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NexPips SDK

ATR

ATR

At a glance — Average True Range (Wilder smoothing): a volatility measure. Returns a Series of positive values in the symbol’s price unit. Most often used to size stops that adapt to current volatility.

Signature

const atr: Series = api.use(ATR, { period: 14 });
FieldTypeDescription
periodnumber (≥ 1)Smoothing window. Standard is 14.

Warm-up: period + 1 bars.

Example

indicators/atr-stop
import { ATR, defineStrategy } from '@nexpips/sdk-trading';


/**
 * Dimensionner le stop avec la volatilité : un stop-loss exprimé en
 * multiples d'ATR (`{ type: 'atr' }`) s'élargit quand le marché est agité
 * et se resserre quand il est calme.
 */
export default defineStrategy({
  symbol: 'EURUSD',
  timeframe: 'H1',
  risk: { maxRiskPercentPerTrade: 1, maxOpenPositions: 1, maxDailyLossPercent: 5 },
  setup: (api) => {
    const atr = api.use(ATR, { period: 14 });


    return {
      onBar(ctx) {
        if (!ctx.position.isFlat || ctx.position.hasPendingOrder) return;


        // N'entrer que si la volatilité courante est mesurable.
        if (atr.at(0) <= 0) return;


        ctx.order.marketBuy({
          riskPercent: 1,
          stopLoss: { type: 'atr', period: 14, multiple: 2 },
          takeProfit: { type: 'rr', value: 2 },
        });
      },
    };
  },
});

Size the stop-loss at 2×ATR.

See also