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<SPAN
class=706564004-31032003>GM,
<SPAN
class=706564004-31032003>
I
Agree that Raw ATR numbers are of little use. What is important is to understand
the ATR value as it pertains to the bars move.
Along
a similar vein you may find this interesting. I use it daily on an interday
chart to gauge if the days move is within the "Normal ATR for the stock as well
as to measure the volume against it's own MA.
The
top value is today's volume as measured against the 50 day MA of volume. The
second line measures today's price move as a percentage against the "normal"
(ATR14) ATR. The final line is the ATR(14) measured as percentage of the
daily close.
At a
glance I can see if the stocks ATR reflects a boring, potentially satisfying or
down right scary range and if today's move is important or just
average.....
<SPAN
class=706564004-31032003>
I use
a dark back ground, you may wish to adjust the colors....
<SPAN
class=706564004-31032003>
<FONT
color=#282828 size=2>
ATRparm=Param(<FONT
size=2>"ATR Look Back",14<FONT
size=2>,10,<FONT
size=2>50<FONT
color=#0000ff>);
x=ATR<FONT
color=#0000ff>(atrparm);
y=(x/C)*<FONT
size=2>100<FONT
color=#0000ff>;
z=(ATR(<FONT
size=2>1)/C<FONT
size=2>)*100<FONT
color=#0000ff>;
Vparm=Param(<FONT
size=2>"Vol MA",50<FONT
size=2>,10,<FONT
size=2>200<FONT
color=#0000ff>);
Col1=IIf(<FONT
size=2>V>MA<FONT
size=2>(V,<FONT
size=2>50),MA<FONT
size=2>(V,<FONT
size=2>50),V<FONT
color=#282828 size=2>);
Colzone1=IIf(<FONT
size=2>C>Ref<FONT
size=2>(C,-<FONT
size=2>1),<FONT
size=2>colorDarkGreen,<FONT
size=2>colorDarkRed<FONT
color=#0000ff>);
Plot(Col1,<FONT color=#ff00ff
size=2>"", colzone1,<FONT color=#ff00ff
size=2>3|<FONT color=#000000
size=2>styleThick);<FONT
color=#0000ff size=2>
Plot(<FONT color=#000000
size=2>V,<FONT color=#ff00ff
size=2>"Volume",<FONT color=#0000ff
size=2>IIf(<FONT color=#000000
size=2>C><FONT color=#0000ff
size=2>Ref(<FONT color=#000000
size=2>C,-<FONT color=#ff00ff
size=2>1),<FONT color=#000000
size=2>colorBrightGreen,<FONT
color=#000000 size=2>colorRed<FONT color=#282828
size=2>),2<FONT color=#282828
size=2>|styleThick<FONT
color=#282828 size=2>);
Plot(<FONT color=#0000ff
size=2>MA(<FONT color=#000000
size=2>V,<FONT color=#ff00ff
size=2>50),<FONT color=#ff00ff
size=2>"Vol Average " ,<FONT
color=#000000 size=2>colorYellow<FONT color=#282828
size=2>,4);
<FONT
color=#0000ff>
Value1=ATR(<FONT
size=2>1)/y*10<FONT color=#282828
size=2>;<FONT color=#0000ff
size=2>
Plot(value1/<FONT color=#0000ff
size=2>ATR(atrparm ),<FONT
color=#ff00ff size=2>"ATR",<FONT
color=#ff00ff size=2>4,<FONT
color=#ff00ff size=2>1) ; <FONT
color=#0000ff size=2>
Plot(y,<FONT color=#ff00ff
size=2>"% of Vol Average "+<FONT
color=#0000ff size=2>WriteVal(<FONT
color=#000000 size=2>V/<FONT
color=#0000ff size=2>MA(<FONT
color=#000000 size=2>V,vparm)*<FONT
color=#ff00ff size=2>100,<FONT
color=#ff00ff size=2>1.0) +<FONT
color=#ff00ff size=2>"%"+<FONT
color=#ff00ff size=2>" ATR %" ,<FONT
color=#000000 size=2>colorWhite<FONT color=#282828
size=2>,styleOwnScale<FONT
color=#282828 size=2> |1<FONT
color=#282828 size=2>);<FONT
color=#0000ff>
GraphXSpace=3<FONT
color=#282828 size=2><FONT
color=#0000ff>;<FONT color=#0000ff face=Arial
size=2>
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: GM
[mailto:gmellor@xxxxxxxxxxxxxxx]Sent: Sunday, March 30, 2003 11:17
PMTo: Amibroker ForumSubject: [amibroker] Efficiency &
ATR (Al V. & Jayson)
Hi guys,
In an attempt to use the ATR in
"Personality"recognition, I made a slight mod to the ATRindicator. I
would appreciate your commentsand suggestions. (Don't hold any
punches)Is this a useful tool ?
Anyone else please feel free to
comment,
Gosub283
Picture attached:Notice how
"GMVolatility" climbs just beforethe "V" bounce reversals in the
QQQ.
Description: The standard
Average True Range (ATR) indicator is only useful as a reference over
the period which it is set. As the stock price climbs or drops
significantly, previous ATR value are useless when compared to current
values. This makes it impossible to set ATR thresholds in software
systems. The GM Volatility indicator divides the ATR value by
the average close price over the same period, thereby showing range
volatility as a percentage of the average price regardless of time or $
value. Values less than 3 are normal while value greater than
5 indicate high daily volatility. The GM_Volatility indic. is useful at
all times and floats between 0 and +10% regardless of price
change over time.
Generally, a value less than 3%
indicates LOW volatility. Values above 5% indicate HIGH
volatility.
EG: A value of 2% means that the
Low-to-High fluctuates 2% of the average
price over the last 14 days. (lower
volatility)
A value of 7% means
that the Low-to-High fluctuates 7% of the average
price over the last 14 days. (Higher
volatility)*****************************************************/
GM_Vol = (MA(ATR(14),5) /
MA((H+L/2),14))*100;Graph0 = GM_Vol;Graph1 =
MA(GM_Vol,10);Send
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