62:
351:
565:
Since true range and ATR are calculated by subtracting prices, the volatility they compute does not change when historical prices are back-adjusted by adding or subtracting a constant to every price. Back-adjustments are often employed when splicing together individual monthly
574:
of logarithmic price ratios, are not invariant (to addition of a constant). Thus futures traders and analysts typically use one method (ATR) to calculate volatility, while stock traders and analysts typically use standard deviation of log price ratios.
588:
distance) when calculating the trade volume based on trader's risk tolerance. In this case, ATR provides a self-adjusting risk limit dependent on the market volatility for strategies without a fixed stop-loss placement.
264:
466:
583:
Apart from being a trend strength gauge, ATR serves as an element of position sizing in financial trading. Current ATR value (or a multiple of it) can be used as the size of the potential adverse movement
545:
100:
235:
553:
The idea of ranges is that they show the commitment or enthusiasm of traders. Large or increasing ranges suggest traders prepared to continue to bid up or sell down a
570:
to form a continuous futures contract spanning a long period of time. However the standard procedures used to compute volatility of stock prices, such as the
346:{\displaystyle {\text{TR}}={\max({\text{high}},{\text{close}}_{\text{prev}})-\operatorname {min} ({\text{low}},{\text{close}}_{\text{prev}})}\,}
740:
370:
550:
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.
673:
622:
477:
638:
1356:
1048:
954:
879:
1029:
733:
698:
1361:
1182:
1106:
75:
1392:
763:
899:
864:
941:
361:
112:
1387:
923:
726:
1060:
46:
1111:
869:
819:
1283:
894:
1141:
1072:
1054:
1217:
1014:
978:
824:
778:
585:
663:
1199:
1147:
1024:
606:
34:
1351:
1295:
1228:
964:
30:
8:
1341:
1158:
1152:
1005:
914:
874:
1264:
1127:
749:
571:
27:
1275:
1205:
1100:
959:
799:
669:
618:
611:
1248:
1187:
1174:
1135:
1116:
829:
567:
1253:
1242:
949:
884:
768:
1336:
1289:
1211:
1088:
1066:
889:
859:
854:
45:, simply the degree of price volatility. The average true range is an N-period
1381:
1311:
1094:
904:
846:
106:
extends it to yesterday's closing price if it was outside of today's range.
1366:
1163:
1040:
783:
65:
42:
557:
through the course of the day. Decreasing range suggests waning interest.
1346:
1316:
1193:
991:
804:
38:
251:
Absolute value of the most recent period's high minus the previous close
1083:
814:
809:
773:
254:
Absolute value of the most recent period's low minus the previous close
61:
986:
718:
471:
The first ATR value is calculated using the arithmetic mean formula:
360:
is calculated using the following formula: (This is one form of an
560:
461:{\displaystyle ATR_{t}={{ATR_{t-1}\times (n-1)+TR_{t}} \over n}}
68:
EUR/USD chart showing ATR indicator (cyan line) with period 14.
554:
688:
This is by his reckoning of SMMA periods, meaning an α=1/14.
248:
Most recent period's high minus the most recent period's low
1077:
931:
1258:
41:. The indicator does not provide an indication of price
143:
605:
480:
373:
267:
115:
78:
540:{\displaystyle ATR={1 \over n}\sum _{i=1}^{n}TR_{i}}
578:
610:
539:
460:
345:
229:
94:
53:values. Wilder recommended a 14-period smoothing.
1379:
665:International encyclopedia of technical analysis
639:"Average True Range (ATR) [ChartSchool]"
277:
125:
668:. Global Professional Publishing. p. 341.
661:
734:
561:Applicability to futures contracts vs. stocks
741:
727:
95:{\displaystyle {\text{high}}-{\text{low}}}
613:New Concepts in Technical Trading Systems
342:
226:
60:
72:The range of a day's trading is simply
1380:
748:
691:
1078:Moving average convergence/divergence
722:
230:{\displaystyle {\text{TR}}={\max}\,}
13:
617:. Greensboro, NC: Trend Research.
