ATR (Average True Range)

ATR measures market volatility by averaging the true range over a period. True Range accounts for gaps between bars, making it more accurate than simple high-low range.

Declaration

function init(ctx) {
  ctx.indicator('atr', 'ATR', { period: 14 });
}

Options

Output

Returns a single number[] series (always positive, in price units).

Accessing Values

function onBar(ctx, i) {
  const atrValue = ctx.ind.atr[i];
}

Use Cases

ATR-Based Stop Loss

function onBar(ctx, i) {
  const atr = ctx.ind.atr[i];
  const close = ctx.series.close[i];
  
  // Place stop 2 ATR below entry
  const stopLoss = close - (2 * atr);
  
  if (q.crossOver(ctx.ind.fast, ctx.ind.slow, i)) {
    ctx.order.market('ASSET', 1, { 
      signal: 'buy', 
      reason: 'entry',
      stopLoss: stopLoss 
    });
  }
}

Position Sizing by Volatility

function onBar(ctx, i) {
  const atr = ctx.ind.atr[i];
  const close = ctx.series.close[i];
  
  // Risk 1% of capital per ATR
  const riskPerUnit = 2 * atr;
  const capitalRisk = 1000 * 0.01; // 1% of $1000
  const positionSize = capitalRisk / riskPerUnit;
}

Volatility Filter

function onBar(ctx, i) {
  const atr = ctx.ind.atr[i];
  const close = ctx.series.close[i];
  const atrPercent = (atr / close) * 100;
  
  // Only trade when volatility is moderate
  if (atrPercent > 1 && atrPercent < 5) {
    // Good trading conditions
  }
}

Calculation

True Range = max(High - Low, |High - prevClose|, |Low - prevClose|)

$ATR = EMA(TrueRange, period)$

Related

• Bollinger Bands - Volatility-based bands
• Keltner Channels - Uses ATR for band width
• Donchian - Price range channel