Average True Range (ATR)

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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 [2020/07/13 22:10] (current)
betseyp [Calculation]
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 {{:​technical_indicators:​average_true_range_atr:​atr-3-qqqqexam.png|ATR - Chart 1}} {{:​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 ===== ===== Absolute ATR =====