Average Daily Range (ADR)

Mean high-minus-low range of the last period completed calendar-day sessions. The current, still-forming day is excluded until it closes.

Quick reference

Item	Value
Family	Seasonality & Session
Input type	Candle (uses high, low, timestamp)
Output type	f64
Output range	>= 0 (price units)
Default parameters	period = 14, utc_offset_minutes = 0
Warmup period	period
Interpretation	Typical day's travel; sizing stops / targets

Formula

daily_range_d = max(high) - min(low)   over the bars of day d
ADR = mean of the last `period` completed daily_range values

The current day is excluded until a new day begins. See crates/wickra-core/src/indicators/average_daily_range.rs.

Parameters

Name	Type	Default	Constraint	Source	Description
period	usize	14	> 0	average_daily_range.rs:36	Number of completed sessions to average.
utc_offset_minutes	i32	0	none	average_daily_range.rs:37	Shifts the instant before deriving the day boundary.

AverageDailyRange::new returns Error::PeriodZero for period == 0.

Inputs / Outputs

const _: fn(&mut wickra::AverageDailyRange, wickra::Candle) -> Option<f64> =
    <wickra::AverageDailyRange as wickra::Indicator>::update;

• Python. update((o,h,l,c,v,ts)) → float | None; batch(open, high, low, close, volume, timestamp) → 1-D ndarray (NaN warmup).
• Node. update(...) → number | null; batch(...) → number[].
• WASM. update(...) → number | undefined.

Warmup

warmup_period() == period. No value is produced until the first session completes; the running mean uses up to period completed days.

Edge cases

• Averages completed days only — the in-progress day never enters the mean (test averages_completed_day_ranges).
• Rolls off the oldest day beyond period (test rolls_off_oldest_day_beyond_period).
• Rejects period == 0 (test rejects_zero_period).
• Reset. Clears the window and the in-progress day (test reset_clears_state).

Examples

Rust

use wickra::{Candle, Indicator, AverageDailyRange};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let day = 24 * 3_600_000;
    let mut adr = AverageDailyRange::new(2, 0)?;
    adr.update(Candle::new(105.0, 110.0, 100.0, 108.0, 1.0, 0)?);          // day 1, range 10
    let v = adr.update(Candle::new(108.0, 112.0, 106.0, 109.0, 1.0, day)?).unwrap();
    println!("{v}"); // 10.0
    Ok(())
}

Python

import wickra as ta

DAY = 24 * 3_600_000
adr = ta.AverageDailyRange(2, 0)
assert adr.update((105.0, 110.0, 100.0, 108.0, 1.0, 0)) is None  # day 1 forming
print(adr.update((108.0, 112.0, 106.0, 109.0, 1.0, DAY)))        # 10.0

Node

const wickra = require('wickra');
const DAY = 24 * 3_600_000;
const adr = new wickra.AverageDailyRange(2, 0);
adr.update(105, 110, 100, 108, 1, 0);
console.log(adr.update(108, 112, 106, 109, 1, DAY)); // 10

Streaming

adr = ta.AverageDailyRange(14, -300)  # 14-day ADR anchored to US Eastern
for o, h, l, c, v, ts in candle_feed:
    typical = adr.update((o, h, l, c, v, ts))
    if typical is not None:
        stop_distance = 0.5 * typical  # size stops as a fraction of ADR

Interpretation

1. Stop / target sizing. ADR is the standard scale for intraday stops and profit targets — e.g. a target of 1 × ADR from the open.
2. Range exhaustion. When the current day's range approaches the ADR, further directional follow-through becomes statistically less likely.

Common pitfalls

• Days are defined by timestamp, not trading calendar. Weekends/holidays still roll the day key; for equities, feed only session bars or filter holidays upstream.
• Warmup is in days, not bars — warmup_period() returns period as a hint, but a full value needs period completed sessions.

See also

• SessionRange — per-session range of the current day.
• Atr — bar-level true-range volatility.
• Indicators-Overview — full taxonomy.