Why you need it: Price Data can sometimes be crappy, like price not being updated for days (like the Dukascopy Forex Dataset). This will cause the normal ATR indicator to trend towards Zero or even reach Zero - really bad if you divide by ATR!

So my fault-tolerant ATR works like this: If the newest price bar is completely flat (High = Open = Close = Low), it's probably fake/missing data and will be ignored. This is the case when TrueRange is Zero. The ATR value will only update again if new price data arrives.


Code:
function ftATR(ATRPeriod)
{
 vars tr = series(0, -ATRPeriod); // create a static series
 if(TrueRange() != 0)
 {
 shift(tr, TrueRange(), ATRPeriod);
 }
 if(tr[ATRPeriod-1] == 0)
 { 
  ATRPeriod = 1;
  while(tr[ATRPeriod] != 0) ATRPeriod++;
 }
	
 var myATR = Sum(tr, ATRPeriod) / ATRPeriod;

 return(myATR);
}


usage:

(put the function code before the run function)

Code:
ftATR(int TimePeriod): var


example:

Code:
var my_atr = ftATR(30);