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ATR Calculator
Calculate Average True Range from completed high-low-close bars, then translate it into ATR%, a volatility stop and an optional position size.
Bars and stop settings
ATR result
| Bar | TR |
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ATR measures average true range in price units. True range is max(H-L, |H-prevC|, |L-prevC|). Wilder ATR starts with the first N true ranges averaged as the seed, then uses (prior*(N-1)+TR)/N. Technical indicators are references, not trading signals.
How it works
What ATR measures
Average True Range measures recent volatility from completed high, low and close bars. It is not directional: a rising ATR means wider movement, not automatically bullish or bearish price action.
True range formula
For each bar, true range is:
TR = max(H - L, |H - previous close|, |L - previous close|)
The first bar has no previous close, so TR_1 = H - L. The gap-aware terms are why ATR can capture overnight jumps that a simple high-low range misses.
Wilder, SMA and EMA smoothing
The default Wilder method is seeded with the simple average of the first N true ranges:
ATR_N = (TR_1 + ... + TR_N) / N
From the next bar forward it recurses as ATR_t = (ATR_{t-1} * (N - 1) + TR_t) / N. This seed matters: if the first ATR is wrong, the Wilder series stays biased. SMA uses the latest N true ranges only. EMA uses alpha = 2 / (N + 1). A 14-period Wilder ATR is not the same as a 14-period EMA ATR.
ATR percent
ATR is in absolute price units, so it is hard to compare across instruments. ATR percent normalizes it against the latest close:
ATR% = ATR / last close * 100
Volatility stop and position size
With an entry and multiplier k, the fixed ATR stop distance is k * ATR. For a long, stop = entry - k * ATR. For a short, stop = entry + k * ATR. If you enter account risk and point value, position size is floored from account risk / (k * ATR * point value).
Worked example
Using period 3 on the sample bars, true ranges are about 0.91, 0.58, 0.51, 0.50, 0.58. The Wilder seed at bar 3 is 0.666667, bar 4 is 0.611111, and the final ATR is 0.600741. With last close 48.74, ATR% is 1.2325%. With entry 48.74 and multiplier 2, the long stop is 47.5385.
Important limitations
ATR is a technical indicator and a volatility reference, not a buy or sell signal. It does not include spread, slippage, news gaps or whether a setup has positive expectancy.
Frequently asked questions
Why does Wilder ATR need a seed?
Is Wilder ATR the same as EMA ATR?
1/N, while the common EMA uses 2/(N+1). A 14-period Wilder ATR is closer to a much longer EMA than a 14-period EMA.Why do I need at least period plus one bars?
What does ATR percent mean?
ATR / last close * 100. It helps compare volatility across instruments whose prices have different scales.