Technical Indicators: Average True Range

Excel Technical Analysis Indicators: Average True Range (ATR)

The Average True Range (ATR) indicator is a volatility indicator that gives you a sense of how much the price could be expected to move.

This indicator can help with deciding when to enter a trade and also where to place a stop-loss order. It moves up and down as price moves become larger or smaller, and if you combine it with an Excel chart you can see how volatility changes over time.

The Excel formula for calculating the Average True Range is:

=EPF.TA.ATR(closePrices, highPrices, lowPrices, datesTimes, lookbackPeriods)

The input parameters required are:

Parameter	Description
Close Prices	An Excel range of the close prices.
High Prices	An Excel range of the high prices.
Low Prices	An Excel range of the low prices.
Lookback Periods	The number of periods in the lookback window.

The range of prices and dates must correspond and be of the same length, for example the first date in the date range must correspond to the first price in the price range.

The output columns are:

Output Column	Description
ATR	The average true range.
Date	The date that the average true range corresponds to.