <td>122.881536</td>\n",
       "      <td>123.069061</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-03</th>\n",
       "      <td>124.131700</td>\n",
       "      <td>124.237483</td>\n",
       "      <td>123.246969</td>\n",
       "      <td>123.391218</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-06</th>\n",
       "      <td>125.295315</td>\n",
       "      <td>125.497264</td>\n",
       "      <td>123.958601</td>\n",
       "      <td>124.179784</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-07</th>\n",
       "      <td>126.487779</td>\n",
       "      <td>127.026312</td>\n",
       "      <td>125.449181</td>\n",
       "      <td>125.535731</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-08</th>\n",
       "      <td>126.978228</td>\n",
       "      <td>127.151328</td>\n",
       "      <td>126.189663</td>\n",
       "      <td>126.314680</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-09</th>\n",
       "      <td>127.891810</td>\n",
       "      <td>127.915955</td>\n",
       "      <td>126.636264</td>\n",
       "      <td>127.148141</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-10</th>\n",
       "      <td>127.602069</td>\n",
       "      <td>128.394028</td>\n",
       "      <td>127.534462</td>\n",
       "      <td>127.930442</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-13</th>\n",
       "      <td>128.732060</td>\n",
       "      <td>129.243936</td>\n",
       "      <td>128.210525</td>\n",
       "      <td>128.529241</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-14</th>\n",
       "      <td>130.402901</td>\n",
       "      <td>130.470507</td>\n",
       "      <td>128.693428</td>\n",
       "      <td>128.905904</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-16</th>\n",
       "      <td>167.199264</td>\n",
       "      <td>167.951710</td>\n",
       "      <td>166.417503</td>\n",
       "      <td>167.277441</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-17</th>\n",
       "      <td>166.270922</td>\n",
       "      <td>167.482653</td>\n",
       "      <td>165.772549</td>\n",
       "      <td>167.140632</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-20</th>\n",
       "      <td>166.104798</td>\n",
       "      <td>166.671575</td>\n",
       "      <td>165.694373</td>\n",
       "      <td>166.407731</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-21</th>\n",
       "      <td>169.192756</td>\n",
       "      <td>169.739990</td>\n",
       "      <td>166.886560</td>\n",
       "      <td>166.886560</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-22</th>\n",
       "      <td>170.971264</td>\n",
       "      <td>171.010352</td>\n",
       "      <td>169.104808</td>\n",
       "      <td>169.407741</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-24</th>\n",
       "      <td>170.981036</td>\n",
       "      <td>171.498953</td>\n",
       "      <td>170.664325</td>\n",
       "      <td>171.108072</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-27</th>\n",
       "      <td>170.121098</td>\n",
       "      <td>171.088528</td>\n",
       "      <td>169.388197</td>\n",
       "      <td>171.059212</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-28</th>\n",
       "      <td>169.124352</td>\n",
       "      <td>170.883316</td>\n",
       "      <td>167.941938</td>\n",
       "      <td>170.326311</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-29</th>\n",
       "      <td>165.616197</td>\n",
       "      <td>168.977772</td>\n",
       "      <td>163.349088</td>\n",
       "      <td>168.694383</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-30</th>\n",
       "      <td>167.932166</td>\n",
       "      <td>168.215554</td>\n",
       "      <td>164.599907</td>\n",
       "      <td>166.544539</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-01</th>\n",
       "      <td>167.150404</td>\n",
       "      <td>167.756269</td>\n",
       "      <td>164.658539</td>\n",
       "      <td>166.075482</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-04</th>\n",
       "      <td>165.928902</td>\n",
       "      <td>168.684611</td>\n",
       "      <td>165.762777</td>\n",
       "      <td>168.547803</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-05</th>\n",
       "      <td>165.772549</td>\n",
       "      <td>167.609689</td>\n",
       "      <td>164.560819</td>\n",
       "      <td>165.205772</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-06</th>\n",
       "      <td>165.156912</td>\n",
       "      <td>166.324375</td>\n",
       "      <td>162.665047</td>\n",
       "      <td>163.681337</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-07</th>\n",
       "      <td>165.459845</td>\n",
       "      <td>166.554311</td>\n",
       "      <td>165.059192</td>\n",
       "      <td>165.176456</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-08</th>\n",
