While VIX ETFs and ETNs include a wide range of products with different strategies and exposures, the universe of European volatility products is much younger and smaller. Two VSTOXX ETNs were launched on 2 May 2017 by VelocityShares, issued by UBS (VelocityShares also manage the VIIX, XIV, TVIX, and a number of other VIX ETNs [more…]

Average True Range (ATR) is a very useful measure of volatility, but it has downsides. Because it is derived from range (or to be precise, true range) and expressed as absolute dollar value, it is not directly comparable across securities and over time. For example, a stock trading around 10 with ATR of 0.5 is [more…]

Average True Range (ATR) takes only one parameter and that is the period length. Some users of the ATR Calculator have asked the question which period setting they should use – which is “the best”. The answer is of course there is no such thing as the best or most profitable ATR period, like there [more…]

This is the second part of the Average True Range (ATR) Excel tutorial. In the first part we have calculated ATR using the simple moving average method. Now we will calculate ATR using the two other popular methods – exponential moving average and Wilder’s smoothing method. From the first part we have a spreadsheet with [more…]

This is a detailed guide to calculating Average True Range (ATR) in Excel. We will first calculate true range and then ATR as moving average of true range. We will do all the three popular ATR calculation methods – simple, exponential, and the original Wilder’s smoothing method. You don’t need too advanced Excel skills for [more…]

Average True Range (ATR) is a technical indicator first introduced by J. Welles Wilder Jr. in his 1978 book New Concepts in Technical Trading Systems – the same author in the same book also introduced other popular indicators such as the Relative Strength Index (RSI), Average Directional Index (ADX) or Parabolic SAR (PSAR). At present, [more…]

If you have any questions, suggestions or comments concerning any product or piece of content, please do not hesitate to

.