Average True Range (ATR)

The Average True Range (ATR) is a technical analysis indicator, developed by J. Welles Wilder Jr., used to measure market volatility. It quantifies the degree of price movement by taking the average of the ‘true range’ over a specified number of periods. A higher ATR value indicates higher market volatility, while a lower ATR signifies a period of lower volatility or consolidation. Importantly, ATR does not provide an indication of price direction, only the magnitude of its movement.

ATR

=ATR(data, period)

Example Usage

=ATR(A2:F500, 14)

Parameters

Parameter Type Description Status
data
Range
Range of columns containing the date, Open, high, Low, close, volume data.
 Required
period
Number
Number of (periods) days over which to calculate the ATR.
 Required

Returns

A two-column array of dates and their corresponding ATR values.

ATR Formula Result in Google Sheets

Source Code

Copy the following code into your Apps Script editor (Extensions > Apps Script) to use the ATR function in your spreadsheet.

atr.js 
/**
 * Calculates the Average True Range (ATR) for a given data set and period.
 *
 * @param {array} data - An array of historical stock data. Expected to have at least 5 columns (Date, Open, High, Low, Close) for TR calculation.
 * @param {number} period - The number of days over which the ATR is calculated.
 * @returns {array} - A 2D array with headers: Date and ATR.
 * @customfunction
 */
function ATR(data, period) {
  // Argument validation
  if (arguments.length !== 2) {
    throw new Error(`Wrong number of arguments. Expected 2, but got ${arguments.length}.`);
  }
  if (typeof period !== 'number' || period <= 0 || !Number.isInteger(period)) {
    throw new Error(`Invalid period. The period must be a positive integer. Got: ${period}`);
  }

  // Get True Range values using the TR function
  const trueRanges = TR(data); // TR handles its own data validation
  
  // Calculate the ATR using the SMA function
  // SMA handles its own data validation (on trueRanges) and period validation
  const atrValues = SMA(trueRanges, period);

  // Update the ATR header for clarity
  atrValues[0][1] = `ATR(${period})`;

  return atrValues;
}