Average Daily Range (ADR)

[bobtabor]

the problem

The library contains ATR (Average True Range). The ADR (Average Daily Range) has been popularized recently by popular trader Qullamaggie (Kristjan Kullamägi ... https://qullamaggie.com/). The formula and intent is slightly different -- ATR captures movement with pre-market gaps, but ADR captures intraday only and is used by swing traders (and maybe day traders) to decide if there's enough movement in the stock to warrant taking a position.

See: https://www.alpharithms.com/average-daily-range-adr-090415/

I was able to ask ChatGPT for an implementation, but I have no confidence in the algorithm.

an idea

No response

code example

public static decimal CalculateDailyRangePercentage(Daily day)
        {
            return ((day.High - day.Low) / day.Close) * 100;
        }

        public static decimal CalculateAverageDailyRangePercentage(List<Daily> data, int period = 20)
        {
            List<decimal> dailyRangePercentages = new List<decimal>();

            if (data.Count < period) return 0M;

            for (int i = data.Count - period; i < data.Count; i++)
            {
                decimal dailyRangePercentage = CalculateDailyRangePercentage(data[i]);
                dailyRangePercentages.Add(dailyRangePercentage);
            }

            return dailyRangePercentages.Average();
        }

[DaveSkender]

❤️ Thanks for the recommendation!
This does look similar in nature to True Range and Average True Range.

From your link, average daily range is an SMA of High - Low for each candle.

I'll take a closer look later for adding to the library. For now, this can be done with a fairly simple implementation:

IEnumerable<SmaResult> adr = quotes
  .Select(x => new BasicData()
   {
     Date = x.Date,
     Value = (double)(x.High - x.Low)  // dr
   })
  .GetSma(lookbackPeriods);

The normalization to a percentage that you're showing with /Close makes sense too as an extra returned property; though, I'd probably do the percentage as ADR/close (not shown) instead of avg(DR/close) (below).

IEnumerable<SmaResult> adrp = quotes
  .Select(x => new BasicData()
   {
     Date = x.Date,
     Value = (double)(x.High - x.Low)/x.Close
   })
  .GetSma(lookbackPeriods);