Replacing the ATR Simple Average with JMA Smoothing

Summary

Average True Range is described as a measure built by averaging True Range values, conventionally with a simple moving average. The document points out that this choice also carries the usual characteristics of a simple average into the ATR calculation.

The proposed variant substitutes JMA smoothing for that averaging step. The author characterizes the resulting ATR as smoother while responding faster to abrupt market changes. This is a brief description of an indicator modification rather than a full implementation or trading method. It gives no formula details, parameter guidance, comparative data, or backtest to substantiate the claimed responsiveness, so traders would need to evaluate the behavior and suitability of the smoothed measure on their own data.

Key ideas

• Conventional ATR averages True Range values using a simple moving average.
• The proposed modification uses JMA smoothing in place of the simple average.
• The author says the modified ATR is smoother and reacts more quickly to rapid market changes.
• No implementation details, empirical comparison, or strategy performance evidence is provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.