       "      <td>165.508705</td>\n",
       "      <td>167.101544</td>\n",
       "      <td>164.971244</td>\n",
       "      <td>166.603171</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-11</th>\n",
       "      <td>168.733472</td>\n",
       "      <td>168.948456</td>\n",
       "      <td>164.941928</td>\n",
       "      <td>165.342581</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-12</th>\n",
       "      <td>167.785586</td>\n",
       "      <td>168.459855</td>\n",
       "      <td>167.552034</td>\n",
       "      <td>168.225326</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-13</th>\n",
       "      <td>168.342591</td>\n",
       "      <td>169.583637</td>\n",
       "      <td>168.078746</td>\n",
       "      <td>168.567347</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-14</th>\n",
       "      <td>168.293731</td>\n",
       "      <td>169.182984</td>\n",
       "      <td>167.736725</td>\n",
       "      <td>168.469627</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-15</th>\n",
       "      <td>170.003834</td>\n",
       "      <td>170.199275</td>\n",
       "      <td>168.528259</td>\n",
       "      <td>169.671585</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-18</th>\n",
       "      <td>172.397979</td>\n",
       "      <td>173.160197</td>\n",
       "      <td>170.873544</td>\n",
       "      <td>170.893088</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-19</th>\n",
       "      <td>170.560839</td>\n",
       "      <td>171.391461</td>\n",
       "      <td>170.121098</td>\n",
       "      <td>171.039668</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-20</th>\n",
       "      <td>170.375171</td>\n",
       "      <td>171.420777</td>\n",
       "      <td>169.300249</td>\n",
       "      <td>170.883316</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-21</th>\n",
       "      <td>171.020124</td>\n",
       "      <td>172.007098</td>\n",
       "      <td>170.130870</td>\n",
       "      <td>170.199275</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-22</th>\n",
       "      <td>171.020124</td>\n",
       "      <td>171.424686</td>\n",
       "      <td>170.521751</td>\n",
       "      <td>170.697648</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-26</th>\n",
       "      <td>166.681347</td>\n",
       "      <td>167.560829</td>\n",
       "      <td>165.810660</td>\n",
       "      <td>166.906104</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-27</th>\n",
       "      <td>166.710663</td>\n",
       "      <td>166.886560</td>\n",
       "      <td>165.840954</td>\n",
       "      <td>166.222062</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-28</th>\n",
       "      <td>167.179720</td>\n",
       "      <td>167.932166</td>\n",
       "      <td>166.593399</td>\n",
       "      <td>167.101544</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-29</th>\n",
       "      <td>165.371897</td>\n",
       "      <td>166.700891</td>\n",
       "      <td>165.362125</td>\n",
       "      <td>166.632487</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>251 rows × 4 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "              adjClose     adjHigh      adjLow     adjOpen\n",
       "2017-01-03  111.697374  111.870473  110.360659  111.360791\n",
       "2017-01-04  111.572357  112.043573  111.312708  111.408874\n",
       "2017-01-05  112.139739  112.384195  111.370408  111.476191\n",
       "2017-01-06  113.389904  113.630320  112.005106  112.303223\n",
       "2017-01-09  114.428502  114.851634  113.418754  113.428370\n",
       "2017-01-10  114.543902  114.803551  113.764953  114.216936\n",
       "2017-01-11  115.159367  115.332467  114.053453  114.188086\n",
       "2017-01-12  114.678535  114.726618  113.678403  114.337144\n",
       "2017-01-13  114.476585  115.034351  114.255402  114.543902\n",
       "2017-01-17  115.399783  115.630583  113.688020  113.803420\n",
       "2017-01-18  115.390167  115.880616  115.120901  115.399783\n",
       "2017-01-19  115.188217  115.486333  114.793934  114.822784\n",
       "2017-01-20  115.399783  115.832533  115.144558  115.832533\n",
       "2017-01-23  115.476717  116.178732  115.178600  115.399783\n",
       "2017-01-24  115.370933  115.495950  114.918951  114.967034\n",
       "2017-01-25  117.207713  117.419280  115.669050  115.803683\n",
       "2017-01-26  117.265413  117.746246  116.938447  117.005764\n",
       "2017-01-27  117.275030  117.659696  116.938447  117.457746\n",
       "2017-01-30  116.967297  116.967297  116.034482  116.294132\n",
       "2017-01-31  116.698031  116.736498  115.996016  116.505698\n",
       "2017-02-01  123.814351  125.487648  122.141054  122.160287\n",
       "2017-02-02  123.602785  124.429816  122.881536  123.069061\n",
       "2017-02-03  124.131700  124.237483  123.246969  123.391218\n",
