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Description

This study calculates and displays a Moving Average of the True Range.

Let the Input Length be denoted as \(n\), and let \(TR\) be a random variable denoting the True Range. Then we denote the Average True Range at Index \(t\) for the given Length as \(ATR_t(n)\), and we calculate it in terms of a Simple Moving Average for \(t \geq n - 1\) as follows.

Note: Depending on the setting of the Input Moving Average Type, the Simple Moving Average in the above formula could be replaced with an Exponential Moving Average, a Linear Regression Moving Average, a Weighted Moving Average, a Wilders Moving Average, a Simple Moving Average - Skip Zeros, or a Smoothed Moving Average.

This study can be used on any chart bar timeframe. However, if the intent is to get an average of the daily true range, it does require that it is used on a Historical Daily Chart with a time period of 1 day per bar.

A Historical Daily chart can be opened with File >> Find Symbol >> [select symbol] >> Open Historical Chart.

Once you add this study to a Historical Daily chart, the study can be overlaid to an Intraday chart by using the Study/Price Overlay study.