【解説】 【MQL5 community】 Average True Range (アベレージ・トゥルー・レンジ): 期間中のトゥルー・レンジのN期間指数移動平均です。 トゥルー・レンジとは、 max{今期の高値−今期安値、今期の高値−前期終値、前期終値−今期安値｝ のこと。
ボラティリティー（変動率）なので売買ポイントは無く、 相場の方向性とも無関係です。 日々の変動率が拡大傾向の時はＡＴＲの数値は大きくなり、 日々の変動率が縮小傾向の時はＡＴＲの数値は小さくなります。
これを使うと、一日の値動きを推測したり、ストップロスを設定するための目安になります。
//+------------------------------------------------------------------+
//| ATR.mq5 |
//| Copyright 2009, MetaQuotes Software Corp. |
//| http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "2009, MetaQuotes Software Corp."
#property link "http://www.mql5.com"
#property description "Average True Range"
//--- indicator settings
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
#property indicator_type1 DRAW_LINE
#property indicator_color1 DodgerBlue
#property indicator_label1 "ATR"
//--- input parameters
input int InpAtrPeriod=14; // ATR period
//--- indicator buffers
double ExtATRBuffer[];
double ExtTRBuffer[];
//--- global variable
int ExtPeriodATR;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
void OnInit()
{
//--- check for input value
if(InpAtrPeriod＜=0)
{
ExtPeriodATR=14;
printf("Incorrect input parameter InpAtrPeriod = %d. Indicator will use value %d for calculations.",InpAtrPeriod,ExtPeriodATR);
}
else ExtPeriodATR=InpAtrPeriod;
//--- indicator buffers mapping
SetIndexBuffer(0,ExtATRBuffer,INDICATOR_DATA);
SetIndexBuffer(1,ExtTRBuffer,INDICATOR_CALCULATIONS);
//---
IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
//--- sets first bar from what index will be drawn
PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,InpAtrPeriod);
//--- name for DataWindow and indicator subwindow label
string short_name="ATR("+string(ExtPeriodATR)+")";
IndicatorSetString(INDICATOR_SHORTNAME,short_name);
PlotIndexSetString(0,PLOT_LABEL,short_name);
//--- initialization done
}
//+------------------------------------------------------------------+
//| 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 &TickVolume[],
const long &Volume[],
const int &Spread[])
{
int i,limit;
//--- check for bars count
if(rates_total＜=ExtPeriodATR)
return(0); // not enough bars for calculation
//--- preliminary calculations
if(prev_calculated==0)
{
ExtTRBuffer[0]=0.0;
ExtATRBuffer[0]=0.0;
//--- filling out the array of True Range values for each period
for(i=1;i＜rates_total;i++)
ExtTRBuffer[i]=MathMax(High[i],Close[i-1])-MathMin(Low[i],Close[i-1]);
//--- first AtrPeriod values of the indicator are not calculated
double firstValue=0.0;
for(i=1;i＜=ExtPeriodATR;i++)
{
ExtATRBuffer[i]=0.0;
firstValue+=ExtTRBuffer[i];
}
//--- calculating the first value of the indicator
firstValue/=ExtPeriodATR;
ExtATRBuffer[ExtPeriodATR]=firstValue;
limit=ExtPeriodATR+1;
}
else limit=prev_calculated-1;
//--- the main loop of calculations
for(i=limit;i＜rates_total;i++)
{
ExtTRBuffer[i]=MathMax(High[i],Close[i-1])-MathMin(Low[i],Close[i-1]);
ExtATRBuffer[i]=ExtATRBuffer[i-1]+(ExtTRBuffer[i]-ExtTRBuffer[i-ExtPeriodATR])/ExtPeriodATR;
}
//--- return value of prev_calculated for next call
return(rates_total);
}
//+------------------------------------------------------------------+
【表示結果】
Back to Meta Trader