wickra/docs/wiki/indicators/volatility/Indicator-AtrTrailingStop.md

AtrTrailingStop

ATR Trailing Stop — a single stop level that trails price by a fixed ATR multiple, ratcheting toward the trend and flipping on a close through it.

Quick reference

Field	Value
Family	Volatility
Sub-category	Trailing stop
Input type	Candle (uses high, low, close)
Output type	f64
Output range	unbounded (price scale)
Default parameters	atr_period = 14, multiplier = 3.0 (Python)
Warmup period	atr_period
Interpretation	One trailing stop line; price closing through it flips the trade.

Formula

loss = multiplier · ATR

stop_t = max(stop_{t−1}, close − loss)   while price holds above the stop
       = min(stop_{t−1}, close + loss)   while price holds below the stop
       = close − loss                    on a fresh break above the stop
       = close + loss                    on a fresh break below the stop

This is the trailing stop popularised by the "UT Bot": a single line that sits multiplier · ATR away from the close. While price holds on one side of the stop the level only ratchets toward price — up in an uptrend, down in a downtrend — and never away from it. When a close crosses the stop the level snaps to the opposite side of the new close, flipping the trade. Unlike the ChandelierExit, it hangs off the close itself, not the window's extreme, and reports one line rather than two.

Parameters

• atr_period — the ATR lookback (Python default 14).
• multiplier — the ATR multiple the stop trails by (Python default 3.0).

AtrTrailingStop::classic() returns the (14, 3.0) configuration.

Inputs / Outputs

From crates/wickra-core/src/indicators/atr_trailing_stop.rs:

impl Indicator for AtrTrailingStop {
    type Input = Candle;
    type Output = f64;
    // update(&mut self, input: Candle) -> Option<f64>
}

AtrTrailingStop is a candle-input indicator (it reads high, low, close). In Python the streaming update accepts a 6-tuple or a dict; the batch helper takes high, low, close numpy arrays. Node and WASM expose update(high, low, close) and the matching batch.

Warmup

AtrTrailingStop::classic().warmup_period() == 14. The first value lands once the inner ATR is ready, on input index atr_period − 1. That first bar seeds the stop below price (a long).

Edge cases

• Seed bar. The first emitted stop is close − loss — the indicator starts on the long side.
• Ratchet. While price holds above the stop it never moves down, and while price holds below it never moves up (uptrend_stop_ratchets_up_and_stays_below_price pins this).
• Flat market. Constant candles hold the stop at a fixed close − loss.
• Reset. ts.reset() clears the ATR and the carried stop / close.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, AtrTrailingStop};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut ts = AtrTrailingStop::new(5, 3.0)?;
    // Flat market: ATR = 2, loss = 3·2 = 6, stop = 10 - 6 = 4.
    let candles: Vec<Candle> = (0..20)
        .map(|i| Candle::new(10.0, 11.0, 9.0, 10.0, 1.0, i).unwrap())
        .collect();
    let out = ts.batch(&candles);
    println!("{:?}", out.last().unwrap());
    Ok(())
}

Output:

Some(4.0)

On a flat market the seeded long stop holds at close − loss = 10 − 6 = 4. This matches the reference_values_flat_market test in crates/wickra-core/src/indicators/atr_trailing_stop.rs.

Python

import numpy as np
import wickra as ta

ts = ta.AtrTrailingStop(5, 3.0)
n = 20
high = np.full(n, 11.0)
low = np.full(n, 9.0)
close = np.full(n, 10.0)
print(ts.batch(high, low, close)[-1])

Output:

4.0

Node

const ta = require('wickra');
const ts = new ta.AtrTrailingStop(5, 3.0);
const n = 20;
const high = Array(n).fill(11), low = Array(n).fill(9), close = Array(n).fill(10);
const out = ts.batch(high, low, close);
console.log(out[out.length - 1]);

Output:

4

Interpretation

Read it as a stop-and-reverse line: while the stop sits below the close you are long and it trails your profit up; the bar a close prints below the stop, it flips above the new close and you are short. A larger multiplier gives the trade more room — fewer flips, wider risk; a smaller one flips sooner.

Common pitfalls

• Expecting it off the window high. It trails the close, so it can sit closer to price than a ChandelierExit.
• Feeding it scalar prices. It needs the full high/low/close bar to drive the ATR.

References

The ATR Trailing Stop used by the well-known "UT Bot"; the four-branch ratchet here matches the common Sylvain Vervoort formulation.

See also

• Indicator-SuperTrend.md — an ATR trailing stop with band ratcheting and an explicit direction flag.
• Indicator-ChandelierExit.md — an ATR stop hung off the window's extreme instead of the close.
• Indicator-Atr.md — the volatility measure underneath.
• Indicators-Overview.md — the full taxonomy.