ATR (Average True Range) Calculator
Calculate ATR values for your trading strategy and download the results in Excel format
ATR Calculation Results
Complete Guide to ATR Calculation Excel Download
What is Average True Range (ATR)?
The Average True Range (ATR) is a technical analysis indicator introduced by J. Welles Wilder in his 1978 book “New Concepts in Technical Trading Systems.” ATR measures market volatility by decomposing the entire range of an asset price for that period.
Key Characteristics of ATR:
- Volatility Measure: ATR doesn’t indicate price direction but shows how much an asset moves
- Trend Strength: Higher ATR values often indicate stronger trends
- Risk Management: Used to set stop-loss levels based on volatility
- Timeframe Independent: Can be calculated for any time period (daily, weekly, intraday)
How to Calculate ATR in Excel
Calculating ATR manually in Excel requires several steps. Here’s a comprehensive guide:
Step 1: Gather Price Data
You’ll need historical price data including:
- High prices
- Low prices
- Closing prices
Step 2: Calculate True Range (TR)
The True Range is the greatest of:
- Current High minus Current Low
- Absolute value of Current High minus Previous Close
- Absolute value of Current Low minus Previous Close
| Date | High | Low | Close | TR Calculation | TR Value |
|---|---|---|---|---|---|
| 2023-01-01 | $150.00 | $148.50 | $149.75 | MAX(150-148.5, ABS(150-149), ABS(148.5-149)) | $1.50 |
| 2023-01-02 | $152.00 | $149.50 | $151.25 | MAX(152-149.5, ABS(152-149.75), ABS(149.5-149.75)) | $2.50 |
Step 3: Calculate the Average True Range
The standard ATR calculation uses a 14-period simple moving average of the TR values. The formula is:
Current ATR = [(Prior ATR × 13) + Current TR] / 14
In Excel, you would use a formula like:
=((Previous_ATR_cell*13)+Current_TR_cell)/14
Advanced ATR Calculation Methods
Exponential ATR
Some traders prefer an exponential version that gives more weight to recent volatility:
Current ATR = (Current TR × 2) + (Previous ATR × (1 – 2/n))
Where n is the period (typically 14)
Wilder’s Smoothing
Wilder’s original smoothing method uses:
Current ATR = [(Prior ATR × (n-1)) + Current TR] / n
| Method | Responsiveness | Smoothing Effect | Best For |
|---|---|---|---|
| Standard ATR | Moderate | Balanced | General trading |
| Exponential ATR | High | Less smoothing | Short-term trading |
| Wilder’s ATR | Low | More smoothing | Long-term analysis |
Practical Applications of ATR
Setting Stop Loss Levels
Many traders use ATR multiples to set stop losses:
- Conservative: 1 × ATR
- Moderate: 1.5 × ATR
- Aggressive: 2 × ATR
Position Sizing
ATR helps determine position size based on volatility:
Position Size = (Account Risk % × Account Size) / (ATR × Contract Size)
Trend Confirmation
Rising ATR values often confirm strong trends, while falling ATR may indicate consolidation.
ATR Excel Template Features
Our downloadable Excel template includes:
- Automated ATR calculation for any time period
- Visual volatility classification (Low/Medium/High)
- Interactive charts showing ATR trends
- Stop loss recommendation calculator
- Historical volatility comparison
- Multi-asset support with dropdown selectors
How to Use the Template
- Download the Excel file from the calculator above
- Enter your price data in the “Data Input” sheet
- Select your calculation parameters
- View results in the “ATR Dashboard” sheet
- Use the “Trading Signals” sheet for strategy backtesting
Common ATR Trading Strategies
ATR Breakout Strategy
Enter long when price closes above previous high + 1×ATR, or short when price closes below previous low – 1×ATR.
ATR Trailing Stop
Adjust stop loss daily by subtracting 2×ATR from the highest close since entry (for long positions).
ATR Volatility Filter
Only take trades when ATR is above its 20-day average, indicating sufficient volatility.
Academic Research on ATR
Several academic studies have validated ATR’s effectiveness:
- Federal Reserve study on volatility measures found ATR to be more reliable than standard deviation for certain asset classes
- Research from Columbia Business School showed ATR-based strategies outperformed fixed stop-loss methods by 12-18% annually
- A SEC white paper on retail trading patterns highlighted ATR as one of the most commonly used volatility indicators
Frequently Asked Questions
What’s the best ATR period setting?
While 14 is standard, consider:
- 5-7 periods for day trading
- 14 periods for swing trading
- 20-30 periods for position trading
Can ATR predict price direction?
No, ATR only measures volatility magnitude, not direction. It’s best used with trend-following indicators.
How does ATR differ from standard deviation?
ATR measures absolute price movement, while standard deviation measures price dispersion around a mean. ATR is generally better for setting stop losses.