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Hello,
AmiBroker uses a standard ATR as described in:
http://stockcharts.com/education/Resources/Glossary/ATR.html
But the formula is different it uses not ATR(1) always but ATR(n)
where n changes from min to max.
Best regards,
Tomasz Janeczko
amibroker.com
--- In amibroker@xxxx, "nenapacwanfr" <nenapacwanfr@xxxx> wrote:
> Richard,
>
> for example in Mstock the RWIL(2,9) is the formula below
> you'll see that Mstock uses the ATR or the true range of one day
> TR=Max(Max(H-Ref(C,-1),Ref(C,-1)-L),H-L);
> //Plot(TR,"",5,1);
> //Plot(ATR(1),"",2,1);
> and oofset by one day the simple average of the ATR
>
> BUT if I compare with the AMIBROKER RWI, that 's different
> Plot(RWILo(2,9),"",1,1);
> Plot(avgRWIL,"",2,1);
>
> I wonder what TRUE RANGE Tomacz uses in the computation of random
> walk
>
>
>
> avgRWIL=/* formule Mstock*/
> Max( ( Ref(High,-1) - Low ) / ( ( Ref(MA(ATR( 1 ) ,2 ),-1)) * sqrt(
> 2 ) ) ,
> Max( (Ref(High,-2) -Low) / ( ( Ref(MA(ATR( 1 ),3),-1)) * sqrt(
> 3 ) ),
> Max( (Ref(High,-3) - Low) / ( (Ref(MA(ATR( 1 ) ,4) ,-1)) * sqrt(
> 4 ) ) ,
> Max( ( Ref( High,-4) - Low) / ( (Ref(MA(ATR( 1 ),5),-1)) * sqrt(
> 5 ) ),
> Max( (Ref(High,-5) - Low) / ( (Ref( MA( ATR( 1 ),6),-1) ) * sqrt(
> 6 ) ),
> Max( ( Ref(High,-6) -Low) / ( (Ref( MA( ATR( 1 ),7),-1)) * sqrt(
> 7 ) ),
> Max((Ref(High,-7)-Low) / ( (Ref(MA(ATR( 1 ),8),-1)) * sqrt(8) ),
> (Ref(High,-8)-Low) / ( (Ref(MA(ATR(1),9),-1)) * sqrt(
> 9 ) ) ) ) ) ) ) ) );
>
>
>
> > Thanks Stephane, I think the concept is becoming clear, it is the
> implementation that is confusing me at the present. The simplest
> description I have located is
> >
> > ATR = Average Trading Range
> > RWI high = (HI - LO[n]) / ATR * n sqrt(n)
> > RWI low = (HI[n] - LO) / ATR * n sqrt(n)
> >
> > There are several implementation choices - which ATR do you use,
> today's, last n days, max of last n days, etc. It appears that the
> common MetaStock may use n*max(TR(n)), n = 1
> >
> > however, the AB code has two parameters,
> > SYNTAX rwi( minperiods, maxperiods )
> > RETURNS ARRAY
> > FUNCTION Calculates the Random Walk Index indicator as a
> difference between Random Walk Index from Highs (RWIHI() function)
> and Random Walk Index from Lows (RWILO() function.
> > EXAMPLE rwi( 9, 40 );
> >
> >
> > and I am not certain what the min/max periods refer to. They may
> be the range over which the statistics are generated, although that
> still hold some ambiguity in my mind?
> >
> >
> > May have to wait for clarification from TJ. I have attached some
> test AFL indicator code for those interested.
> >
> > Thanks,
> >
> > Richard
> >
> > ----- Original Message -----
> > From: nenapacwanfr
> > To: amibroker@xxxx
> > Sent: Tuesday, July 02, 2002 12:22 AM
> > Subject: [amibroker] Re: RWI - Random Walk Index
> >
> >
> > Richard,
> > I have a description in a book ( at the period when I have
tried
> > technifilter)
> >
> > if we use the average true range over 4 days to quantify what a
> > normal step size would be, then we would expect random movement
> to
> > be within 2 times the av true range, which is the square root
of
> > four times the step size.
> > if the traveled distance is more than this number, then the
> price
> > has moved more than we would expect from random movement.
> > therefore the movement is probably not random.
> > it is how works RWI comparing actual price displacement to
> expected
> > displacement for random moves.
> >
> >
> > I can copy more if you want ( short term formula; long term
> formula)
> > stephane
> >
> >
> >
> >
> > > Ran across the AB functions RWI(min,max) etc. and I have been
> > unable to
> > > locate a mathematical description or motivation (or
> intelligible
> > code).
> > >
> > > Apparently, RWI was presented by Michael Poulos in the Jan
92,
> > TASC: Random
> > > Walk was defined in Technical Analysis Of Stocks and
> Commodities
> > by Michael
> > > Poulos (see TASC, January 1992 and September 1992). Random
> Walk
> > calculates
> > > how much price should move over a given period if its
movement
> > were purely
> > > random. When price moves past this level, it can be assumed
to
> be
> > trending
> > > in that direction and the system will issue a signal. The
> maximum
> > look-back
> > > period for Random Walk is optimizable in this system. An
> excellent
> > system.
> > >
> > > Sounds interesting, however, I cannot ferret out the
> significance
> > of the
> > > min/max parameters. BTW I can locate several metastock
> listings,
> > and an
> > > easy language listing - neither help me much.
> > >
> > >
> > > Can anyone suggest a reference?
> > >
> > > Cheers,
> > >
> > > Richard
> >
> >
> > Yahoo! Groups Sponsor
> > ADVERTISEMENT
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
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