TATR: A Moving Average of Absolute Price Changes

Summary

TATR is presented as a simplified average true range measure focused on tick data. For standard bars, true range is the largest of the high–low range and the absolute gaps between the current high or low and the previous close. For tick data, the document defines the range more simply as the absolute change between consecutive closes. The indicator then applies a selected moving-average method to those absolute price changes over a chosen period.

Its inputs are the lookback period, averaging method, and applied price. The description gives the construction but no instrument, timeframe, sample results, parameter guidance, or trading rules. It does not compare this tick-oriented calculation with conventional ATR or explain how to normalize values across prices or assets. It can serve as a volatility-style measure of recent price movement, but its interpretation and use require independent testing and context.

Key ideas

• For tick data, TATR uses the absolute difference between consecutive closing prices as its range input.
• The indicator averages those absolute changes over a configurable period.
• The averaging method and applied price are configurable inputs.
• Conventional true range uses the largest of the high–low range and the gaps to the previous close.

Tags

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