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] 💬
// standard usage 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();
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 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.
- This method returns a time series of all available indicator values for the
- 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
Nperiods will have
nullvalues for ATR since there’s not enough data to calculate.
⚞ Convergence warning: The first
N+100periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.
DateTime - Date from evaluated
double - True Range for current period
double - Average True Range
double - Average True Range Percent is
(ATR/Price)*100. This normalizes so it can be compared to other stocks.
See Utilities and helpers for more information.
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.