Average True Range (ATR)

Category: volatility

Measures market volatility by decomposing the entire range of an asset price for that period, specifically accounting for price gaps.

Formula

TR = max(High, Close_{prev}) - min(Low, Close_{prev}) \\ ATR_t = \frac{ATR_{t-1} \times (n-1) + TR_t}{n} \text{ (Simplified as a rolling sum adjustment in this code)}

Inputs

• InpAtrPeriod (default: 14)

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