ATR — Average True Range

Wilder’s Average True Range over (high, low, close) — the canonical volatility measure. Single value.

Signature

ATR(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Wilder smoothing period. Default 14, bounds 2–200.
on=	symbol	No	Source. Defaults to the trade symbol. (ATR needs HLC — pass the symbol, not a single field.)

Formula

For each bar:

$$ \text{TR}_t = \max(\text{high}_t - \text{low}_t,\ |\text{high}t - \text{close}{t-1}|,\ |\text{low}t - \text{close}{t-1}|) $$

(the very first bar has no previous close, so its TR is simply high − low). The first full window seeds the average, then Wilder smoothing takes over:

$$ \text{ATR}_{\text{seed}} = \frac{1}{N} \sum \text{TR}, \qquad \text{ATR}t = \frac{\text{ATR}{t-1} \cdot (N-1) + \text{TR}_t}{N} $$

Warmup

period bars. Before the window fills, the value is the simple average of the TRs observed so far.

Reading the value

atr = ATR(14, on=self.trade)

atr.value
atr.value / self.trade.close * 100   # ATR as a % of price — comparable across instruments

Example

class QuietMarketTrend(Strategy):
    """Enter trend trades only when volatility is subdued."""
    period = Param(14, min=5, max=50)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        atr = ATR(self.period, on=self.trade)
        sma = SMA(20, on=self.trade)
        self.stop_loss(2.0)

        atr_pct = atr.value / self.trade.close * 100

        if atr_pct < 1.5 and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason=f"Quiet uptrend (ATR {atr_pct:.2f}%)")

        if self.trade.close < sma.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Closed below SMA")

Notes

• ATR is unbounded and price-scaled — normalize by price before comparing instruments or setting fixed thresholds.
• Exit rules take percentage thresholds, not prices — to approximate an ATR-scaled stop, convert: self.stop_loss(atr.value / self.trade.close * 100 * 2) registers a 2-ATR stop as a percentage.
• ATR measures range, not direction — a rising ATR says “moves are getting bigger,” nothing about which way.