Average True Range (ATR)

Category: volatility

The Average True Range (ATR) measures market volatility by averaging the true range of prices over a specified period. It accounts for price gaps by comparing the current high/low against the previous close.

Formula

TR = \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{ (Simplified as a rolling average in this MQL implementation)}

Inputs

• InpAtrPeriod (default: 14)

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