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]
// usage IEnumerable<AtrStopResult> results = quotes.GetAtrStop(lookbackPeriods, multiplier, endType);
int - Number of periods (
N) for the ATR evaluation. Must be greater than 1. Default is 21.
double - Multiplier sets the ATR band width. Must be greater than 0 and is usually set around 2 to 3. Default is 3.
EndType - Determines whether
High/Low is used as basis for stop offset. See EndType options below. Default is
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 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.Close - Stop offset from
Close price (default)
EndType.HighLow - Stop offset from
- 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
nullAtrStop values since there’s not enough data to calculate.
Convergence warning: the line segment before the first reversal and the first
N+100periods are unreliable due to an initial guess of trend direction and precision convergence for the underlying ATR values.
DateTime - Date from evaluated
decimal - ATR Trailing Stop line contains both Upper and Lower segments
decimal - Upper band only (green)
decimal - Lower band only (red)
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.
See Utilities and helpers for more information.
This indicator is not chain-enabled and must be generated from
quotes. It cannot be used for further processing by other chain-enabled indicators.