This script is a custom financial indicator designed to help traders understand market volatility by smoothing out the data provided by the Average True Range (ATR). Instead of showing raw, fluctuating volatility, this tool provides a "smoothed" version of that information to make it easier to read and interpret.
The logic operates in three distinct stages:
1. Measuring Price Movement (True Range)
First, the script looks at the price action of each individual bar (candle). It calculates the distance between the highest point and the lowest point reached during that specific time frame. This gives us a raw measurement of how much the price moved in every single period.
2. Establishing the Average True Range (ATR)
The script then takes those raw measurements and groups them into a primary timeframe, which you can define in the settings (the "ATR Period"). It calculates an average of these movements over that specific window of time. This first step filters out minor "noise" and provides a general sense of how volatile the market is currently behaving.
3. Creating the "Average of ATR" (AATR)
To provide an even cleaner view, the script performs a secondary calculation. It takes the results from the previous step and averages them again over a second timeframe (the "AVG Period").
By layering these two averages on top of each other, the script eliminates sudden, sharp spikes in the data. The final result is a smooth, flowing line that represents long-term volatility trends. This allows a user to see the underlying pulse of the market's movements without being distracted by the erratic fluctuations of moment-to-moment price changes.
Summary for the User: While a standard ATR shows you how much the price moved recently, this specific script shows you how that volatility is trending over time. It acts like a "smoothing filter," providing a more stable visual representation of market activity that helps in identifying broader trends in price behavior.
//+------------------------------------------------------------------+
//| Average of ATR.mq4 |
//| Copyright 2015, FXMatics.com |
//| http://www.fxmatics.com |
//+------------------------------------------------------------------+
#property copyright "2015, FXMatics.com"
#property link "http://www.fxmatics.com"
#property description "Average of ATR"
#property strict
//--- indicator settings
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 DodgerBlue
#property indicator_color2 Lime
//--- input parameter
input int InpAtrPeriod=7; // ATR Period
input int InpAvgPeriod=3; // AVG Period
//--- buffers
double ExtATRBuffer[];
double ExtTRBuffer[];
double ExtATR2Buffer[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit(void)
{
string short_name;
//--- 1 additional buffer used for counting.
IndicatorBuffers(3);
IndicatorDigits(Digits);
//--- indicator line
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,ExtATRBuffer);
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,ExtATR2Buffer);
SetIndexBuffer(2,ExtTRBuffer);
//--- name for DataWindow and indicator subwindow label
short_name="Average of ATR("+IntegerToString(InpAtrPeriod)+", "+IntegerToString(InpAvgPeriod)+")";
IndicatorShortName(short_name);
SetIndexLabel(0,"ATR");
SetIndexLabel(1,"AATR");
//--- check for input parameter
if(InpAtrPeriod<=0)
{
Print("Wrong input parameter ATR Period=",InpAtrPeriod);
return(INIT_FAILED);
} else if(InpAvgPeriod<=0) {
Print("Wrong input parameter AATR Period=",InpAvgPeriod);
return(INIT_FAILED);
}
//---
SetIndexDrawBegin(0,InpAtrPeriod);
SetIndexDrawBegin(0,InpAtrPeriod*InpAvgPeriod);
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Average True Range |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
int i,limit;
//--- check for bars count and input parameter
if(rates_total<=InpAtrPeriod || InpAtrPeriod<=0)
return(0);
//--- counting from 0 to rates_total
ArraySetAsSeries(ExtATRBuffer,false);
ArraySetAsSeries(ExtTRBuffer,false);
ArraySetAsSeries(ExtATR2Buffer,false);
ArraySetAsSeries(high,false);
ArraySetAsSeries(low,false);
//--- preliminary calculations
if(prev_calculated==0)
{
ExtTRBuffer[0]=0.0;
ExtATRBuffer[0]=0.0;
ExtATR2Buffer[0]=0.0;
//--- filling out the array of True Range values for each period
for(i=1; i<rates_total; i++)
ExtTRBuffer[i]=(high[i]-low[i])/Point;
//--- first AtrPeriod values of the indicator are not calculated
double firstValue=0.0;
for(i=1; i<=InpAtrPeriod; i++)
{
ExtATRBuffer[i]=0.0;
firstValue+=ExtTRBuffer[i];
}
//--- calculating the first value of the indicator
firstValue/=InpAtrPeriod;
ExtATRBuffer[InpAtrPeriod]=firstValue;
limit=InpAtrPeriod+1;
}
else
limit=prev_calculated-1;
//--- the main loop of calculations
for(i=limit; i<rates_total; i++)
{
ExtTRBuffer[i]=(high[i]-low[i])/Point;
ExtATRBuffer[i]=ExtATRBuffer[i-1]+(ExtTRBuffer[i]-ExtTRBuffer[i-InpAtrPeriod])/InpAtrPeriod;
CalculateAATR(rates_total,prev_calculated);
}
//--- return value of prev_calculated for next call
return(rates_total);
}
//+------------------------------------------------------------------+
void CalculateAATR(int rates_total,int prev_calculated)
{
int i,limit;
//--- first calculation or number of bars was changed
if(prev_calculated==0)
{
limit=InpAvgPeriod;
//--- calculate first visible value
double firstValue=0;
for(i=0; i<limit; i++)
firstValue+=ExtATRBuffer[i];
firstValue/=InpAvgPeriod;
ExtATR2Buffer[limit-1]=firstValue;
}
else
limit=prev_calculated-1;
//--- main loop
for(i=limit; i<rates_total && !IsStopped(); i++)
ExtATR2Buffer[i]=ExtATR2Buffer[i-1]+(ExtATRBuffer[i]-ExtATRBuffer[i-InpAvgPeriod])/InpAvgPeriod;
//---
}
//+------------------------------------------------------------------+
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