Average True Range Google Sheets Formula

Last Updated on 19/05/2023 by DEUS Harvest

WHAT IS THE AVERAGE TRUE RANGE

The Average True Range is an indicator used to determine market volatility; it measures how much price moves on average over a given period. Welles Wilder introduced it in his book “New Concepts in Technical Trading Systems.” 

To calculate the ATR, we first need to find True Ranges (TR) for a given period. Where TR is the greatest of the following:

• The distance from today’s high to today’s low.
• The distance from yesterday’s close to today’s high.
• The distance from yesterday’s close to today’s low

The Average True Range is a moving average of the True Ranges.
Learn more about the TR calculation in this post.

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ATR GOOGLE SHEETS FORMULA

In the below example, we are going to calculate 14-period ATR

Cell B1 = “TSLA” ( Tesla, Inc)

Step 1 – Requesting data and creating a dataset

Request 3 price points Today’s High, Today’s Low, Yesterday’s Close.

Step 1.1.1 – Historical High & Low Request
Request “all” prices from the previous 25 days. We request more days than required in order to account for weekends and holidays; more about this here.

=GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY())

Step 1.1.2 – Historical High & Low Request

Create a new query, then select the High and Low columns from step 1.1.1, sort the values in date descending order, and limit the values returned to 14.

=QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14")

Step 1.2.2 – Yesterday’s Close Request

Create a new query, then select the close column from step 1.2.1, sort the values in date descending order, limit the values return to 14, offset by 1, and label the column as “Closeyest”.

=QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today())," SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")

1.3 – Create a single dataset

We then combine the queries from 1.1.2 and 1.2.2 into a single dataset by wrapping them in brackets{} and using “,” as a separator.
1.3 = QUERY({1.1.2, 1.2.2})

=QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today())," SELECT Col2 ORDER by Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")})

Step 2 – Average True Range Calculation

Step 2.1.1 – True Ranges (Price Difference)
We use the dataset from 1.3 to calculate the price differences between:
(High – Low) , (High – Yesterday’s Close), (Yesterday’s Close – Low).
Learn more about the true range in this post where it is explained in detail.

=QUERY(QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today()),"SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")}),"SELECT Col1-Col2, Col1-Col3, Col3-Col2 ")

Step 2.1.2 – True Ranges (Absolute Values)

We then wrap the values returned in 2.1.1 with ABS() function to return positive values.
Since the data is an array, we need to wrap the formula with the ARRAYFORMULA() function for it to work.

=ARRAYFORMULA(ABS(QUERY(QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today()),"SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")}),"SELECT Col1-Col2, Col1-Col3, Col3-Col2 ")))

Step 2.1.3 True Ranges (Transpose dataset)

The QUERY() function does not have a built-in method to “SELECT” values per row.
Therefore we transpose the dataset to have the rows as columns; this will assist us when calculating the True Range for each day.

=ARRAYFORMULA(TRANSPOSE(ABS(QUERY(QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today()),"SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")}),"SELECT Col1-Col2, Col1-Col3, Col3-Col2 "))))

Step 2.1.4 – True Ranges ( Max(Col) String)

We could create a new query with the below formula to find the True Range for each day.
The “Max Value” of each column is equal to the “True Range” for that day.

Query( (Step 2.1.3),"SELECT Max(Col1), Max(Col2), Max(Col3), Max(Col4), Max(Col5), Max(Col6), Max(Col7), Max(Col8), Max(Col9), Max(Col10), Max(Col1), Max(Col2), Max(Col13),Max(Col14), Max(Col15))"

However, this would be time-consuming and every time the ATR(Period) is changed, we would need to edit the number of “Max(Col)’s”.
Therefore we need to automate the process of creating the Max(Col) “string“.
We will use the functions INDIRECT(), AMPERSAND “&”, ROW(), and JOIN() to accomplish this.

=ARRAYFORMULA((JOIN(",max(Col",row(indirect("A1:A15"))&")")))

We then combine our automated string with “SELECT Max(Col” to complete the query.
To change the number of “Max(Col)” we only need to edit “A15”.

View this post from infoinspired.com for a detailed explanation of how to find Max Values in each row.

Step 2.1.5 – True Ranges ( Per Day)

=ARRAYFORMULA(QUERY(TRANSPOSE(ABS(QUERY(QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today()),"SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")}),"SELECT Col1-Col2, Col1-Col3, Col3-Col2 "))),"SELECT max(Col"&JOIN(",max(Col",row(indirect("A1:A15"))&")")))

Step 2.1.6 – Calculate Average True Range

To complete the ATR formula, we wrap Step 2.15 with the AVERAGE() function.

=AVERAGE(ARRAYFORMULA(QUERY(TRANSPOSE(ABS(QUERY(QUERY({QUERY(GOOGLEFINANCE(B1,"all",TODAY()-25, TODAY()),"SELECT Col3, Col4 ORDER BY Col1 DESC LIMIT 14"),QUERY(GOOGLEFINANCE(B1,"Close",today()-25, today()),"SELECT Col2 ORDER BY Col1 DESC LIMIT 14 OFFSET 1 LABEL Col2 'Closeyest'")}),"SELECT Col1-Col2, Col1-Col3, Col3-Col2 "))),"SELECT max(Col"&JOIN(",max(Col",row(indirect("A1:A15"))&")"))))

The charts below show Tesla, Inc.’s ATR on June 17, 2022, which matches our calculation.

View and copy the spreadsheet on the link below and tailor the data to your needs.