ATR (Average True Range) is a technical indicator which measures price volatility of a security. It improves the more widely used Range, which is simply the difference between the highest and lowest price in a particular period. While (traditional) Range does not account for price changes between time periods (days or bars) in any way, ATR does, which makes ATR a better measure of price volatility in some cases (especially for markets which tend to make opening gaps often).
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 [more...]
The concept of true range and calculation of ATR (Average True Range) is confusing for many people, as you are actually comparing three values instead of applying one exact formula. This page is a detailed guide to calculation of true range. I've tried to attach a few simple chart examples [more...]
This page explains the calculation of Average True Range (ATR). We will look at all three commonly used calculation methods - simple, exponential, and the original Wilder's smoothing method. We will also compare the results of these methods on some examples, pointing out their different characteristics.
Calculating True Range
Average True [more...]
This is 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 cover all three popular ATR calculation methods - simple, exponential, and the original Wilder's smoothing method.
You don't need advanced Excel skills [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 two other popular methods - exponential moving average and Wilder's smoothing method.
First Part Recap (SMA ATR)
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 [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 [more...]