       "2017-02-06  125.295315  125.497264  123.958601  124.179784\n",
       "2017-02-07  126.487779  127.026312  125.449181  125.535731\n",
       "2017-02-08  126.978228  127.151328  126.189663  126.314680\n",
       "2017-02-09  127.891810  127.915955  126.636264  127.148141\n",
       "2017-02-10  127.602069  128.394028  127.534462  127.930442\n",
       "2017-02-13  128.732060  129.243936  128.210525  128.529241\n",
       "2017-02-14  130.402901  130.470507  128.693428  128.905904\n",
       "...                ...         ...         ...         ...\n",
       "2017-11-16  167.199264  167.951710  166.417503  167.277441\n",
       "2017-11-17  166.270922  167.482653  165.772549  167.140632\n",
       "2017-11-20  166.104798  166.671575  165.694373  166.407731\n",
       "2017-11-21  169.192756  169.739990  166.886560  166.886560\n",
       "2017-11-22  170.971264  171.010352  169.104808  169.407741\n",
       "2017-11-24  170.981036  171.498953  170.664325  171.108072\n",
       "2017-11-27  170.121098  171.088528  169.388197  171.059212\n",
       "2017-11-28  169.124352  170.883316  167.941938  170.326311\n",
       "2017-11-29  165.616197  168.977772  163.349088  168.694383\n",
       "2017-11-30  167.932166  168.215554  164.599907  166.544539\n",
       "2017-12-01  167.150404  167.756269  164.658539  166.075482\n",
       "2017-12-04  165.928902  168.684611  165.762777  168.547803\n",
       "2017-12-05  165.772549  167.609689  164.560819  165.205772\n",
       "2017-12-06  165.156912  166.324375  162.665047  163.681337\n",
       "2017-12-07  165.459845  166.554311  165.059192  165.176456\n",
       "2017-12-08  165.508705  167.101544  164.971244  166.603171\n",
       "2017-12-11  168.733472  168.948456  164.941928  165.342581\n",
       "2017-12-12  167.785586  168.459855  167.552034  168.225326\n",
       "2017-12-13  168.342591  169.583637  168.078746  168.567347\n",
       "2017-12-14  168.293731  169.182984  167.736725  168.469627\n",
       "2017-12-15  170.003834  170.199275  168.528259  169.671585\n",
       "2017-12-18  172.397979  173.160197  170.873544  170.893088\n",
       "2017-12-19  170.560839  171.391461  170.121098  171.039668\n",
       "2017-12-20  170.375171  171.420777  169.300249  170.883316\n",
       "2017-12-21  171.020124  172.007098  170.130870  170.199275\n",
       "2017-12-22  171.020124  171.424686  170.521751  170.697648\n",
       "2017-12-26  166.681347  167.560829  165.810660  166.906104\n",
       "2017-12-27  166.710663  166.886560  165.840954  166.222062\n",
       "2017-12-28  167.179720  167.932166  166.593399  167.101544\n",
       "2017-12-29  165.371897  166.700891  165.362125  166.632487\n",
       "\n",
       "[251 rows x 4 columns]"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "def get_tr_and_atr(index, start, end, closes, highs, lows, window=14):\n",
    "    s_tr = pd.Series()\n",
    "    s_atr = pd.Series()\n",
    "    \n",
    "    start = pd.to_datetime(start).date()\n",
    "    end = pd.to_datetime(end).date()\n",
    "    first_index = index[0]\n",
    "    last_index = index[len(index) - 1]\n",
    "    start = first_index if first_index > start else start\n",
    "    end = last_index if last_index < end else end\n",
    "    \n",
    "    start_loc = index.get_loc(start)\n",
    "    end_loc = index.get_loc(end)\n",
    "    \n",
    "    def get_tr(cur, prev):\n",
    "        if prev != None:\n",
    "            return max(\n",
    "                    cur['high'] - cur['low'],\n",
    "                    abs(cur['high'] - prev['close']),\n",
    "                    abs(cur['low'] - prev['close'])\n",
    "            )\n",
    "        else:\n",
    "            return cur['high'] - cur['low']\n",
    "    \n",
    "    range_start = start_loc - window if (start_loc - window) > 0 else 0\n",
    "    \n",
    "    prev_row = None\n",
    "    prev_atr = None\n",
    "    for i in range(range_start, end_loc):\n",
    "        date_idx = index[i]\n",
    "        cur_row = { 'high': highs.iloc[i], 'low': lows.iloc[i], 'close': closes.iloc[i] }\n",
    "\n",
    "        tr = get_tr(cur_row, prev_row)\n",
    "        s_tr[date_idx] = tr\n",
    "\n",
    "        atr = None\n",
    "        if i < (window - 1):\n",
    "            pass\n",
    "        elif i == (window - 1):\n",
    "            atr = s_tr.iloc[range_start: range_start + window + 1].mean()\n",
    "        elif i > (window - 1):\n",
    "            atr = ((prev_atr * (window - 1)) + tr) / window\n",
    "        \n",
    "        s_atr[date_idx] = atr\n",
    "\n",
    "        prev_row = cur_row\n",
    "        prev_atr = atr\n",
    "    \n",
    "    return s_tr.loc[start: end], s_atr.loc[start: end]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "tr, atr = get_tr_and_atr(\n",
    "    prices.index,\n",
    "    start=start,\n",
    "    end=end,\n",
    "    closes=prices['adjClose'],\n",
    "    highs=prices['adjHigh'],\n",
