Category

Indicator Functions

Description

Wilder's Average True Range

Syntax

ATR(len)

Parameters

len - lookback period

Notes

Calculation uses the original Welles Wilder formula.

Wilder's exponential smoothing is equivalent to using 2*len-1 in a regular exponential moving average.

This indicator supports one-pass calculation when used in the Data Section with a non-variable length.

Examples

MyATR: ATR(14)

Pre-calculating ATR in the Data section improves backtest speed.

ExitStop: C - 2 * MyATR

A volatility-adjusted trailing stop using ATR.

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