adr_mod_adr_two.py

# Get pricing data
import yfinance as yf

# Get the previous 6 months pricing data for ETH
ETH = yf.Ticker('ETH-USD').history(period='6mo', interval="1d")[["High", "Low"]]

# Calculate Daily Range for each period and normalize as pct change
ETH['dr_pct'] = ETH.apply(lambda x: 100 * (x["High"] / x["Low"] - 1), axis=1)

# Calculate the average daily range over a 20-period interval
ETH["mod_adr"] = ETH['dr_pct'].rolling(window=20).mean()

# View Result
print(ETH)

                   High          Low     dr_pct   mod_adr
Date                                                     
2021-05-18  3562.465088  3246.404053   9.735727       NaN
2021-05-19  3437.935791  1952.460205  76.082246       NaN
2021-05-20  2993.145264  2170.229004  37.918407       NaN
2021-05-21  2938.205078  2113.347168  39.030876       NaN
2021-05-22  2483.983154  2168.124268  14.568302       NaN
...                 ...          ...        ...       ...
2021-11-14  4689.842773  4516.935547   3.827976  5.057539
2021-11-15  4764.636230  4546.599121   4.795609  5.075362
2021-11-16  4891.704590  4144.334961  18.033524  5.507737
2021-11-17  4300.306641  4107.125977   4.703549  5.246916
2021-11-18  4343.557129  3985.766113   8.976719  5.480348

[185 rows x 4 columns]