    "    lows=prices['adjLow']\n",
    ")\n",
    "\n",
    "prices['TR'] = tr\n",
    "prices['ATR'] = atr"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>adjClose</th>\n",
       "      <th>adjHigh</th>\n",
       "      <th>adjLow</th>\n",
       "      <th>adjOpen</th>\n",
       "      <th>TR</th>\n",
       "      <th>ATR</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2017-01-03</th>\n",
       "      <td>111.697374</td>\n",
       "      <td>111.870473</td>\n",
       "      <td>110.360659</td>\n",
       "      <td>111.360791</td>\n",
       "      <td>1.509814</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-04</th>\n",
       "      <td>111.572357</td>\n",
       "      <td>112.043573</td>\n",
       "      <td>111.312708</td>\n",
       "      <td>111.408874</td>\n",
       "      <td>0.730865</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-05</th>\n",
       "      <td>112.139739</td>\n",
       "      <td>112.384195</td>\n",
       "      <td>111.370408</td>\n",
       "      <td>111.476191</td>\n",
       "      <td>1.013787</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-06</th>\n",
       "      <td>113.389904</td>\n",
       "      <td>113.630320</td>\n",
       "      <td>112.005106</td>\n",
       "      <td>112.303223</td>\n",
       "      <td>1.625214</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-09</th>\n",
       "      <td>114.428502</td>\n",
       "      <td>114.851634</td>\n",
       "      <td>113.418754</td>\n",
       "      <td>113.428370</td>\n",
       "      <td>1.461731</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-10</th>\n",
       "      <td>114.543902</td>\n",
       "      <td>114.803551</td>\n",
       "      <td>113.764953</td>\n",
       "      <td>114.216936</td>\n",
       "      <td>1.038598</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-11</th>\n",
       "      <td>115.159367</td>\n",
       "      <td>115.332467</td>\n",
       "      <td>114.053453</td>\n",
       "      <td>114.188086</td>\n",
       "      <td>1.279014</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-12</th>\n",
       "      <td>114.678535</td>\n",
       "      <td>114.726618</td>\n",
       "      <td>113.678403</td>\n",
       "      <td>114.337144</td>\n",
       "      <td>1.480964</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-13</th>\n",
       "      <td>114.476585</td>\n",
       "      <td>115.034351</td>\n",
       "      <td>114.255402</td>\n",
       "      <td>114.543902</td>\n",
       "      <td>0.778949</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-17</th>\n",
       "      <td>115.399783</td>\n",
       "      <td>115.630583</td>\n",
       "      <td>113.688020</td>\n",
       "      <td>113.803420</td>\n",
       "      <td>1.942563</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-18</th>\n",
       "      <td>115.390167</td>\n",
       "      <td>115.880616</td>\n",
       "      <td>115.120901</td>\n",
       "      <td>115.399783</td>\n",
       "      <td>0.759715</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-19</th>\n",
       "      <td>115.188217</td>\n",
       "      <td>115.486333</td>\n",
       "      <td>114.793934</td>\n",
       "      <td>114.822784</td>\n",
       "      <td>0.692399</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-20</th>\n",
       "      <td>115.399783</td>\n",
       "      <td>115.832533</td>\n",
       "      <td>115.144558</td>\n",
       "      <td>115.832533</td>\n",
       "      <td>0.687975</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-23</th>\n",
       "      <td>115.476717</td>\n",
       "      <td>116.178732</td>\n",
       "      <td>115.178600</td>\n",
       "      <td>115.399783</td>\n",
       "      <td>1.000131</td>\n",
       "      <td>1.14298</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-24</th>\n",
       "      <td>115.370933</td>\n",
       "      <td>115.495950</td>\n",
       "      <td>114.918951</td>\n",
       "      <td>114.967034</td>\n",
       "      <td>0.576999</td>\n",
       "      <td>1.10255</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-25</th>\n",
       "      <td>117.207713</td>\n",
       "      <td>117.419280</td>\n",
       "      <td>115.669050</td>\n",
       "      <td>115.803683</td>\n",
       "      <td>2.048346</td>\n",
       "      <td>1.17011</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-26</th>\n",
       "      <td>117.265413</td>\n",
       "      <td>117.746246</td>\n",
       "      <td>116.938447</td>\n",
       "      <td>117.005764</td>\n",
       "      <td>0.807798</td>\n",
       "      <td>1.14423</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-27</th>\n",
       "      <td>117.275030</td>\n",
       "      <td>117.659696</td>\n",
       "      <td>116.938447</td>\n",
       "      <td>117.457746</td>\n",
       "      <td>0.721249</td>\n",
