ATR Trailing Stop

Created by Welles Wilder, the ATR Trailing Stop indicator attempts to determine the primary trend of Close prices by using Average True Range (ATR) band thresholds. It can indicate a buy/sell signal or a trailing stop when the trend changes. [Discuss] 💬

// C# usage syntax
IReadOnlyList<AtrStopResult> results =
  bars.ToAtrStop(lookbackPeriods, multiplier, endType);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) for the ATR evaluation. Must be greater than 1. Default is 21.
multiplier	double	Multiplier sets the ATR band width. Must be greater than 0 and is usually set around 2 to 3. Default is 3.
endType	EndType	Determines whether Close or High/Low is used as basis for stop offset. Default is EndType.Close.

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 periods prior to the intended usage date for optimal 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.

EndType enum options

enum	int	description
EndType.Close	0	Threshold measured from bar Close price
EndType.HighLow	1	Threshold measured from bar High and Low price

Response

IReadOnlyList<AtrStopResult>

• 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 AtrStop values since there's not enough data to calculate.

🚩 ⚞ Convergence warning

the line segment before the first reversal and the first N+100 periods are unreliable due to an initial guess of trend direction and precision convergence for the underlying ATR values.

AtrStopResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
AtrStop	double	ATR Trailing Stop line contains both Upper and Lower segments
BuyStop	double	Upper band only (green)
SellStop	double	Lower band only (red)
Atr	double	Average True Range

BuyStop and SellStop values are provided to differentiate buy vs sell stop lines and to clearly demark trend reversal. AtrStop is the contiguous combination of both upper and lower line data.

Utilities

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

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from bars. It cannot be used for further processing by other chain-enabled indicators.

See Chaining indicators for more.

Streaming

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

AtrStopList atrStopList = new(lookbackPeriods, multiplier: 3.0, endType: EndType.Close);

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

// based on `ICollection<AtrStopResult>`
IReadOnlyList<AtrStopResult> results = atrStopList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
AtrStopHub observer = barHub.ToAtrStopHub(lookbackPeriods, multiplier: 3.0, endType: EndType.Close);

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

IReadOnlyList<AtrStopResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.