Smoothing Average True Range for a Cleaner Volatility Series

Summary

This document introduces ATRSmoothed, an Average True Range indicator that applies an additional averaging method to the resulting ATR curve. The added smoothing is intended to make the volatility series less jagged while retaining its basis in true range, a measure that accounts for gaps as well as intraperiod price movement.

The description identifies the indicator’s author and notes that its implementation depends on reusable averaging classes. It points readers to a separate article for details on those classes, but gives no formula, parameter guidance, chart interpretation, or comparison with ordinary ATR. It also presents no tests or performance evidence. Traders can take away the indicator’s basic design, but would need the referenced material or implementation to assess how smoothing choices affect lag and responsiveness.

Key ideas

• The indicator calculates Average True Range and then smooths the resulting curve.
• Its implementation relies on reusable averaging classes.
• The document does not specify the smoothing method, parameters, or effect on signal lag.

Tags

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