258:The formula can be simplified to:
33:indicator originally developed by
14:
1404:
579:Use in position size calculation
1183:Accumulation/distribution line
682:
655:
631:
599:
433:
421:
356:The ATR at the moment of time
338:
315:
303:
280:
222:
219:
196:
184:
161:
149:
131:
128:
56:
1:
592:
1259:CBOE Market Volatility Index
900:Triple top and triple bottom
865:Double top and double bottom
7:
16:Market volatility indicator
10:
1409:
1067:Know sure thing oscillator
1061:Detrended price oscillator
362:exponential moving average
1329:
1304:
1274:
1227:
1173:
1126:
1049:Average directional index
1039:
1013:
1004:
977:
940:
922:
913:
845:
838:
792:
756:
244:is the largest of the:
1142:Relative strength index
1055:Commodity channel index
699:"Position Sizing Rules"
662:Joel G. Siegel (2000).
47:smoothed moving average
779:Elliott wave principle
643:school.stockcharts.com
541:
523:
462:
347:
231:
96:
69:
1200:Negative volume index
1148:Stochastic oscillator
1025:Fibonacci retracement
607:J. Welles Wilder, Jr.
542:
503:
463:
348:
232:
97:
64:
35:J. Welles Wilder, Jr.
1393:Technical indicators
1352:Ralph Nelson Elliott
1296:McClellan oscillator
1284:Advanceâdecline line
965:Three white soldiers
478:
371:
265:
113:
76:
1159:Ultimate oscillator
1153:True strength index
820:Open-high-low-close
1388:Technical analysis
1265:Standard deviation
1237:Average true range
1218:Volumeâprice trend
1073:Ichimoku KinkÅ HyÅ
880:Head and shoulders
750:Technical analysis
572:standard deviation
537:
458:
343:
227:
147:
92:
70:
28:technical analysis
20:Average true range
1375:
1374:
1325:
1324:
1206:On-balance volume
1101:Smart money index
1000:
999:
973:
972:
960:Three black crows
703:www.earnforex.com
675:978-1-888998-88-7
624:978-0-89459-027-6
568:futures contracts
501:
456:
335:
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271:
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176:
167:
146:
137:
119:
90:
82:
1400:
1249:Donchian channel
1188:Ease of movement
1136:Money flow index
1117:Vortex indicator
1011:
1010:
979:Point and figure
920:
919:
870:Flag and pennant
843:
842:
825:Point and figure
743:
736:
729:
720:
719:
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494:
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1402:
1401:
1399:
1398:
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1378:
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1321:
1300:
1270:
1254:Keltner channel
1243:Bollinger Bands
1223:
1169:
1122:
1035:
1016:
996:
969:
950:Hikkake pattern
936:
909:
885:Island reversal
834:
788:
769:Dead cat bounce
752:
747:
717:
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59:
17:
12:
11:
5:
1406:
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1395:
1390:
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1354:
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1337:John Bollinger
1333:
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1225:
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1222:
1221:
1215:
1212:Put/call ratio
1209:
1203:
1197:
1191:
1185:
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1177:
1171:
1170:
1168:
1167:
1161:
1156:
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1132:
1130:
1124:
1123:
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1120:
1114:
1109:
1104:
1098:
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1089:Moving average
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935:
934:
928:
926:
917:
911:
910:
908:
907:
902:
897:
892:
890:Price channels
887:
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872:
867:
862:
860:Cup and handle
857:
855:Broadening top
851:
849:
840:
836:
835:
833:
832:
827:
822:
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690:
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562:
559:
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86:
58:
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49:(SMMA) of the
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9:
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4:
3:
2:
1405:
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1312:Coppock curve
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1129:
1125:
1118:
1115:
1113:
1110:
1108:
1105:
1102:
1099:
1096:
1095:Parabolic SAR
1093:
1090:
1087:
1085:
1082:
1079:
1076:
1074:
1071:
1068:
1065:
1062:
1059:
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1053:
1050:
1047:
1046:
1044:
1042:
1038:
1031:
1028:
1026:
1023:
1022:
1020:
1018:
1015:Support &
1012:
1009:
1007:
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993:
990:
988:
985:
984:
982:
980:
976:
966:
963:
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951:
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945:
943:
939:
933:
930:
929:
927:
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921:
918:
916:
912:
906:
905:Wedge pattern
903:
901:
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888:
886:
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873:
871:
868:
866:
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837:
831:
828:
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721:
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700:
694:
685:
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671:
667:
666:
658:
644:
640:
634:
626:
620:
615:
614:
609:(June 1978).
