Average True Range [ATR]

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The Average True Range function determines the volatility of a financial data series by calculating the average difference between the True Range High and True Range Low over a given period of time. Parameters ------------------ Close         The closing price of the security for each given day. High          The high price of the security for each given day. Low           The low price of the security for each given day. Period        The number of bars of data to include in the average, including the current value.                   For example, a period of 3 includes the current value and the two previous values. Note that while this function is intended for use with these specific values, any values can be used for these parameters, including other price values and averaged prices. Indicator Value ------------------------ The Average True Range is a moving average of the True Range, which is the difference between the True Range High and the True Range Low. The current True Range High is the current high or the previous close, whichever is greater. Similarly, the current True Range Low is the current low or the previous close, whichever is lower. These values take into account price changes during off-hours trading. The Average True Range at the beginning of the data series is not defined until there are enough values to fill the given period. Usage ----------- The Average True Range measures the volatility of a security. High values indicate that prices are changing a large amount during the day. Low values indicate that prices are staying relatively constant. Note that both trending and level prices can have high or low volatility. High volatility levels can sometimes be used to time trend reversals, such as market tops and bottoms. Low volatility levels can sometimes be used to time the beginning of new upward price trends following periods of consolidation. Source ------------ This indicator is based on an entry in "Technical Analysis From A To Z" by Steven B. Achelis. It was introduced by Welles Wilder in his book "New Concepts in Technical Trading Systems".