Average True Range (NNFX)

Category: volatility

Calculates the Average True Range (ATR) to measure market volatility by decomposing the entire range of an asset for that period.

Formula

TR_t = \max(High_t, Close_{t-1}) - \min(Low_t, Close_{t-1}) \\ ATR_t = \frac{ATR_{t-1} \times (n-1) + TR_t}{n} \text{ (Implemented here via sliding sum)}

Inputs

• InpAtrPeriod (default: 14)

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