Average True Range (ATR) / True Range (TR)

Created by J. Welles Wilder, True Range and Average True Range are measures of volatility that capture gaps and limits between periods. See True Range (TR) for dedicated TR documentation, including streaming support. [Discuss] 💬

// C# usage syntax
IReadOnlyList<AtrResult> results =
  bars.ToAtr(lookbackPeriods);

// ATR with custom moving average
IReadOnlyList<SmmaResult> results =
  bars.ToTr().ToSmma(lookbackPeriods);

// raw True Range (TR) only
IReadOnlyList<TrResult> results =
  bar.ToTr();

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) to consider. Must be greater than 1.

Historical price bars requirements

You must have at least N+100 periods of bars to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<AtrResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N periods will have null values for ATR since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

AtrResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Tr	double	True Range for current period
Atr	double	Average True Range
Atrp	double	Average True Range Percent is (ATR/Price)*100. This normalizes so it can be compared to other stocks.

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Atrp with additional chain-enabled indicators.

// example
var results = bars
    .ToAtr(..)
    .ToSlope(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

AtrList atrList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  atrList.Add(bar);
}

// based on `ICollection<AtrResult>`
IReadOnlyList<AtrResult> results = atrList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
AtrHub observer = barHub.ToAtrHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<AtrResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.