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Technical Studies Reference


Average Daily Range

This study calculates and displays a Moving Average of the Daily Range of the price data.

Let the Low Price and High Price at Index \(t\) be denoted as \(L_t\) and \(H_t\), respectively. Let the Input Length be denoted as \(n\). Then we denote the Daily Range at Index \(t\) as \(DR_t\). We calculate the Daily Range for \(t \geq 0\) as follows.

\(DR_t = H_t - L_t\)

We denote the Average Daily Range at Index \(t\) for the given Length as \(\overline{DR}_t(n)\), and we calculate it in terms of a Simple Moving Average for \(t \geq n - 1\) as follows.

\(\overline{DR}_t(n) = MA_t(DR,n)\)

In the above formula, \(DR\) is a random variable denoting the Daily Range.

This study only functions properly on a Historical Daily chart. A Historical Daily chart can be opened with File >> Find Symbol >> [select symbol] >> Open Historical Chart.

Once you add this study to a Historical Daily chart, the study can be overlaid to an Intraday chart by using the Study/Price Overlay study.

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Average_Daily_Range.347.scss


*Last modified Wednesday, 03rd January, 2018.