Average trading range

Discussion in 'Trading' started by Cesko, May 10, 2001.

  1. Cesko


    Does anybody know where to find ATR(average trading range) data? Thank you.
  2. TraderJoe


  3. WarEagle

    WarEagle Moderator


    Are you looking for historical ATR data or just a way to compile it? And by ATR, do you mean average TRUE range (average true range takes gaps into account as part of the range) or just the distance between high and low for each day?

    Either way, programs like Metastock and TradeStation can plot the data, and I would imagine any other program that can do Keltner Channels (which uses average true range) could do it too. As long as you have sufficient historical data you should be able to find values at any point in time with these programs. You could do it in any spreadsheet too if you have high, low and close data available.

    I do not know of a website that maintains a database for it though.

  4. Cesko


    I am looking for the way to compile it. (I meant the true av. trading range). How the Keltner Channels are calculated?
    Basically, I am looking for systemizing my approach to trading. All it matters to me is the time frame, support, resistance, trend(or lack of it) and changes in volatility.
    Thanks a lot.
  5. A good link for details on many technical indicators:

    Just search for ATR or look in the reference section.

    Here are the details re ATR:

    The True Range indicator is the greatest of the following:

    The distance from today's high to today's low.
    The distance from yesterday's close to today's high.
    The distance from yesterday's close to today's low.

    The Average True Range is a moving average (typically 14-days) of the True Ranges.

  6. WarEagle

    WarEagle Moderator


    Do you use any analysis software like Metastock or TradeStation? I am currently using Metastock and they have an average true range function that can plot it for you or you can use it in other formulas.

    Keltner Channels are plotted by taking a moving average (I use a 20 period exponential) as the middle band, and plotting an upper and lower band some multiple of the ATR away from the moving average. I like to use 2.5 for the multiplier, so I have an upper band 2.5 ATRs above the 20 period EMA and a lower band 2.5 ATRs below the 20 period EMA. They are very good at containing price, usually between the middle and upper bands during an uptrend and vice versa for a downtrend. They provide significant support and resistance, and a break of these channels is usually significant. They are a good measure of volatility and will widen or shrink with changes in the ATR. I trade the S&P futures, but it should work for stocks as well.

    I, too, have been looking for ways to automate as much of my trading as possible so that I can focus on getting a good entry or exit and not so much on finding setups. Metastock has helped with this quite a bit, but other software can do it as well.

    Hope that helps,

  7. Cesko


    I do not use any analytical software, I consider myself a tape reader. I got the idea of systemizing from reading an article in Futures mag on subject of volatility. And I do not seem to be capable to switch strategies based on the reading of the market only.
  8. WarEagle

    WarEagle Moderator

    OK...Yes, it would be hard to keep a running total of average true range in your head after each new tick, lol. I read that same article in Futures, it was very interesting. Most of the analysis packages offer trial periods if you really want to use a sytematic approach to help your tape reading. If you are successful as a tape reader, then it may not be worth the time required to learn to program your ideas, however over the long run it is a benefit to know how to use the software in case you want to test a new idea before putting real money on the line.

    Best of luck,