ReferencesCommonSystem Indicator Methods

Average True Range (ATR)

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Description

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 the previous close.
  • the absolute value of the current low less the previous close.

The Average True Range is a moving average (generally 14-days) of the True Ranges.

… Courtesy of Investopedia

The original Wilder formula for an exponential moving average with a smoothing constant (k = 1/ Period) is used to calculate the ATR.

Syntax

ATR(int period)

ATR(ISeries\<double> input, int period)

Returns default value

ATR(int period)[int barsAgo]

ATR(ISeries\<double\> input, int period)[int barsAgo]

Return Value

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

Parameters

ParameterDescription
inputIndicator source data
periodNumber of bars used in the calculation

Example

1// Prints the current value of a 20 period ATR using default price type
2double value = ATR(20)[0];
3Print("The current ATR value is " + value.ToString());

Source Code

You can view this indicator method source code by selecting the menu New > NinjaScript Editor > Indicators within the NinjaTrader Control Center window.