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Average True Range (ATR)

Created by J. Welles Wilder, True Range and Average True Range is a measure of volatility that captures gaps and limits between periods. [Discuss] 💬

chart for Average True Range (ATR)

// C# usage syntax
IEnumerable<AtrResult> results =
  quotes.GetAtr(lookbackPeriods);

// ATR with custom moving average
IEnumerable<SmmaResult> results =
  quotes.GetTr().GetSmma(lookbackPeriods);

// raw True Range (TR) only
IEnumerable<TrResult> results =
  quote.GetTr();

Parameters

lookbackPeriods int - Number of periods (N) to consider. Must be greater than 1.

Historical quotes requirements

You must have at least N+100 periods of quotes to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for better precision.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<AtrResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first N periods will have null values for ATR since there’s not enough data to calculate.

⚞ Convergence warning: The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

AtrResult

Date DateTime - Date from evaluated TQuote

Tr double - True Range for current period

Atr double - Average True Range

Atrp double - Average True Range Percent is (ATR/Price)*100. This normalizes so it can be compared to other stocks.

Utilities

See Utilities and helpers for more information.

Chaining

Results can be further processed on Atrp with additional chain-enabled indicators.

// example
var results = quotes
    .GetAtr(..)
    .GetSlope(..);

This indicator must be generated from quotes and cannot be generated from results of another chain-enabled indicator or method.