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Average Day Range (ADR)

Summary

Average Day Range: the arithmetic mean of the last optInTimePeriod bar ranges, high minus low. It answers how far price travels within a bar, and is read as a volatility budget — a stop or a target much smaller than ADR is inside the noise the instrument produces on an ordinary bar, one much larger asks for a move that rarely happens.

Same family as ATR, and deliberately the narrower member: the range excludes the overnight gap, so on a gapping instrument ADR is systematically smaller than ATR. Having both is the point.

Formula

Range_t = High_t - Low_t; ADR_t = ( Σ Range over the last optInTimePeriod bars ) / optInTimePeriod

The average is a plain SMA, so there is no seeding convention and none of the cross-library divergence that comes with one.

Notes

  • The mean of the ranges, not the difference of the means. SMA(high) - SMA(low) is algebraically the same quantity and is what both TradingView pages spell, but it subtracts two price-magnitude averages to reach a range-magnitude answer and inherits the larger scale's rounding; TC2000's AVG(H-L, x) and kand's SMA(High-Low, period) spell the form implemented here.
  • The "day" is not a calendar day or a trading session. No TA-Lib function takes a timestamp or a session boundary, so the bars the caller passes are the days — pass daily bars for a daily range, hourly bars for an hourly one. This is the convention VWAP already ships under.
  • high below low is not rejected. The library validates ranges and parameters, not price sanity, so a bar entered upside down contributes a negative range and the average simply comes out lower, possibly negative, with no error.
  • Not the width of a Donchian channel. MAX(high, n) - MIN(low, n) is how far the window's extremes lie apart; ADR is the mean of the per-bar ranges, which is smaller whenever the window trends. DONCHIAN ships the two extremes that width is built from, not the width itself.
  • The request this function answers (TA-Lib/ta-lib-python#575) named "Average Day Range" but the freqtrade code behind it computes MAX(close, 24) - MIN(close, 24), a channel width on the closes with no averaging and no high/low. That is a different series and already reachable, as TA_SUB(TA_MAX(close, 24), TA_MIN(close, 24)).
  • No percentage form is emitted. The two published ones disagree by more than 20% on ordinary data — Qullamaggie's 100 · (SMA(high/low, 20) - 1) averages ratios, TradingView's (SMA(high, 14) - SMA(low, 14)) / close · 100 takes a ratio of averages — so picking one silently would ship a second indicator under this one's name.

Inputs

  • inHigh — High price of each bar
  • inLow — Low price of each bar

Outputs

  • outReal — Average bar range over the window, in price units

Parameters

ParameterTypeDefaultAccepted valuesDescription
optInTimePeriodinteger141–100000Number of bar ranges averaged. Published conventions differ and none is authoritative: TradingView's ADR indicator page works its example over 7 bars, TC2000's over 10, and the Qullamaggie screener community reads "ADR" as 20. The value shipped here is ATR's, so the two volatility measures are comparable out of the box.

Properties

Numerical Stability: Start-Independent

☐ Overlap Input
✅ Independent Y-Axis i
☐ Candlestick
☐ Can Output NaN or ±Inf
☐ Identity at Period 1

Implementation

TA-Lib Definition: adr.c · adr.yaml

NativeFile
Cta_ADR.c
Rustadr.rs
JavaCore_ADR.java

TA-Lib is also available for Python, R and more using a wrapper.

Aliases

Average Daily Range

See Also

ATR · DONCHIAN · NATR · QSTICK · TRANGE

References

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