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ATR Trailing Stop

Created by Welles Wilder, the ATR Trailing Stop indicator attempts to determine the primary trend of Close prices by using Average True Range (ATR) band thresholds. It can indicate a buy/sell signal or a trailing stop when the trend changes. [Discuss] 💬

chart for ATR Trailing Stop

// C# usage syntax
IEnumerable<AtrStopResult> results =
  quotes.GetAtrStop(lookbackPeriods, multiplier, endType);

Parameters

lookbackPeriods int - Number of periods (N) for the ATR evaluation. Must be greater than 1. Default is 21.

multiplier double - Multiplier sets the ATR band width. Must be greater than 0 and is usually set around 2 to 3. Default is 3.

endType EndType - Determines whether Close or High/Low is used as basis for stop offset. See EndType options below. Default is EndType.Close.

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 periods prior to the intended usage date for optimal 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.

EndType options

EndType.Close - Stop offset from Close price (default)

EndType.HighLow - Stop offset from High or Low price

Response

IEnumerable<AtrStopResult>

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 AtrStop values since there’s not enough data to calculate.

⚞ Convergence warning: the line segment before the first reversal and the first N+100 periods are unreliable due to an initial guess of trend direction and precision convergence for the underlying ATR values.

AtrStopResult

Date DateTime - Date from evaluated TQuote

AtrStop decimal - ATR Trailing Stop line contains both Upper and Lower segments

BuyStop decimal - Upper band only (green)

SellStop decimal - Lower band only (red)

BuyStop and SellStop values are provided to differentiate buy vs sell stop lines and to clearly demark trend reversal. AtrStop is the contiguous combination of both upper and lower line data.

Utilities

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from quotes. It cannot be used for further processing by other chain-enabled indicators.