Exponential Normalized Average True Range (ENATR)

Video Demonstration

Description

The Exponential Normalized Average True Range (ENATR) is a volatility indicator similar to the Normalized Average True Range (NATR). However, ENATR calculates the Average True Range (ATR) based on the Exponential Moving Average (EMA) instead of the Simple Moving Average (SMA) used by NATR. The key advantage of ENATR is its quicker responsiveness compared to NATR.

How It Works

By normalizing ATR, you can compare volatility across different stocks or securities, regardless of their price levels. It provides a clearer picture of volatility by removing the bias introduced by absolute price values. It helps in identifying stocks with the desired volatility for your trading strategy.

Formula

    //1. Calculate True Range Percent
    double highLowVolatility = ((High() - Low()) / Low()) * 100.0;
    double highCloseVolatility = ((High() - Close(-1)) / Close(-1)) * 100.0;
    double lowCloseVolatility = ((Low() - Close(-1)) / Close(-1)) * 100.0;
    //Return the largest value
    return Math.Max(Math.Max(highLowVolatility, highCloseVolatility), lowCloseVolatility);
    //2. Sum True Range for specified period (Ex: 14 days)
    double totalTrueRange = 10.0 + 11.0 + 10.5 + ... + 10.3 + 13.3 +13.0;
    //3. Calculate Average Volatility
    double volatility = (1.0 / 14) * totalTrueRange;
    //But the difference compare to NATR we use True Range to compare to totalTrueRange

Chart Settings

* For common indicator properties please see Common Indicator Settings

"Period Moving Average"
Number of periods to include in the calculation of the Exponential Normalized Average True Range (ENATR).

Watchlist Settings

* For common indicator properties please see Common Indicator Settings

"Period Moving Average"
Number of periods to include in the calculation of the Exponential Normalized Average True Range (ENATR).

Chart View

Last modified: 27 November 2024