       "      <td>1.11402</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-30</th>\n",
       "      <td>116.967297</td>\n",
       "      <td>116.967297</td>\n",
       "      <td>116.034482</td>\n",
       "      <td>116.294132</td>\n",
       "      <td>1.240548</td>\n",
       "      <td>1.12305</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-31</th>\n",
       "      <td>116.698031</td>\n",
       "      <td>116.736498</td>\n",
       "      <td>115.996016</td>\n",
       "      <td>116.505698</td>\n",
       "      <td>0.971282</td>\n",
       "      <td>1.11221</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-01</th>\n",
       "      <td>123.814351</td>\n",
       "      <td>125.487648</td>\n",
       "      <td>122.141054</td>\n",
       "      <td>122.160287</td>\n",
       "      <td>8.789617</td>\n",
       "      <td>1.6606</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-02</th>\n",
       "      <td>123.602785</td>\n",
       "      <td>124.429816</td>\n",
       "      <td>122.881536</td>\n",
       "      <td>123.069061</td>\n",
       "      <td>1.548280</td>\n",
       "      <td>1.65258</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-03</th>\n",
       "      <td>124.131700</td>\n",
       "      <td>124.237483</td>\n",
       "      <td>123.246969</td>\n",
       "      <td>123.391218</td>\n",
       "      <td>0.990515</td>\n",
       "      <td>1.60529</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-06</th>\n",
       "      <td>125.295315</td>\n",
       "      <td>125.497264</td>\n",
       "      <td>123.958601</td>\n",
       "      <td>124.179784</td>\n",
       "      <td>1.538664</td>\n",
       "      <td>1.60053</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-07</th>\n",
       "      <td>126.487779</td>\n",
       "      <td>127.026312</td>\n",
       "      <td>125.449181</td>\n",
       "      <td>125.535731</td>\n",
       "      <td>1.730997</td>\n",
       "      <td>1.60985</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-08</th>\n",
       "      <td>126.978228</td>\n",
       "      <td>127.151328</td>\n",
       "      <td>126.189663</td>\n",
       "      <td>126.314680</td>\n",
       "      <td>0.961665</td>\n",
       "      <td>1.56355</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-09</th>\n",
       "      <td>127.891810</td>\n",
       "      <td>127.915955</td>\n",
       "      <td>126.636264</td>\n",
       "      <td>127.148141</td>\n",
       "      <td>1.279691</td>\n",
       "      <td>1.54327</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-10</th>\n",
       "      <td>127.602069</td>\n",
       "      <td>128.394028</td>\n",
       "      <td>127.534462</td>\n",
       "      <td>127.930442</td>\n",
       "      <td>0.859566</td>\n",
       "      <td>1.49444</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-13</th>\n",
       "      <td>128.732060</td>\n",
       "      <td>129.243936</td>\n",
       "      <td>128.210525</td>\n",
       "      <td>128.529241</td>\n",
       "      <td>1.641867</td>\n",
       "      <td>1.50497</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-02-14</th>\n",
       "      <td>130.402901</td>\n",
       "      <td>130.470507</td>\n",
       "      <td>128.693428</td>\n",
       "      <td>128.905904</td>\n",
       "      <td>1.777080</td>\n",
       "      <td>1.5244</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-16</th>\n",
       "      <td>167.199264</td>\n",
       "      <td>167.951710</td>\n",
       "      <td>166.417503</td>\n",
       "      <td>167.277441</td>\n",
       "      <td>2.726394</td>\n",
       "      <td>2.61198</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-17</th>\n",
       "      <td>166.270922</td>\n",
       "      <td>167.482653</td>\n",
       "      <td>165.772549</td>\n",
       "      <td>167.140632</td>\n",
       "      <td>1.710104</td>\n",
       "      <td>2.54756</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-20</th>\n",
       "      <td>166.104798</td>\n",
       "      <td>166.671575</td>\n",
       "      <td>165.694373</td>\n",
       "      <td>166.407731</td>\n",
       "      <td>0.977202</td>\n",
       "      <td>2.43539</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-21</th>\n",
       "      <td>169.192756</td>\n",
       "      <td>169.739990</td>\n",
       "      <td>166.886560</td>\n",
       "      <td>166.886560</td>\n",
       "      <td>3.635191</td>\n",
       "      <td>2.52109</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-22</th>\n",
       "      <td>170.971264</td>\n",
       "      <td>171.010352</td>\n",
       "      <td>169.104808</td>\n",
       "      <td>169.407741</td>\n",
       "      <td>1.905544</td>\n",
       "      <td>2.47712</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-24</th>\n",
       "      <td>170.981036</td>\n",
       "      <td>171.498953</td>\n",
