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Average true range
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Average true range
Average true range (ATR) is a technical analysis volatility indicator originally developed by J. Welles Wilder, Jr. for commodities. The indicator does not provide an indication of price trend, simply the degree of price volatility. The average true range is an N-period smoothed moving average (SMMA) of the true range values. Wilder recommended a 14-period smoothing.
The range of a day's trading is simply . The true range extends it to yesterday's closing price if it was outside of today's range.
The true range is the largest of the:
The first term represents the true range when the previous close (closeprev) is situated within the current period's high-low range. The second term yields the maximum value when closeprev is lower than the current low, while the third term applies when closeprev is higher than the current high.
The formula can be simplified to:
The ATR at the moment of time t is calculated using the following formula: (This is one form of an exponential moving average)
The first ATR value is calculated using the arithmetic mean formula:
N.B. This first value is the first in the time series (not the most recent) and is n periods from the beginning of the chart.
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Average true range
Average true range (ATR) is a technical analysis volatility indicator originally developed by J. Welles Wilder, Jr. for commodities. The indicator does not provide an indication of price trend, simply the degree of price volatility. The average true range is an N-period smoothed moving average (SMMA) of the true range values. Wilder recommended a 14-period smoothing.
The range of a day's trading is simply . The true range extends it to yesterday's closing price if it was outside of today's range.
The true range is the largest of the:
The first term represents the true range when the previous close (closeprev) is situated within the current period's high-low range. The second term yields the maximum value when closeprev is lower than the current low, while the third term applies when closeprev is higher than the current high.
The formula can be simplified to:
The ATR at the moment of time t is calculated using the following formula: (This is one form of an exponential moving average)
The first ATR value is calculated using the arithmetic mean formula:
N.B. This first value is the first in the time series (not the most recent) and is n periods from the beginning of the chart.