Average True Range (Standard MQ4)

Category: volatility

Measures market volatility by decomposing the entire range of an asset price for a period using a smoothed moving average of true ranges.

Formula

TR = max(High - Low, |High - Close_{prev}|, |Low - Close_{prev}|)\\\\ATR_i = \frac{ATR_{i-1} \times (n-1) + TR_i}{n} \text{ (Standard)} \\\\ \text{This implementation: } ATR_i = ATR_{i-1} + \frac{TR_i - TR_{i-n}}{n} \text{ (Simple Moving Average of True Range)}

Inputs

• InpAtrPeriod (default: 14)

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