       "      <td>170.664325</td>\n",
       "      <td>171.108072</td>\n",
       "      <td>0.834628</td>\n",
       "      <td>2.3598</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-27</th>\n",
       "      <td>170.121098</td>\n",
       "      <td>171.088528</td>\n",
       "      <td>169.388197</td>\n",
       "      <td>171.059212</td>\n",
       "      <td>1.700332</td>\n",
       "      <td>2.3127</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-28</th>\n",
       "      <td>169.124352</td>\n",
       "      <td>170.883316</td>\n",
       "      <td>167.941938</td>\n",
       "      <td>170.326311</td>\n",
       "      <td>2.941378</td>\n",
       "      <td>2.3576</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-29</th>\n",
       "      <td>165.616197</td>\n",
       "      <td>168.977772</td>\n",
       "      <td>163.349088</td>\n",
       "      <td>168.694383</td>\n",
       "      <td>5.775264</td>\n",
       "      <td>2.60172</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-11-30</th>\n",
       "      <td>167.932166</td>\n",
       "      <td>168.215554</td>\n",
       "      <td>164.599907</td>\n",
       "      <td>166.544539</td>\n",
       "      <td>3.615647</td>\n",
       "      <td>2.67415</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-01</th>\n",
       "      <td>167.150404</td>\n",
       "      <td>167.756269</td>\n",
       "      <td>164.658539</td>\n",
       "      <td>166.075482</td>\n",
       "      <td>3.273627</td>\n",
       "      <td>2.71697</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-04</th>\n",
       "      <td>165.928902</td>\n",
       "      <td>168.684611</td>\n",
       "      <td>165.762777</td>\n",
       "      <td>168.547803</td>\n",
       "      <td>2.921834</td>\n",
       "      <td>2.7316</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-05</th>\n",
       "      <td>165.772549</td>\n",
       "      <td>167.609689</td>\n",
       "      <td>164.560819</td>\n",
       "      <td>165.205772</td>\n",
       "      <td>3.048870</td>\n",
       "      <td>2.75426</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-06</th>\n",
       "      <td>165.156912</td>\n",
       "      <td>166.324375</td>\n",
       "      <td>162.665047</td>\n",
       "      <td>163.681337</td>\n",
       "      <td>3.659328</td>\n",
       "      <td>2.81891</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-07</th>\n",
       "      <td>165.459845</td>\n",
       "      <td>166.554311</td>\n",
       "      <td>165.059192</td>\n",
       "      <td>165.176456</td>\n",
       "      <td>1.495119</td>\n",
       "      <td>2.72435</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-08</th>\n",
       "      <td>165.508705</td>\n",
       "      <td>167.101544</td>\n",
       "      <td>164.971244</td>\n",
       "      <td>166.603171</td>\n",
       "      <td>2.130300</td>\n",
       "      <td>2.68192</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-11</th>\n",
       "      <td>168.733472</td>\n",
       "      <td>168.948456</td>\n",
       "      <td>164.941928</td>\n",
       "      <td>165.342581</td>\n",
       "      <td>4.006528</td>\n",
       "      <td>2.77653</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-12</th>\n",
       "      <td>167.785586</td>\n",
       "      <td>168.459855</td>\n",
       "      <td>167.552034</td>\n",
       "      <td>168.225326</td>\n",
       "      <td>1.181437</td>\n",
       "      <td>2.6626</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-13</th>\n",
       "      <td>168.342591</td>\n",
       "      <td>169.583637</td>\n",
       "      <td>168.078746</td>\n",
       "      <td>168.567347</td>\n",
       "      <td>1.798052</td>\n",
       "      <td>2.60085</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-14</th>\n",
       "      <td>168.293731</td>\n",
       "      <td>169.182984</td>\n",
       "      <td>167.736725</td>\n",
       "      <td>168.469627</td>\n",
       "      <td>1.446259</td>\n",
       "      <td>2.51838</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-15</th>\n",
       "      <td>170.003834</td>\n",
       "      <td>170.199275</td>\n",
       "      <td>168.528259</td>\n",
       "      <td>169.671585</td>\n",
       "      <td>1.905544</td>\n",
       "      <td>2.4746</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-18</th>\n",
       "      <td>172.397979</td>\n",
       "      <td>173.160197</td>\n",
       "      <td>170.873544</td>\n",
       "      <td>170.893088</td>\n",
       "      <td>3.156363</td>\n",
       "      <td>2.5233</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-19</th>\n",
       "      <td>170.560839</td>\n",
       "      <td>171.391461</td>\n",
       "      <td>170.121098</td>\n",
       "      <td>171.039668</td>\n",
       "      <td>2.276881</td>\n",
       "      <td>2.5057</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-20</th>\n",
