What is ATR?
The Average True Range (ATR) is the average size of a price bar over a period, usually 14, including any gap from the previous close.
How it works
Wilder defined the true range of a bar as the largest of three numbers: the high minus the low, the high minus the previous close (absolute), and the low minus the previous close (absolute). The ATR averages that over the lookback. It measures volatility in price terms, not direction, so traders use it to size stops and positions to current conditions.
What it can't tell you
ATR is backward-looking. It tells you how much the asset has been moving, not how much it will move next, and a calm period can end suddenly.
How Tickfloor uses it
Tickfloor sets the stop and target on a trade read as multiples of the 14-period ATR.
Does it work as a strategy?
This is a concept more than a trading rule, so there is no single strategy to score. It matters for reading the results below.
Tickfloor's research desk has backtested 517 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for the 598 tests run (Benjamini-Hochberg), 0 passed. That does not prove no strategy works. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Common questions
What is ATR?
The Average True Range (ATR) is the average size of a price bar over a period, usually 14, including any gap from the previous close.
How does ATR work?
Wilder defined the true range of a bar as the largest of three numbers: the high minus the low, the high minus the previous close (absolute), and the low minus the previous close (absolute). The ATR averages that over the lookback. It measures volatility in price terms, not direction, so traders use it to size stops and positions to current conditions.
What are the limits of ATR?
ATR is backward-looking. It tells you how much the asset has been moving, not how much it will move next, and a calm period can end suddenly.
How does Tickfloor use ATR?
Tickfloor sets the stop and target on a trade read as multiples of the 14-period ATR.