Abbreviation: ATR
Category: Price Momentum Indicators
Input Parameters:
| Name | Range | Default |
| High Price | High | |
| Low Price | Low | |
| Closing Price | Close | |
| ATR periods | Int >= 1 | 14 |
Calculation:
On nth period:
= Avg(TrueRange, ATRperiods)
Every period thereafter:
= ( Old * (ATRperiods – 1) + TrueRange ) / ATRperiods
where
True Range = Max( High-Low, abs(High-prevClose), abs(Low-prevClose)), except on first bar in which case just High – Low
Discussion:
Originally developed by J. Welles Wilder, the measures price volatilty. The indicator averages the price range of the last ATR period bars. The price range of each bars is calculated as the range between a bars high and low prices, except when the previous close was outside of the current bar’s high/low range, in which case it adds the gap between the prior close and the current bars price range into the range calculation.