[FIXED] how to calculate true range

Issue

In technical analysis true range is the difference between the high and the low plus any gap that occurred between sessions. So if today's high is 10 and the low is 9 range is 1. If yesterdays close was 9.5 then true range is also one, but if yesterdays close was 11 then true range is 2.

I have a pandas data frame indexed by date so range is simply:

df['range'] = df['High'] - df['Low']

True range would be something like:

df['tr'] = max(df['High'], df['Close'].shift(1)) - min(df['Low'], df['Close'].shift(1))

But max() and min() aren't applicable to pandas data frames. How can I reference the 'Close' from the prior row to create the column 'tr'?

Solution

Use pd.concat to get the min and the max of each series:

df['tr'] = pd.concat([df['High'], df['Close'].shift()], axis=1).max(axis=1) \
           - pd.concat([df['Low'], df['Close'].shift()], axis=1).min(axis=1)

Answered By - Corralien