Normalized Average True Range

Function Prototype

/* Normalized Average True Range */
/* Type: indicator */
/* Input arrays: 3    Options: 1    Output arrays: 1 */
/* Inputs: high, low, close */
/* Options: period */
/* Outputs: natr */
int ti_natr_start(TI_REAL const *options);
int ti_natr(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

Normalized Average True Range is a measure of volatility.

Because Normalized Average True Range is normalized, it can be more useful than Average True Range when comparing across different price levels.

Normalized average true range is calculated by normalizing Average True Range with the following formula:

See Also

• Average True Range
• True Range
• Wilders Smoothing

References

• Stocks & Commodities V. 24:5 (60-63): Cross-Market Evaluations With Normalized Average True Range by John Forman

Example Usage

Calling From C

/* Example usage of Normalized Average True Range */
/* Assuming that 'high', 'low', and 'close' are pre-loaded arrays of size 'in_size'. */
TI_REAL *inputs[] = {high, low, close};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* natr */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_natr_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* natr */

/* Run the actual calculation. */
const int ret = ti_natr(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Normalized Average True Range
natr = ti.natr(high, low, close, 5)

Example Calculation

period = 5

Chart

 

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