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Jason,
Yes, that is an interesting chart.
Combining ATR, MA's and volume on the same
pane is quite revealing. I'm going to start
mixing things on one pane. I just learned
about "styleOwnScale" (from one of your charts)
so...now.....let the games begin !
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> GM,
>
> 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.....
>
> I use a dark back ground, you may wish to adjust the colors....
>
>
> ATRparm=Param("ATR Look Back",14,10,50);
> x=ATR(atrparm);
> y=(x/C)*100;
> z=(ATR(1)/C)*100;
> Vparm=Param("Vol MA",50,10,200);
> Col1=IIf(V>MA(V,50),MA(V,50),V);
> Colzone1=IIf(C>Ref(C,-1),colorDarkGreen,colorDarkRed);
>
> Plot(Col1,"", colzone1,3|styleThick);
> Plot(V,"Volume",IIf(C>Ref(C,-
1),colorBrightGreen,colorRed),2|styleThick);
> Plot(MA(V,50),"Vol Average " ,colorYellow,4);
> Value1=ATR(1)/y*10;
> Plot(value1/ATR(atrparm ),"ATR",4,1) ;
> Plot(y,"% of Vol Average "+WriteVal(V/MA(V,vparm)*100,1.0) +"%"+"
ATR %"
> ,colorWhite,styleOwnScale |1);
> GraphXSpace=3;
>
>
>
> Jayson
> -----Original Message-----
> From: GM [mailto:gmellor@x...]
> Sent: Sunday, March 30, 2003 11:17 PM
> To: Amibroker Forum
> Subject: [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 ATR
> indicator. I would appreciate your comments
> and 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 before
> the "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);
>
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