608:
602:
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519:
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84:
67:
63:
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52:
48:
44:
40:
36:
32:
29:
25:
21:
1367:Mark Hulbert
1236:
955:Morning star
784:Market trend
706:. Retrieved
702:
693:
684:
664:
657:
646:. Retrieved
642:
633:
612:
601:
582:
564:
552:
549:
470:
357:
355:
257:
241:
239:
103:
71:
50:
23:
19:
18:
1362:John Murphy
1357:Bob Farrell
1347:Charles Dow
1317:Ulcer index
1194:Force index
1164:Williams %R
1030:Pivot point
915:Candlestick
800:Candlestick
57:Calculation
39:commodities
1382:Categories
1290:Arms index
1229:Volatility
1107:Trend line
1084:Mass index
1017:resistance
1006:Indicators
830:Line break
774:Dow theory
708:2019-04-17
648:2024-03-17
593:References
242:true range
104:true range
66:MetaTrader
51:true range
31:volatility
1342:Ned Davis
992:Bear trap
987:Bull trap
586:stop-loss
505:∑
428:−
419:×
411:−
313:
307:−
205:−
194:
170:−
159:
140:−
85:−
1330:Analysts
1128:Momentum
1051:(A.D.X.)
895:Triangle
839:Patterns
764:Breakout
757:Concepts
1276:Breadth
942:Complex
26:) is a
1292:(TRIN)
1175:Volume
1080:(MACD)
924:Simple
793:Charts
672:
621:
102:. The
1305:Other
1286:(ADL)
1261:(VIX)
1239:(ATR)
1220:(VPT)
1214:(PCR)
1208:(OBV)
1202:(NVI)
1190:(EMV)
1155:(TSI)
1144:(RSI)
1138:(MFI)
1103:(SMI)
1097:(SAR)
1069:(KST)
1063:(DPO)
1057:(CCI)
1041:Trend
847:Chart
805:Renko
555:stock
329:close
294:close
210:close
175:close
43:trend
1245:(BB)
1196:(FI)
1166:(%R)
1119:(VI)
1112:Trix
1091:(MA)
1032:(PP)
932:Doji
815:Line
810:Kagi
670:ISBN
619:ISBN
334:prev
299:prev
285:high
240:The
215:prev
180:prev
166:high
136:high
81:high
37:for
1267:(Ï)
875:Gap
320:low
310:min
278:max
201:low
191:abs
156:abs
145:low
126:max
89:low
24:ATR
1384::
701:.
641:.
364:)
270:TR
118:TR
742:e
735:t
728:v
711:.
678:.
651:.
627:.
584:(
533:i
529:R
525:T
520:n
515:1
512:=
509:i
499:n
496:1
491:=
488:R
485:T
482:A
454:n
448:t
444:R
440:T
437:+
434:)
431:1
425:n
422:(
414:1
408:t
404:R
400:T
397:A
391:=
386:t
382:R
378:T
375:A
358:t
339:)
324:,
316:(
304:)
289:,
281:(
274:=
223:]
220:)
197:(
188:,
185:)
162:(
153:,
150:)
132:(
129:[
122:=
22:(
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
