ATR_Info

2023년 7월 16일

What Is the Average True Range (ATR)?

The average true range (ATR) is a technical analysis indicator, introduced by market technician J. Welles Wilder Jr. in his book New Concepts in Technical Trading Systems, that measures market volatility by decomposing the entire range of an asset price for that period.

Each instrument per unit of time passes its average value of the true range, but there are moments when the volatility explodes or abruptly decays, these phenomena introduce large distortions into the average value of the true range.
The ATR_WPB function calculates the average value of the true range for the specified number of bars, while excluding paranormally large and paranormally small bars from the calculation of the average.

For example, if the instrument has passed a small ATR value, then it has many chances to continue moving, but if the instrument has passed its ATR value, then the chances of continuing to move are extremely low.

Library "ATR_Info"
ATR_Info: Calculates ATR without paranormal bars

ATR_WPB(source, period, psmall, pbig)
  ATR_WPB: Calculates ATR without paranormal bars
  Parameters:
    source (float): ATR_WPB: (series float) The sequence of data on the basis of which the ATP calculation will be made
    period (int): ATR_WPB: (int) Sequence size for ATR calculation
    psmall (float): ATR_WPB: (float) Coefficient for paranormally small bar
    pbig (float): ATR_WPB: (float) Coefficient for paranormally big bar
  Returns: ATR_WPB: (float) ATR without paranormal bars