AverageTrueRange

Summary

Average true range. An indicator providing the degree of price volatility.

Remarks

Average true range is a volatility indicator originally developed by J. Welles Wilder. The indicator provides the degree of price volatility. The average true range is an N-day (exponential) moving average of the true range values. Wilder recommended a 14-period smoothing.

Syntax

public interface AverageTrueRange

Members

Name	Type	Summary
Result	Property	The resulting data series of Average True Range Indicator instance

Example 1

private AverageTrueRange averageTrueRange;
[Parameter(DefaultValue = 14)]
public int Periods { get; set; }
[Parameter(DefaultValue = 0.002)]
public double ATRValue { get; set; }
[Parameter("MA Type", DefaultValue = MovingAverageType.Exponential)]
public MovingAverageType MAType { get; set; }
protected override void OnStart()
{
    averageTrueRange = Indicators.AverageTrueRange(Periods, MAType);
}
protected override void OnTick()
{
    // if the 14 day Average True Range is higher than 0.002
    if(averageTrueRange.Result.LastValue >= ATRValue)
    {
        // Do Something
    }
}

Example 2

using cAlgo.API;
using cAlgo.API.Indicators;
using System;
namespace cAlgo.Robots
{
    // This sample cBot shows how to use an Average True Range indicator
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class AverageTrueRangeSample : Robot
    {
        private double _volumeInUnits;
        private AverageTrueRange _averageTrueRange;
        [Parameter("Volume (Lots)", DefaultValue = 0.01)]
        public double VolumeInLots { get; set; }
        [Parameter("Label", DefaultValue = "Sample")]
        public string Label { get; set; }
        public Position[] BotPositions
        {
            get
            {
                return Positions.FindAll(Label);
            }
        }
        protected override void OnStart()
        {
            _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots);
            _averageTrueRange = Indicators.AverageTrueRange(14, MovingAverageType.Exponential);
        }
        protected override void OnBar()
        {
            if (Bars.ClosePrices.Last(1) > Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) < Bars.OpenPrices.Last(2))
            {
                ClosePositions(TradeType.Sell);
                ExecuteOrder(TradeType.Buy);
            }
            else if (Bars.ClosePrices.Last(1) < Bars.OpenPrices.Last(1) && Bars.ClosePrices.Last(2) > Bars.OpenPrices.Last(2))
            {
                ClosePositions(TradeType.Buy);
                ExecuteOrder(TradeType.Sell);
            }
        }
        private void ClosePositions(TradeType tradeType)
        {
            foreach (var position in BotPositions)
            {
                if (position.TradeType != tradeType) continue;
                ClosePosition(position);
            }
        }
        private void ExecuteOrder(TradeType tradeType)
        {
            var atrInPips = _averageTrueRange.Result.Last(1) * (Symbol.TickSize / Symbol.PipSize * Math.Pow(10, Symbol.Digits));
            var stopLossInPips = atrInPips * 2;
            var takeProfitInPips = stopLossInPips * 2;
            ExecuteMarketOrder(tradeType, SymbolName, _volumeInUnits, Label, stopLossInPips, takeProfitInPips);
        }
    }
}

Reference