Average True Range

Average True Range

Average True Range (ATR) is a technical analysis indicator developed by J. Welles Wilder, based on trading ranges smoothed by an N-day exponential moving average.

The range of a day's trading is simply mbox{high} - mbox{low}. The true range extends it to yesterday's closing price if it was outside of today's range:

: mbox{true range} = {max(mbox{high}, mbox{close}_mbox{prev}) - min(mbox{low}, mbox{close}_mbox{prev})}

The average true range is then an N-day exponential moving average of the "true range" values. Wilder recommended a 14-period smoothing. Note this is by his reckoning of EMA periods (see the EMA article on that), meaning an α=1/14.

The idea of ranges is that they show the commitment or enthusiasm of traders. Large or increasing ranges suggest traders prepared to continue to bid up or sell down a stock through the course of the day. Decreasing range suggests waning interest.

Further reading

* J. Welles Wilder, "New Concepts in Technical Trading Systems", Trend Research, 1978, ISBN 0-89459-027-8

http://www.meta-formula.com/average-true-range.html


Wikimedia Foundation. 2010.

Игры ⚽ Поможем написать курсовую

Look at other dictionaries:

  • Average True Range - ATR — A measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. The true range indicator is the greatest of the following: current high less the current low. the absolute value of the current high less… …   Investment dictionary

  • Average Directional Index — The Average Directional Index (ADX) was developed in 1978 by J. Welles Wilder as an indicator of trend strength in a series of prices of a financial instrument. [cite book | author=Wilder, J. Welles | title=New Concepts in Technical Trading… …   Wikipedia

  • Average Directional Movement Index — Der Average Directional Movement Index ADX ist ein Indikator der technischen Analyse und dient der Trendstärkebestimmung eines Kurses. Er wurde von Welles Wilder 1978 entwickelt und in seinem Buch „New Concepts in Technical Trading Systems“… …   Deutsch Wikipedia

  • Moving average — For other uses, see Moving average (disambiguation). In statistics, a moving average, also called rolling average, rolling mean or running average, is a type of finite impulse response filter used to analyze a set of data points by creating a… …   Wikipedia

  • True Crime: Streets of LA — North American cover art Developer(s) Luxoflux Publisher(s) Activision …   Wikipedia

  • True's beaked whale — Size comparison against an average human Conservation status …   Wikipedia

  • Average — In mathematics, an average, or central tendency[1] of a data set is a measure of the middle value of the data set. Average is one form of central tendency. Not all central tendencies should be considered definitions of average. There are many… …   Wikipedia

  • True's Beaked Whale — Taxobox name = True s Beaked Whale status = DD status system = iucn2.3 image caption = Size comparison against an average human regnum = Animalia phylum = Chordata classis = Mammalia ordo = Cetacea subordo = Odontoceti familia = Ziphidae genus =… …   Wikipedia

  • True Strength Index - TSI — A technical momentum indicator that helps traders determine overbought and oversold conditions of a security by incorporating the short term purchasing momentum of the market with the lagging benefits of moving averages. Generally a 25 day… …   Investment dictionary

  • True lemming — Taxobox | name = True lemmings fossil range = Pleistocene Recent image width = 240px image caption = Lemmus lemmus regnum = Animalia phylum = Chordata classis = Mammalia ordo = Rodentia familia = Cricetidae subfamilia = Arvicolinae genus = Lemmus …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”