TR — True Range

The one-bar volatility unit behind ATR: the bar’s range, widened to include any gap from the previous close. Read it directly when you want raw per-bar volatility rather than its average.

Signature

TR(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Buffer depth used to reach the previous close. 2 is the natural value; larger values only delay warm-up. Bounds 2–100.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low and close.

Formula

$$ \text{TR}t = \max\big(H_t - L_t,\ |H_t - C{t-1}|,\ |L_t - C_{t-1}|\big) $$

The bar’s high-to-low range, or the distance from the previous close to today’s high or low if a gap made that larger.

Warmup

period bars. 0 until the buffer holds a previous close.

Reading the value

tr.value
tr.value_at(1)
tr > 25

Example

class RangeExpansion(Strategy):
    """Enter on a bar whose true range is well above its recent average."""
    period = Param(2, min=2, max=100)
    avg = Param(14, min=2, max=200)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        tr = TR(self.period, on=self.trade)
        tr_avg = SMA(self.avg, on=tr)
        self.stop_loss(2.0)

        if tr.value > 1.5 * tr_avg.value and self.trade.close > self.trade.open and self.trade.is_flat:
            self.buy(self.trade, reason=f"Range expansion {tr.value:.2f} vs {tr_avg.value:.2f}")

Notes

• Wilder, New Concepts in Technical Trading Systems (1978). ATR is the Wilder-smoothed average of this series; ATR exists in the platform set already.
• The first bar after warm-up uses the oldest close in the buffer as “previous”; with period=2 that is exactly the prior bar.