       "      <td>170.375171</td>\n",
       "      <td>171.420777</td>\n",
       "      <td>169.300249</td>\n",
       "      <td>170.883316</td>\n",
       "      <td>2.120528</td>\n",
       "      <td>2.47819</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-21</th>\n",
       "      <td>171.020124</td>\n",
       "      <td>172.007098</td>\n",
       "      <td>170.130870</td>\n",
       "      <td>170.199275</td>\n",
       "      <td>1.876228</td>\n",
       "      <td>2.43519</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-22</th>\n",
       "      <td>171.020124</td>\n",
       "      <td>171.424686</td>\n",
       "      <td>170.521751</td>\n",
       "      <td>170.697648</td>\n",
       "      <td>0.902935</td>\n",
       "      <td>2.32574</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-26</th>\n",
       "      <td>166.681347</td>\n",
       "      <td>167.560829</td>\n",
       "      <td>165.810660</td>\n",
       "      <td>166.906104</td>\n",
       "      <td>5.209464</td>\n",
       "      <td>2.53172</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-27</th>\n",
       "      <td>166.710663</td>\n",
       "      <td>166.886560</td>\n",
       "      <td>165.840954</td>\n",
       "      <td>166.222062</td>\n",
       "      <td>1.045606</td>\n",
       "      <td>2.42557</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-28</th>\n",
       "      <td>167.179720</td>\n",
       "      <td>167.932166</td>\n",
       "      <td>166.593399</td>\n",
       "      <td>167.101544</td>\n",
       "      <td>1.338767</td>\n",
       "      <td>2.34794</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-12-29</th>\n",
       "      <td>165.371897</td>\n",
       "      <td>166.700891</td>\n",
       "      <td>165.362125</td>\n",
       "      <td>166.632487</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>251 rows × 6 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "              adjClose     adjHigh      adjLow     adjOpen        TR      ATR\n",
       "2017-01-03  111.697374  111.870473  110.360659  111.360791  1.509814     None\n",
       "2017-01-04  111.572357  112.043573  111.312708  111.408874  0.730865     None\n",
       "2017-01-05  112.139739  112.384195  111.370408  111.476191  1.013787     None\n",
       "2017-01-06  113.389904  113.630320  112.005106  112.303223  1.625214     None\n",
       "2017-01-09  114.428502  114.851634  113.418754  113.428370  1.461731     None\n",
       "2017-01-10  114.543902  114.803551  113.764953  114.216936  1.038598     None\n",
       "2017-01-11  115.159367  115.332467  114.053453  114.188086  1.279014     None\n",
       "2017-01-12  114.678535  114.726618  113.678403  114.337144  1.480964     None\n",
       "2017-01-13  114.476585  115.034351  114.255402  114.543902  0.778949     None\n",
       "2017-01-17  115.399783  115.630583  113.688020  113.803420  1.942563     None\n",
       "2017-01-18  115.390167  115.880616  115.120901  115.399783  0.759715     None\n",
       "2017-01-19  115.188217  115.486333  114.793934  114.822784  0.692399     None\n",
       "2017-01-20  115.399783  115.832533  115.144558  115.832533  0.687975     None\n",
       "2017-01-23  115.476717  116.178732  115.178600  115.399783  1.000131  1.14298\n",
       "2017-01-24  115.370933  115.495950  114.918951  114.967034  0.576999  1.10255\n",
       "2017-01-25  117.207713  117.419280  115.669050  115.803683  2.048346  1.17011\n",
       "2017-01-26  117.265413  117.746246  116.938447  117.005764  0.807798  1.14423\n",
       "2017-01-27  117.275030  117.659696  116.938447  117.457746  0.721249  1.11402\n",
       "2017-01-30  116.967297  116.967297  116.034482  116.294132  1.240548  1.12305\n",
       "2017-01-31  116.698031  116.736498  115.996016  116.505698  0.971282  1.11221\n",
       "2017-02-01  123.814351  125.487648  122.141054  122.160287  8.789617   1.6606\n",
       "2017-02-02  123.602785  124.429816  122.881536  123.069061  1.548280  1.65258\n",
       "2017-02-03  124.131700  124.237483  123.246969  123.391218  0.990515  1.60529\n",
       "2017-02-06  125.295315  125.497264  123.958601  124.179784  1.538664  1.60053\n",
       "2017-02-07  126.487779  127.026312  125.449181  125.535731  1.730997  1.60985\n",
       "2017-02-08  126.978228  127.151328  126.189663  126.314680  0.961665  1.56355\n",
       "2017-02-09  127.891810  127.915955  126.636264  127.148141  1.279691  1.54327\n",
       "2017-02-10  127.602069  128.394028  127.534462  127.930442  0.859566  1.49444\n",
       "2017-02-13  128.732060  129.243936  128.210525  128.529241  1.641867  1.50497\n",
       "2017-02-14  130.402901  130.470507  128.693428  128.905904  1.777080   1.5244\n",
       "...                ...         ...         ...         ...       ...      ...\n",
       "2017-11-16  167.199264  167.951710  166.417503  167.277441  2.726394  2.61198\n",
