How to calculate the ATR like in Pine Script

External question — Stack Overflow Stack Exchange Author: cristianc Original post: https://stackoverflow.com/questions/55458951 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I need to calculate the ATR the same way as in Pine Script, the trading view code. I'm talking about the Average True Range indicator in technical analysis for stocks or FX. In the documentation in Pine Script says is calculated like this: plot(rma(close, 15)) // same on pine, but much less efficient pine_rma(x, y) => alpha = y sum = 0.0 sum := (x + (alpha - 1) * nz(sum[1])) / alpha plot(pine_rma(close, 15)) RETURNS Exponential moving average of x with alpha = 1 / y. I have tried the same way as in the documentation in MQL5, and the results of the strategy are not similar at all, something is wrong with the ATR. Calculate the True Range is straightforward, I know the problem is in how is calculated this RMA (rolling moving average?). It says is calculated as in the original RSI indicator. Can someone explain better please how is calculated the ATR in Pine Script, hopefully with a example. At the moment I used the EMA with alpha= 1 / ATR_Period , as in the documentation, but seems is not the same. Bellow is the code for the new ATR, basically is the same as the default in MT5, I only changed the last part, where is calculated. Thank you for the help! //--- the main loop of calculations for(i=limit;i<rates_total && !IsStopped();i++) { ExtTRBuffer[i]=MathMax(high[i],close[i-1])-MathMin(low[i],close[i-1]); ExtATRBuffer[i]=(ExtTRBuffer[i] - ExtATRBuffer[i-1]) * (1 / ATR_Period) +ExtATRBuffer[i-1] ; // Here I calculated the EMA of the True Range } //--- return value of prev_calculated for next call return(rates_total); } //+------------------------------------------------------------------+

External answer — Stack Overflow Stack Exchange Author: Michel_T. Original post: https://stackoverflow.com/a/55478700 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. That's ATR implementation in Pine Script //@version=3 study(title="Average True Range", shorttitle="ATR", overlay=false) pine_rma(x, y) => alpha = y sum = 0.0 sum := (x + (alpha - 1) * nz(sum[1])) / alpha true_range() => max(high - low, max(abs(high - close[1]), abs(low - close[1]))) plot(pine_rma(true_range(), 14), color=red) //plot(atr(14))

External answer — Stack Overflow Stack Exchange Author: OlivierLarue Original post: https://stackoverflow.com/a/61662189 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Pine version 5 and 6: //@version=6 myAtr = ta.atr(14) Pine version 4: //@version=4 myAtr = atr(14) https://www.tradingview.com/pine-script-reference/v6/#fun_ta.atr

External answer — Stack Overflow Stack Exchange Author: jechaviz Original post: https://stackoverflow.com/a/67464861 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Quoting Michael, I just was realized that implementation means in practice (tr1+tr2+...tr_n)/n where n means periods back. So it means that atr(periods) means the average of tr in each bar along n periods. Michal do that in pinescript because all in pinescripte is a serie and needs recursion hack back the past sum. Take a look of the refactored same code, so you will realize about what I'm saying: /@version=3 study(title="Average True Range", shorttitle="ATR", overlay=false) averageTrueRange(tr, periods) => sum = 0.0 sum := (tr + (periods - 1) * nz(sum[1])) / periods currentTrueRange() => max(high - low, max(abs(high - close[1]), abs(low - close[1]))) plot(averageTrueRange(currentTrueRange(), 15))