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--- technical_indicators:average_true_range_atr [2019/09/07 00:18]
betseyp [Weeding Out High Volatility]
+++ technical_indicators:average_true_range_atr [2023/08/30 19:49]
jayanthi [Absolute ATR]
@@ Line 48: / Line 48: @@
 {{:technical_indicators:average_true_range_atr:atr-3-qqqqexam.png|ATR - Chart 1}}
-For those trying this at home, a few caveats apply. First, just like with [[:technical_indicators:moving_averages#ema_accuracy|Exponential Moving Averages (EMAs)]], ATR values depend on how far back you begin your calculations. The first True Range value is simply the current High minus the current Low and the first ATR is an average of the first 14 True Range values. The real ATR formula does not kick in until day 15. Even so, the remnants of these first two calculations "linger" to slightly affect subsequent ATR values. Spreadsheet values for a small subset of data may not match exactly with what is seen on the price chart. Decimal rounding can also slightly affect ATR values. On our charts, we calculate back at least 250 periods (typically much further), to ensure a much greater degree of accuracy for our ATR values.
+For those trying this at home, a few caveats apply. First, just like with [[:technical_indicators:moving_averages#ema_accuracy|Exponential Moving Averages (EMAs)]], ATR values depend on how far back you begin your calculations. The first True Range value is simply the current High minus the current Low and the first ATR is an average of the first 14 True Range values. The real ATR formula does not kick in until day 15. Even so, the remnants of these first two calculations "linger" to slightly affect subsequent ATR values. **Spreadsheet values for a small subset of data may not match exactly with what is seen on the price chart.** Decimal rounding can also slightly affect ATR values. On our charts, we calculate back at least 250 periods (typically much further), to ensure a much greater degree of accuracy for our ATR values.
 ===== Absolute ATR =====
-ATR is based on the True Range, which uses absolute price changes. As such, ATR reflects volatility as absolute level. In other words, ATR is not shown as a percentage of the current close. This means low-priced stocks will have lower ATR values than high price stocks. For example, a $20-30 security will have much lower ATR values than a $200-300 security. Because of this, ATR values are not comparable. Even large price movements for a single security, such as a decline from 70 to 20, can make long-term ATR comparisons impractical. Chart 4 shows Google with double-digit ATR values and chart 5 shows Microsoft with ATR values below 1. Despite different values, their ATR lines have similar shapes.
+ATR is based on the True Range, which uses absolute price changes. As such, ATR reflects volatility at an absolute level. In other words, ATR is not shown as a percentage of the current close. This means low-priced stocks will have lower ATR values than high-price stocks. For example, a $20-30 security will have much lower ATR values than a $200-300 security. Because of this, ATR values are not comparable. Large price movements for a single security, such as a decline from 70 to 20, can make long-term ATR comparisons impractical. Chart 4 shows Google with double-digit ATR values, and chart 5 shows Microsoft with ATR values below 1. Despite different values, their ATR lines have similar shapes.
 {{:technical_indicators:average_true_range_atr:atr-4-googhigh.png?nolink&}}
@@ Line 58: / Line 58: @@
 {{:technical_indicators:average_true_range_atr:atr-5-mfstlow.png?nolink&}}
+===== Average True Range Percentage (ATRP) =====
+The ATRP indicator, similar to the Average True Range (ATR), measures volatility. The difference is that ATRP is scaled as a percentage, which means you can use it to compare ATR values of different securities. The ATRP is calculated by dividing the ATR by the closing price and multiplying the value by 100.
+ATRP = (ATR
 ===== Conclusion =====