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. More...

Inheritance diagram for QuantConnect.Indicators.AverageTrueRange:

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Public Member Functions
	AverageTrueRange (string name, int period, MovingAverageType movingAverageType=MovingAverageType.Wilders)
	Creates a new AverageTrueRange indicator using the specified period and moving average type More...

	AverageTrueRange (int period, MovingAverageType movingAverageType=MovingAverageType.Wilders)
	Creates a new AverageTrueRange indicator using the specified period and moving average type More...

override void	Reset ()
	Resets this indicator to its initial state More...

Static Public Member Functions
static decimal	ComputeTrueRange (IBaseDataBar previous, IBaseDataBar current)
	Computes the TrueRange from the current and previous trade bars More...

Public Attributes
override bool	IsReady => _smoother.IsReady
	Gets a flag indicating when this indicator is ready and fully initialized More...

Protected Member Functions
override decimal	ComputeNextValue (IBaseDataBar input)
	Computes the next value of this indicator from the given state More...

Protected Member Functions inherited from QuantConnect.Indicators.BarIndicator
	BarIndicator (string name)
	Creates a new TradeBarIndicator with the specified name More...

Properties
IndicatorBase< IBaseDataBar >	TrueRange `[get]`
	Gets the true range which is the more volatile calculation to be smoothed by this indicator More...

int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

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)

Definition at line 31 of file AverageTrueRange.cs.

Constructor & Destructor Documentation

◆ AverageTrueRange() [1/2]

QuantConnect.Indicators.AverageTrueRange.AverageTrueRange	(	string	name,
		int	period,
		MovingAverageType	movingAverageType = `MovingAverageType.Wilders`
	)

Creates a new AverageTrueRange indicator using the specified period and moving average type

Parameters

name	The name of this indicator
period	The smoothing period used to smooth the true range values
movingAverageType	The type of smoothing used to smooth the true range values

Definition at line 61 of file AverageTrueRange.cs.

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◆ AverageTrueRange() [2/2]

QuantConnect.Indicators.AverageTrueRange.AverageTrueRange	(	int	period,
		MovingAverageType	movingAverageType = `MovingAverageType.Wilders`
	)

Creates a new AverageTrueRange indicator using the specified period and moving average type

Parameters

period	The smoothing period used to smooth the true range values
movingAverageType	The type of smoothing used to smooth the true range values

Definition at line 84 of file AverageTrueRange.cs.

Member Function Documentation

◆ ComputeTrueRange()

static decimal QuantConnect.Indicators.AverageTrueRange.ComputeTrueRange	(	IBaseDataBar	previous,
		IBaseDataBar	current
	)

static

Computes the TrueRange from the current and previous trade bars

TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)

Parameters

previous	The previous trade bar
current	The current trade bar

Returns: The true range

Definition at line 100 of file AverageTrueRange.cs.

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◆ ComputeNextValue()

override decimal QuantConnect.Indicators.AverageTrueRange.ComputeNextValue ( IBaseDataBar input )

protected

Computes the next value of this indicator from the given state

Parameters

input The input given to the indicator

Returns: A new value for this indicator

Definition at line 119 of file AverageTrueRange.cs.

◆ Reset()

override void QuantConnect.Indicators.AverageTrueRange.Reset ( )

Resets this indicator to its initial state

Definition at line 131 of file AverageTrueRange.cs.

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Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.AverageTrueRange.IsReady => _smoother.IsReady

Gets a flag indicating when this indicator is ready and fully initialized

Definition at line 48 of file AverageTrueRange.cs.

Property Documentation

◆ TrueRange

IndicatorBase<IBaseDataBar> QuantConnect.Indicators.AverageTrueRange.TrueRange

get

Gets the true range which is the more volatile calculation to be smoothed by this indicator

Definition at line 43 of file AverageTrueRange.cs.

◆ WarmUpPeriod

int QuantConnect.Indicators.AverageTrueRange.WarmUpPeriod

get

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 53 of file AverageTrueRange.cs.

The documentation for this class was generated from the following file:

Indicators/AverageTrueRange.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ AverageTrueRange() [1/2]

◆ AverageTrueRange() [2/2]

Member Function Documentation

◆ ComputeTrueRange()

◆ ComputeNextValue()

◆ Reset()

Member Data Documentation

◆ IsReady

Property Documentation

◆ TrueRange

◆ WarmUpPeriod