Normalized Average True Range (NATR)

Overview

The Normalized Average True Range transforms the traditional ATR into a universal volatility metric by expressing it as a percentage of price rather than absolute dollars. This simple yet powerful modification - dividing ATR by the closing price and multiplying by 100 - creates a volatility measure that can be meaningfully compared across any security regardless of price. A $10 stock with $0.50 ATR and a $1000 stock with $50 ATR both show 5% NATR, revealing identical relative volatility despite their vastly different dollar movements. This normalization makes NATR indispensable for tasks that regular ATR cannot handle effectively.

The calculation maintains all of ATR's strengths in measuring true volatility by accounting for gaps and intraday ranges, while adding the critical ability to compare across different securities and time periods. For instance, NATR enables meaningful volatility comparisons between cryptocurrencies trading at thousands of dollars and penny stocks, or between the same stock at $10 versus $100. This percentage-based approach also solves ATR's limitation in long-term analysis - as a stock's price appreciates over years, its ATR naturally increases even if relative volatility remains constant. NATR remains consistent, showing that a 2% daily movement represents the same relative volatility whether the stock trades at $10 or $100.

Interpretation & Trading Signals

Example Usage

Code examples will be available once the Rust implementation is complete.