Average True Range (ATR)

Category: volatility

Smoothed true range; the standard unit for stops, position sizing and volatility filters.

Formula

TR = max(H−L, |H−C_prev|, |L−C_prev|); ATR = Wilder-smooth_N(TR)

Inputs

• period (default: 14)

See signal primitives and every published strategy that uses Average True Range (ATR) on WOBR StrategyVerse.