ATR
Summary
Wilder-smoothed average of the True Range over a period, measuring price volatility regardless of direction. Higher ATR means greater volatility; no directional bias.
Formula
TR_t = max(high-low, |prevClose-high|, |prevClose-low|)
ATR seed = simple average of first period TR values
ATR_t = (ATR_{t-1} * (period-1) + TR_t) / period
Inputs
inPriceHLC— High, low, close price series
Outputs
outReal— Average True Range value
Parameters
optInTimePeriod— Smoothing period
Implementation
TA-Lib Definition: atr.c · atr.yaml
| Native | File |
|---|---|
| C | ta_ATR.c |
| Rust | atr.rs |
| Java | Core.java |
TA-Lib is also available for Python, R and more using a wrapper.
Aliases
Average True Range
See Also
References
- J. Welles Wilder, New Concepts in Technical Trading Systems, Trend Research (ISBN 0894590278)