R: True Range / Average True Range

ATR {TTR} | R Documentation

## True Range / Average True Range

### Description

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.

### Usage

    ATR(HLC, n = 14, maType, ...)

### Arguments

`HLC` | Object that is coercible to xts or matrix and contains High-Low-Close prices.
`n` | Number of periods for moving average.
`maType` | A function or a string naming the function to be called.
`...` | Other arguments to be passed to the `maType` function.

### Details

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`).

### Value

A object of the same class as `HLC` or a matrix (if `try.xts` fails) containing the columns:

tr

  The true range of the series.

atr

  The average (as specified by `ma`) true range of the series.

trueHigh

  The true high of the series.

trueLow

  The true low of the series.

### Author(s)

Joshua Ulrich

### References

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 Also

See `EMA`, `SMA`, etc. for moving average options; and note Warning section. See `DX`, which uses true range. See `chaikinVolatility` for another volatility measure.

### Examples

    data(ttrc)
    atr <- ATR(ttrc[,c("High","Low","Close")], n=14)

[Package TTR version 0.23-1 Index]