Measure Volatility with the AverageTrueRange Function
The AverageTrueRange function in Excel with MarketXLS calculates the Average True Range (ATR) of a given symbol. ATR is a popular technical indicator used by traders to gauge market volatility. Using this function, you can quickly see how much a price moves, on average, over a specified number of days. Whether you’re analyzing stocks or ETFs, the AverageTrueRange function can provide insights into how volatile a symbol is – a critical factor for position sizing, stop-loss setting, and overall risk management.
Why Use This Function?
- Helps measure asset volatility over a specified period.
- Perfect for setting stop-loss levels and targets based on recent price ranges.
- Enables quick side-by-side volatility comparisons among multiple symbols.
- Useful in managing portfolio risk by identifying which symbols have high or low volatility.
- Saves time: direct Excel integration means no copying data from external sites.
How to Use in Excel
=AverageTrueRange(Symbol, [Days], [StartDate])
- Type the formula directly into an Excel cell.
- Replace Symbol with a valid ticker (e.g., "AAPL" or "MSFT").
- Optionally specify Days, which defaults to 14 if omitted.
- Optionally specify StartDate, which defaults to today’s date if omitted.
MarketXLS will then fetch the needed data through its API to calculate the ATR and return the result right in your spreadsheet.
Parameters Explained
Parameter | Description | Example Values | Notes |
---|---|---|---|
Symbol | The ticker symbol for which the ATR is being calculated. | "AAPL", "MSFT", "TSLA" | Must be a valid, recognized symbol or function returns "NA". |
Days | The number of days to use in the ATR calculation (default is 14). | "14", "20", "30" | If this is left blank, it defaults to 14. If passed as "1", the function returns "NA". |
StartDate | The date from which to start data retrieval for the ATR calc. | "1/1/2023", "12/1/2022" | If omitted or invalid (before 1978), the function uses a broad historical dataset by default. |
Note: If an error or invalid input is detected, the function returns "NA".
Example Usage
Basic Examples
-
Using the default 14-day average:
=AverageTrueRange("AAPL")
This calculates a 14-day ATR for Apple stock starting from today’s date. -
Customizing the days parameter:
=AverageTrueRange("MSFT", 20)
This calculates a 20-day ATR for Microsoft stock. -
Specifying a start date:
=AverageTrueRange("TSLA", 14, "1/1/2023")
This calculates Tesla’s ATR from January 1, 2023, using a 14-day lookback.
Advanced Scenarios
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Comparing Volatility Across Symbols:
- Place the formula in multiple cells for different tickers (e.g., AAPL, MSFT, NFLX).
- Use the same days parameter to see which symbol has higher relative volatility.
-
Automated Risk Management:
- Combine the ATR result with your position sizing logic.
- Use additional Excel formulas to calculate stop-loss levels (e.g., entry price – 2×ATR).
-
Longer-Term Analysis:
- Try 30 or 60 days to see if the symbol’s volatility has expanded or contracted over a broader time frame.
- Though ATR is often used for short-term trading, it also offers valuable long-term volatility insights.
Common Questions and Troubleshooting
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Why do I get "NA" when I enter a certain Symbol?
- Check if the symbol is valid. An invalid or unrecognized ticker returns "NA."
- Make sure you’re logged in and have a valid MarketXLS license.
-
Why does "NA" appear if I set Days to 1?
- A value of 1 is insufficient to calculate the true range; the function automatically returns "NA."
-
How does StartDate affect the calculation?
- If you provide a valid date (1978 or later), MarketXLS retrieves data from that date forward.
- If the date is earlier than 1978 or left blank, the system fetches a broad historical data set by default.
-
What if I need historical ATR values (a time series)?
- While the function in this documentation returns a single ATR value, advanced users can consider the MarketXLS “series” parameter in custom usage scenarios. By default, series is set to "False," meaning you only get one value.
By leveraging the AverageTrueRange function, traders and analysts can quickly assess a symbol’s volatility, compare multiple instruments, and fine-tune their trading strategies – all within Excel, thanks to MarketXLS. It’s an essential tool for both short-term and long-term market participants wanting a deeper understanding of price movements.