Average True Range (ATR), introduced by Wilder in 1978, measures volatility by averaging the 'true range' over a window (default 14). True range is the largest of: today's high − today's low; |today's high − previous close|; |today's low − previous close|. The previous-close legs handle overnight gaps.
ATR has the unit of price, not percent, so it scales naturally to whatever instrument you trade. It is the standard input to volatility-based stops: a 'chandelier exit' at 3 × ATR below the swing high adapts the stop distance to current market conditions instead of using a fixed-tick or fixed-percent stop.
Wilder's smoothing is a recursive EMA with α = 1/N, not the standard α = 2/(N+1). Some implementations use a simple moving average of TR instead — values can differ by a few percent.
Fórmula
TR_t = max(H_t − L_t, |H_t − C_{t-1}|, |L_t − C_{t-1}|)
ATR_t = ((N − 1) · ATR_{t-1} + TR_t) / NEjemplo
Yesterday's ATR(14) = 200. Today: high 50,100, low 49,700, prev close 50,000 → TR = max(400, 100, 300) = 400. New ATR = (13·200 + 400) / 14 ≈ 214.3.
Cómo Noon Barbari usa Average true range (ATR)
Cada concepto aquí está implementado en la plataforma. Abre la documentación o la herramienta correspondiente para verlo en acción.
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