ATR

The ATR indicator from the public library (atr), written against the current DSL.

What it plots

Average True Range in its own pane: volatility in price units, with a choice of smoothing.

Key decisions

Full script

meta({
  shortName: "ATR",
  kind: "pane",
  dataSource: "candles",
  category: "custom",
});

dialog({
  title: "ATR Configuration",
  description: "Configure Average True Range (ATR) settings",
  width: 400,
  height: 350,
  resizable: false,
  showEnabledCheckbox: true,
  resetToDefaults: {
    enabled: true,
    confirmationMessage: "Are you sure you want to reset all ATR settings to their default values?",
  },
});

const period = input.number({
  id: "period",
  label: "Period",
  default: 14,
  min: 1,
  step: 1,
});

const smoothingType = input.select({
  id: "smoothingType",
  label: "Smoothing",
  default: "RMA",
  options: [
    { value: "RMA", label: "RMA (Wilder's)" },
    { value: "SMA", label: "SMA" },
    { value: "EMA", label: "EMA" },
    { value: "WMA", label: "WMA" },
  ],
});

const lineColor = input.color({
  id: "lineColor",
  label: "Line Color",
  default: "#2962FF",
  allowAlpha: true,
});

const lineStyle = input.lineStyle({
  id: "lineStyle",
  label: "Line Style",
  default: LineStyle.Solid,
});

const labelsEnabled = input.boolean({
  id: "labelsEnabled",
  label: "Show Labels",
  default: true,
});

warmup((w) => w.when(smoothingType)
  .is(["SMA", "WMA"]).then(w.window(period))
  .is("EMA").then(w.ema(period))
  .otherwise(w.wilder(period)));

layout(
  tab({ id: "general", title: "General" },
    section({ id: "parameters", title: "Parameters" }, period, smoothingType),
    section({ id: "display", title: "Display Options" }, labelsEnabled),
  ),
  tab({ id: "appearance", title: "Appearance" },
    section({ id: "line", title: "Line", columns: 2 }, lineColor, lineStyle),
  ),
);

output.line({
  id: "atr",
  lineWidth: 2,
  colorFrom: lineColor,
  lineStyleFrom: lineStyle,
  labelFrom: labelsEnabled,
  titleWhenLabeled: "ATR",
});

// onBar runs again for the forming bar on every tick. The chart rolls ctx.accum back between
// ticks; foldBar does not depend on that, so the same code is right on every runtime.
// foldBar keeps two states: `done` (as of the last closed bar) and `tip` (this bar). `step`
// builds the tip from `done` without mutating it, so a repeat of the same bar recomputes the tip
// instead of stacking on top of it. A new bar time commits the tip.
function foldBar(ctx, id, init, step) {
  const s = ctx.accum(id, () => ({ t: null, done: init, tip: init }), (s) => {
    if (s.t !== ctx.time) {
      s.done = s.tip;
      s.t = ctx.time;
    }
    s.tip = step(s.done);
    return s;
  });
  return s.tip;
}

function mean(values) {
  let sum = 0;
  for (const v of values) sum += v;
  return sum / values.length;
}

/** @param {ScriptedCtx} ctx */
export function onBar(ctx) {
  const p = ctx.params.period;
  const type = ctx.params.smoothingType;

  const st = foldBar(ctx, "atr", { close: null, trs: [], atr: null }, (prev) => {
    if (prev.close == null) return { close: ctx.close, trs: [], atr: null };

    // True range counts the gap from the previous close.
    const tr = Math.max(
      ctx.high - ctx.low,
      Math.abs(ctx.high - prev.close),
      Math.abs(ctx.low - prev.close),
    );
    const trs = prev.trs.concat(tr).slice(-p);
    if (trs.length < p) return { close: ctx.close, trs, atr: null };

    let atr;
    if (prev.atr == null || type === "SMA") {
      atr = mean(trs); // the first full window seeds every type
    } else if (type === "WMA") {
      let sum = 0;
      for (let i = 0; i < p; i++) sum += trs[i] * (i + 1);
      atr = sum / (p * (p + 1) / 2);
    } else if (type === "EMA") {
      atr = prev.atr + (2 / (p + 1)) * (tr - prev.atr);
    } else {
      atr = (prev.atr * (p - 1) + tr) / p; // RMA (Wilder)
    }
    return { close: ctx.close, trs, atr };
  });

  if (st.atr != null) ctx.plot("atr", st.atr);
}

Related

Warmup and memory for why Wilder smoothing declares 50x its period, and onBar for the forming-bar rule behind foldBar.