       "2017-11-17  166.270922  167.482653  165.772549  167.140632  1.710104  2.54756\n",
       "2017-11-20  166.104798  166.671575  165.694373  166.407731  0.977202  2.43539\n",
       "2017-11-21  169.192756  169.739990  166.886560  166.886560  3.635191  2.52109\n",
       "2017-11-22  170.971264  171.010352  169.104808  169.407741  1.905544  2.47712\n",
       "2017-11-24  170.981036  171.498953  170.664325  171.108072  0.834628   2.3598\n",
       "2017-11-27  170.121098  171.088528  169.388197  171.059212  1.700332   2.3127\n",
       "2017-11-28  169.124352  170.883316  167.941938  170.326311  2.941378   2.3576\n",
       "2017-11-29  165.616197  168.977772  163.349088  168.694383  5.775264  2.60172\n",
       "2017-11-30  167.932166  168.215554  164.599907  166.544539  3.615647  2.67415\n",
       "2017-12-01  167.150404  167.756269  164.658539  166.075482  3.273627  2.71697\n",
       "2017-12-04  165.928902  168.684611  165.762777  168.547803  2.921834   2.7316\n",
       "2017-12-05  165.772549  167.609689  164.560819  165.205772  3.048870  2.75426\n",
       "2017-12-06  165.156912  166.324375  162.665047  163.681337  3.659328  2.81891\n",
       "2017-12-07  165.459845  166.554311  165.059192  165.176456  1.495119  2.72435\n",
       "2017-12-08  165.508705  167.101544  164.971244  166.603171  2.130300  2.68192\n",
       "2017-12-11  168.733472  168.948456  164.941928  165.342581  4.006528  2.77653\n",
       "2017-12-12  167.785586  168.459855  167.552034  168.225326  1.181437   2.6626\n",
       "2017-12-13  168.342591  169.583637  168.078746  168.567347  1.798052  2.60085\n",
       "2017-12-14  168.293731  169.182984  167.736725  168.469627  1.446259  2.51838\n",
       "2017-12-15  170.003834  170.199275  168.528259  169.671585  1.905544   2.4746\n",
       "2017-12-18  172.397979  173.160197  170.873544  170.893088  3.156363   2.5233\n",
       "2017-12-19  170.560839  171.391461  170.121098  171.039668  2.276881   2.5057\n",
       "2017-12-20  170.375171  171.420777  169.300249  170.883316  2.120528  2.47819\n",
       "2017-12-21  171.020124  172.007098  170.130870  170.199275  1.876228  2.43519\n",
       "2017-12-22  171.020124  171.424686  170.521751  170.697648  0.902935  2.32574\n",
       "2017-12-26  166.681347  167.560829  165.810660  166.906104  5.209464  2.53172\n",
       "2017-12-27  166.710663  166.886560  165.840954  166.222062  1.045606  2.42557\n",
       "2017-12-28  167.179720  167.932166  166.593399  167.101544  1.338767  2.34794\n",
       "2017-12-29  165.371897  166.700891  165.362125  166.632487       NaN      NaN\n",
       "\n",
       "[251 rows x 6 columns]"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [],
   "source": [
    "def plt_candlestick_from_df(df, date_format='%Y-%m-%d', date_step=30):\n",
    "    quotes = []\n",
    "    for row in df.itertuples():\n",
    "        quotes.append((matplotlib.dates.date2num(row.Index), row.adjOpen, row.adjClose, row.adjHigh, row.adjLow))\n",
    "        \n",
    "    fig, ax = plt.subplots()\n",
    "    mpf.candlestick2_ochl(\n",
    "        ax,\n",
    "        opens=df['adjOpen'],\n",
    "        closes=df['adjClose'],\n",
    "        highs=df['adjHigh'],\n",
    "        lows=df['adjLow'],\n",
    "        width=0.5,\n",
    "        alpha=1,\n",
    "        colorup='green',\n",
    "        colordown='red'\n",
    "    );\n",
    "\n",
    "    def x_ticker_formatter(x, pos):\n",
    "        label = ''\n",
    "        try:\n",
    "            label = df.index[int(x)]\n",
    "        except IndexError:\n",
    "            label = ''\n",
    "        return label\n",
    "\n",
    "    ax.xaxis.set_major_formatter(matplotlib.ticker.FuncFormatter(x_ticker_formatter))\n",
    "    \n",
    "    xtick0 = (5 - df.index[0].weekday()) % 5\n",
    "    plt.xticks(range(xtick0, len(df), date_step), [x.strftime(date_format) for x in df.index][xtick0::date_step])\n",
    "    \n",
    "    return fig, ax"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/home/hanai/.pyenv/versions/py373/lib/python3.7/site-packages/pandas/plotting/_converter.py:129: FutureWarning: Using an implicitly registered datetime converter for a matplotlib plotting method. The converter was registered by pandas on import. Future versions of pandas will require you to explicitly register matplotlib converters.\n",
      "\n",
      "To register the converters:\n",
      "\t>>> from pandas.plotting import register_matplotlib_converters\n",
      "\t>>> register_matplotlib_converters()\n",
      "  warnings.warn(msg, FutureWarning)\n"
     ]
    },
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   ],
   "source": [
    "fig, ax = plt_candlestick_from_df(prices)\n",
    "\n",
    "plt.subplots()\n",
    "plt.plot(prices.TR)\n",
    "plt.plot(prices.ATR)\n",
    "plt.legend(['TR', 'ATR']);"
   ]
  }
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