Supported Indicators

Average True Range

Introduction

The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period. TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)

To view the implementation of this indicator, see the LEAN GitHub repository.

Using ATR Indicator

To create an automatic indicator for AverageTrueRange, call the ATRatr helper method from the QCAlgorithm class. The ATRatr method creates a AverageTrueRange object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.

public class AverageTrueRangeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AverageTrueRange _atr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _atr = ATR(_symbol, 20, MovingAverageType.Simple);
    }

    public override void OnData(Slice data)
    {

        if (_atr.IsReady)
        {
            // The current value of _atr is represented by itself (_atr)
            // or _atr.Current.Value
            Plot("AverageTrueRange", "atr", _atr);
            // Plot all properties of abands
            Plot("AverageTrueRange", "truerange", _atr.TrueRange);
        }
    }
}
class AverageTrueRangeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._atr = self.atr(self._symbol, 20, MovingAverageType.SIMPLE)

    def on_data(self, slice: Slice) -> None:

        if self._atr.is_ready:
            # The current value of self._atr is represented by self._atr.current.value
            self.plot("AverageTrueRange", "atr", self._atr.current.value)
            # Plot all attributes of self._atr
            self.plot("AverageTrueRange", "true_range", self._atr.true_range.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

You can manually create a AverageTrueRange indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method. The indicator will only be ready after you prime it with enough data.

public class AverageTrueRangeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AverageTrueRange _averagetruerange;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _averagetruerange = new AverageTrueRange(20, MovingAverageType.Simple);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _averagetruerange.Update(bar);

        if (_averagetruerange.IsReady)
        {
            // The current value of _averagetruerange is represented by itself (_averagetruerange)
            // or _averagetruerange.Current.Value
            Plot("AverageTrueRange", "averagetruerange", _averagetruerange);
            // Plot all properties of abands
            Plot("AverageTrueRange", "truerange", _averagetruerange.TrueRange);
        }
    }
}
class AverageTrueRangeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._averagetruerange = AverageTrueRange(20, MovingAverageType.SIMPLE)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._averagetruerange.update(bar)

        if self._averagetruerange.is_ready:
            # The current value of self._averagetruerange is represented by self._averagetruerange.current.value
            self.plot("AverageTrueRange", "averagetruerange", self._averagetruerange.current.value)
            # Plot all attributes of self._averagetruerange
            self.plot("AverageTrueRange", "true_range", self._averagetruerange.true_range.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the AverageTrueRange indicator properties:

AverageTrueRange line plot.

Indicator History

To get the historical data of the AverageTrueRange indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

public class AverageTrueRangeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AverageTrueRange _atr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _atr = ATR(_symbol, 20, MovingAverageType.Simple);

        var indicatorHistory = IndicatorHistory(_atr, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_atr, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_atr, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);

        // Access all attributes of indicatorHistory
        var trueRange = indicatorHistory.Select(x => ((dynamic)x).TrueRange).ToList();
    }
}
class AverageTrueRangeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._atr = self.atr(self._symbol, 20, MovingAverageType.SIMPLE)

        indicator_history = self.indicator_history(self._atr, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._atr, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._atr, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
    
        # Access all attributes of indicator_history
        indicator_history_df = indicator_history.data_frame
        true_range = indicator_history_df["truerange"]

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