Average True Range (ATR)

Install and import

bash

npm install fintech-algorithms

import { average_true_range } from "fintech-algorithms/technical-indicators/volatility-and-channels/atr";

Signature

average_true_range(high, low, close, p)

Wilder-smoothed true range. Most often used for position sizing and stop placement rather than as a signal — it says how far price typically moves, not which way.

Parameters

Name	Type	Notes
`high`	`number[]`	Per-bar high prices, chronological.
`low`	`number[]`	Per-bar low prices, chronological.
`close`	`number[]`	Per-bar closing prices, chronological.
`p`	`number`	Wilder smoothing period. Note this is 1/p decay, not the 2/(p+1) of a standard EMA; substituting one changes every published ATR value. min: 1 · integer: true

Returns

Record<string, (number | null)[]> · length same-as-input

Parallel series: true_range and atr.

Warm-up

The first p positions are null. The first ATR is the mean of the first p true ranges; Wilder smoothing continues from there.

Errors

When p < 1 or is not an integer — throws RangeError
When the input series are not all the same length — throws RangeError

Complexity: time O(n), space O(n).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

high

[101.08, 101.6243955, 102.13058177, 102.56507653, 102.90321818, 103.1320792]

Showing 6 of 240 elements.

low

[98.92, 99.39457765, 99.83203556, 100.19996391, 100.47473988, 100.64442473]

Showing 6 of 240 elements.

[100, 100.50948657, 100.98130867, 101.38252022, 101.68897903, 101.88825197]

Showing 6 of 240 elements.

Call

average_true_range(high, low, close, p)

Returns

object with 2 fields: true_range, atr

{
  "true_range": [
    2.1599999999999966,
    2.2298178500000034,
    2.298546210000012,
    2.365112620000005,
    2.4284782999999948,
    2.4876544700000096
  ],
  "atr": [null, null, null, null, null, null]
}

Other exports

This module also exports true_range. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

Average True Range (ATR) — canonical trace

Average True Range (ATR) — failure boundary

Average True Range (ATR) — mechanism map

Average True Range (ATR) — memory comparison

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References

New Concepts in Technical Trading Systems — J. Welles Wilder Jr.
Average True Range — TA-Lib
ta_ATR.c — TA-Lib
True Range — TA-Lib
Public evidence boundary