ATR {TTR} | R Documentation |
True range (TR) is a measure of volatility of a High-Low-Close series; average true range (ATR) is a Welles Wilder's style moving average of the TR. Developed by J. Welles Wilder in 1978.
ATR(HLC, ma = list("EMA", n=14, wilder=TRUE))
HLC |
Object able to be coerced to a matrix, which contains High-Low-Close prices. |
ma |
A list whose first component is a string containing the moving average function name; additional parameters may also be specified as named components. |
TR incorporates yesterday's close in the calculation (high minus low). E.g. if yesterday's close was higher than today's high, then the TR would equal yesterday's close minus today's low.
The ATR is a component of the Welles Wilder Directional Movement Index (DX
, ADX
).
A matrix containing the columns:
tr |
The true range of the series. |
atr |
The average (as specified by ma ) true range of the series. |
true.high |
The true high of the series. |
true.low |
The true low of the series. |
Josh Ulrich
The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/TR.htm
http://www.fmlabs.com/reference/ATR.htm
http://www.equis.com/Customer/Resources/TAAZ/?c=3&p=35
http://www.linnsoft.com/tour/techind/trueRange.htm
http://stockcharts.com/education/IndicatorAnalysis/indic_ATR.html
See EMA
, SMA
, etc. for moving average options; and note
Warning section. See DX
, which uses true range.
See chaikinVolatility
for another volatility measure.
data(ttrc) atr <- ATR(ttrc[,c("High","Low","Close")], ma = list("EMA", n=14, wilder=TRUE))