Definitions
In plain terms
After seeding, each new True Range nudges the prior ATR rather than replacing a full rolling window.
Technical
The recurrence is ATR_t equals ATR_{t-1} plus (TR_t minus ATR_{t-1}) divided by n, with consistent missing and revision policies.
Scope
It is not the same path as an n-row simple moving average or a standard EMA using alpha two over n plus one.
Formula
ATR = previous ATR + (current True Range - previous ATR) / nATR_t=ATR_{t-1}+\frac{TR_t-ATR_{t-1}}{n}| Symbol | Meaning | Unit |
|---|---|---|
ATR_t | current Average True Range | price units |
TR_t | current True Range | price units |
n | ATR period | bars |
Output unit: price units
Examples
- A reviewer traces ATR Recursive Update from aligned inputs through its first-ready row and edge cases before accepting a displayed value.
Common misconceptions
- It is not the same path as an n-row simple moving average or a standard EMA using alpha two over n plus one.
Concept relationships
Where this concept is used
Evidence and governance
- Average True Range TA-Lib · first party technical publication
Supports: preferred label, short definition, technical definition, formula
Limits: Seed, smoothing convention, lookback, and missing-bar handling must be declared for reproducible use.
- TA-Lib Average True Range Reference Implementation TA-Lib · first party technical publication
Supports: preferred label, short definition, technical definition, formula
Limits: TA-Lib readiness follows its own unavailable-first-TR convention and therefore differs from the local alignment.
- Reviewed by
- fintech-builder-batch-009
- Last reviewed
- 2026-07-30
- Next review
- 2027-07-30
- Record status
- published