Average True Range (ATR)

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Average True Range (ATR)

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Description

A measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems.

 

The True Range indicator is the greatest of the following:

-current high less the current low.

-the absolute value of the current high less the previous close.

-the absolute value of the current low less the previous close.

 

The Average True Range is a moving average (generally 14-days) of the True Ranges.

 

... Courtesy of Investopedia

 

The original Wilder formula for an exponential moving average with a smoothing constant (k = 1/ Period) is used to calculate the ATR.

 

Syntax

ATR(int period)
ATR(ISeries<double> input, int period)

 

Returns default value
ATR(int period)[int barsAgo]
ATR(ISeries<double> input, int period)[int barsAgo]

 

 

Return Value

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

 

 

Parameters

input

Indicator source data (?)

period

Number of bars used in the calculation

 

 

Example

ns

// Prints the current value of a 20 period ATR using default price type
double value = ATR(20)[0];
Print("The current ATR value is " + value.ToString());

 

 

Source Code

You can view this indicator method source code by selecting the menu New > NinjaScript Editor > Indicators within the NinjaTrader Control Center window.