ATR Calculator

Average True Range is a direction neutral volatility measure developed by J. Welles Wilder. Unlike a simple high to low range, true range also considers gaps between the previous close and the current session. For each row after the first, this calculator takes the greatest of the current high minus current low, the absolute difference between current high and previous close, and the absolute difference between current low and previous close. A large overnight move is therefore represented even when the session itself trades inside a narrow range.

The first ATR is the arithmetic mean of the first true ranges in the selected lookback. Every later value uses Wilder smoothing: the previous ATR receives period minus one parts, the newest true range receives one part, and the total is divided by the period. The standard fourteen period setting therefore requires fifteen rows because the first row supplies only the previous close needed for the first true range. The recursive method produces a stable series that adjusts gradually when volatility changes.

ATR is expressed in the same price units as the instrument. Dividing the latest ATR by the latest close and multiplying by one hundred creates ATR percent, which makes volatility easier to compare across prices. A two dollar ATR is substantial for a ten dollar asset but small for a five hundred dollar asset. ATR percent remains historical and can change sharply after news, gaps, illiquid trading, or a regime shift, so it should not be treated as a fixed forecast.

The position sizing section converts the chosen portfolio risk percentage into a currency risk amount, then divides that amount by one ATR and rounds down to whole shares. Stop distance displays ATR multiplied by the resulting share count. This is an educational one ATR risk model, not a complete trading plan. If your actual stop is two ATR units away, divide risk by two ATR instead. Fees, slippage, lot sizes, leverage, currency conversion, and gaps beyond a stop can materially change realized loss.

Suppose yesterday closed at 100 and today traded as high as 105, as low as 102, and closed at 104. The intraday range is 3, the high to previous close gap is 5, and the low to previous close gap is 2. True range is the greatest value, which is 5. A simple range would miss part of the overnight gap, while true range captures the full movement relevant to volatility.

Assume a fourteen period ATR equals 2.50, the latest close is 50, a portfolio is worth 25,000, and risk is one percent. ATR percent is 5 percent. The currency risk amount is 250. Dividing 250 by 2.50 gives 100 whole shares, and one ATR of stop distance across that position equals 250. If the planned stop is 1.5 ATR from entry, the appropriate quantity under the same simplified model would be smaller.

ATR can help compare current movement with an instrument's own history, adapt stop research to changing volatility, or normalize a position sizing process. Trend followers may use a multiple of ATR as a trailing reference. Swing traders may avoid placing stops inside routine price noise. Portfolio managers can use ATR percent to compare the recent movement of instruments with very different nominal prices, while recognizing that price range is not the same as statistical return volatility.

Use a data interval aligned with the intended holding horizon. Daily ATR can inform a multi day trade, while hourly ATR describes a much shorter market rhythm. Keep session boundaries consistent, especially for assets that trade nearly continuously. ATR does not indicate direction or expected return, so pair it with a separate entry rationale. Review liquidity, gap risk, event calendars, concentration, and maximum portfolio loss before relying on a calculated quantity.

A frequent error is calculating only high minus low and ignoring the previous close, which understates volatility after gaps. Another is entering rows newest first. True range is chronological, so reversed data pairs each session with the wrong prior close. Check that each high is at least the low, that values use the same currency and adjustment convention, and that split adjusted and raw data are not mixed in one series.

Do not interpret ATR as a price target or a prediction that the next move will equal one ATR. It is a smoothed historical range. Using one ATR as a universal stop also ignores strategy structure and gap risk. The displayed share count assumes the entire chosen risk amount can be lost across exactly one ATR and that shares are whole units. Real orders face fees, spreads, slippage, partial fills, taxes, leverage rules, and losses beyond stop prices.

ATR looks backward and can lag sudden regime changes. Data must be chronological and internally consistent, with valid highs, lows, and closes. The model assumes a one ATR stop, whole shares, immediate execution, no financing constraint, and no costs or gaps. It does not model correlations or total portfolio exposure. Local persistence is subject to browser behavior. Historical range cannot guarantee future containment, and a stop order may execute far from its trigger. Use this output for education, not personalized advice.

ATR describes absolute price range and gaps. Standard deviation describes dispersion of returns around their mean, while beta estimates sensitivity to market returns. These measures answer different questions. ATR is intuitive for chart based stop distances, but portfolio construction usually also requires correlations, return volatility, liquidity, and scenario analysis.

The RSI Calculator adds directional momentum context but does not measure volatility. A position size calculator can incorporate an explicitly chosen entry and stop price rather than assuming one ATR. A maximum drawdown calculator examines realized peak to trough loss. Combining tools can improve structure, yet no collection of historical metrics removes uncertainty or execution risk.