Technical Studies Reference


True Range

This study calculates and displays the True Range of the price data at each Index.

Let the High, Low, and Closing Prices at Index \(t\) be denoted as \(H_t\), \(L_t\), and \(C_t\), respectively. We then define the following quantities.

High - Low Range: \(H_t - L_t\)

High to Previous Close Difference: \(\left|H_t - C_{t - 1}\right|\). This is taken to be \(0\) at \(t = 0\).

Low to Previous Close Difference: \(\left|L_t - C_{t - 1}\right|\). This is taken to be \(0\) at \(t = 0\).

The True Range at Index \(t\) is denoted as \(TR_t\), and we calculate it for \(t \geq 0\) by taking the maximum of the above quantities, as shown below.

\(TR_t = \max\{H_t - L_t, \left|H_t - C_{t - 1}\right|, \left|L_t - C_{t - 1}\right|\}\)

Inputs

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Spreadsheet

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True_Range.346.scss


*Last modified Wednesday, 03rd January, 2018.