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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.

Signature 

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public abstract interface AverageTrueRange

Namespace

cAlgo.API.Indicators

Examples

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 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
     }
    }

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 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);
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class Test():
     def on_start(self):
         # Periods and MAType are parameters defined in C# file of cBot
         self.averageTrueRange = api.Indicators.AverageTrueRange(api.Periods, api.MAType)
     def on_tick(self):
         # ATRValue is parameters defined in C# file of cBot
         # if the 14 day Average True Range is higher than 0.002
         if self.averageTrueRange.Result.LastValue >= api.ATRValue:
             # Do Something

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class AverageTrueRangeSample():
     def on_start(self):
         self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
         self.averageTrueRange = api.Indicators.AverageTrueRange(api.Periods, api.MaType)
     def on_bar_closed(self):
         if api.Bars.ClosePrices.Last(0) > api.Bars.OpenPrices.Last(0) and api.Bars.ClosePrices.Last(1) < api.Bars.OpenPrices.Last(1):
             self.close_positions(TradeType.Sell)
             self.execute_order(TradeType.Buy)
         elif api.Bars.ClosePrices.Last(0) < api.Bars.OpenPrices.Last(0) and api.Bars.ClosePrices.Last(1) > api.Bars.OpenPrices.Last(1):
             self.close_positions(TradeType.Buy)
             self.execute_order(TradeType.Sell)
     def get_bot_positions(self):
         return api.Positions.FindAll(api.Label)
     def close_positions(self, tradeType):
         for position in self.get_bot_positions():
             if position.TradeType != tradeType:
                 continue
             api.ClosePosition(position)
     def execute_order(self, tradeType):
         atrInPips = self.averageTrueRange.Result.Last(0) * (api.Symbol.TickSize / api.Symbol.PipSize * pow(10, api.Symbol.Digits));
         stopLossInPips = atrInPips * 2;
         takeProfitInPips = stopLossInPips * 2;
         api.ExecuteMarketOrder(tradeType, api.SymbolName, self.volumeInUnits, api.Label, stopLossInPips, takeProfitInPips);

Properties

Result

Summary

The resulting data series of Average True Range Indicator instance

Signature 

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public abstract IndicatorDataSeries Result {get; set;}

Return Value

IndicatorDataSeries

Examples

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 public override void Calculate(int index)
 {
     // Plot the Average True Range of period 14
     Result[index] = averageTrueRange.Result[index];
 }

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 def calculate(self, index):
     api.Result[index] = self.averageTrueRange.Result[index]