Average True Range (NNFX Version)

Category: volatility

Measures market volatility by decomposing the entire range of an asset for a given period, utilizing an exponential-like smoothing of True Range.

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 rolling sum update in code)}

Inputs

• InpAtrPeriod (default: 14)

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