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Average true range : ウィキペディア英語版
Average true range
Average true range (ATR) is a technical analysis volatility indicator originally developed by J. Welles Wilder, Jr. for commodities. The indicator does not provide an indication of price trend, simply the degree of price volatility.〔(ATR Definition - investopedia.com )〕〔

The average true range is an N-day smoothed moving average (SMMA) of the true range values. Wilder recommended a 14-period smoothing.〔This is by his reckoning of SMMA periods, meaning an α=1/14.〕
== Calculation ==

The range of a day's trading is simply \mbox - \mbox. The true range extends it to yesterday's closing price if it was outside of today's range.
: \mbox = ">- \mbox), \mbox(\mbox - \mbox_\mbox), \mbox(\mbox-\mbox_\mbox) )}\,
The true range is the largest of the:
* Most recent period's high minus the most recent period's low
* Absolute value of the most recent period's high minus the previous close
* Absolute value of the most recent period's low minus the previous close
The ATR at the moment of time ''t'' is calculated using the following formula:〔(Average True Range calculation )〕 (This is one form of an exponential moving average)
:ATR_t = \over n}
The first ATR value is calculated using the arithmetic mean formula:
:ATR = \sum_^n TR_i
The idea of ranges is that they show the commitment or enthusiasm of traders. Large or increasing ranges suggest traders prepared to continue to bid up or sell down a stock through the course of the day. Decreasing range suggests waning interest.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
ウィキペディアで「Average true range」の詳細全文を読む



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