gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-16 17:48:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

doc headers

Browse Source
This commit is contained in:
Miha Kralj
2026-02-27 07:48:12 -08:00
parent 8a1ba95173
commit 4ab3a7fb53
389 changed files with 6682 additions and 468 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/volatility/adr/Adr.md
+18 -1
View File
@@ -1,5 +1,22 @@
# ADR: Average Daily Range
| Property | Value |
| ---------------- | -------------------------------- |
| **Category** | Volatility |
| **Inputs** | OHLCV bar (TBar) |
| **Parameters** | `period`, `method` (default AdrMethod.Sma) |
| **Outputs** | Single series (Adr) |
| **Output range** | $\geq 0$ |
| **Warmup** | `ma.WarmupPeriod` bars |
### TL;DR
- The Average Daily Range (ADR) measures the average distance between High and Low prices over a specified period.
- Parameterized by `period`, `method` (default adrmethod.sma).
- Output range: $\geq 0$.
- Requires `ma.WarmupPeriod` bars of warmup before first valid output (IsHot = true).
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
> "The simplest measure is often the most useful. Why complicate what doesn't need complicating?"
The Average Daily Range (ADR) measures the average distance between High and Low prices over a specified period. Unlike its cousin ATR, ADR ignores gaps entirely. It answers a straightforward question: "How much does this asset typically move within a single bar?"
@@ -132,4 +149,4 @@ O(1) sliding mean of daily ranges. Same running-sum pattern as SMA but applied t
- **Confusing ADR with ATR**: They measure different things. ADR ignores gaps; ATR accounts for them. Know which you need.
- **Wrong smoothing method**: SMA is stable but can jump when old values exit the window. EMA is smoother for trending volatility. Match the method to your use case.
- **Scale dependence**: Like ATR, ADR is absolute. An ADR of 5 on a \$100 stock is 5% volatility; on a \$10 stock, it's 50% volatility. Normalize if comparing across assets.
- **Assuming direction**: High ADR means wide bars, not up or down. Crashes and rallies both produce high ADR.
- **Assuming direction**: High ADR means wide bars, not up or down. Crashes and rallies both produce high ADR.