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Hi
gosub,
<FONT
color=#000080>
ATR uses
Wilders, which differs widely from EMA and MA. For apples-to apples
I'd make the num and denom consistent by replacing
<SPAN
class=638120005-31032003>---
<SPAN
class=638120005-31032003><SPAN
class=638120005-31032003>GM_Vol0 = <FONT color=#0000ff
size=2>MA(ATR<FONT
size=2>(14),<FONT
color=#ff00ff size=2>5) / <FONT color=#0000ff
size=2>MA((H+L/<FONT color=#ff00ff
size=2>2),14<FONT
size=2>)*100<FONT
size=2>;
<FONT
color=#0000ff size=2>Plot(GM_Vol0,<FONT color=#ff00ff
size=2>"a0",3<FONT
face="Courier New" size=2>);
<FONT
color=#0000ff size=2>Plot(<FONT color=#0000ff
size=2>MA(GM_Vol0,<FONT color=#ff00ff
size=2>10), <FONT color=#ff00ff
size=2>"ma0",4<FONT
face="Courier New" size=2>);<FONT
face="MS Sans Serif" size=2>
----
by [all
MAs}
---
<SPAN
class=638120005-31032003>maLen = <FONT color=#ff00ff
size=2>14;
<FONT
size=2>GM_Vol1 = MA<FONT
size=2>(ATR(<FONT
color=#ff00ff size=2>1),maLen) / <FONT color=#0000ff
size=2>MA((H+L/<FONT color=#ff00ff
size=2>2),maLen)*<FONT color=#ff00ff
size=2>100;
<FONT
face="Times New Roman" color=#008000 size=2>Plot(GM_Vol1, "a1",5<FONT
face="Courier New" color=#008000 size=2>)<FONT
face="Times New Roman">;
<FONT
face="Times New Roman" color=#008000 size=2>Plot(MA(GM_Vol1,10),
"ma1",6)<FONT
color=#008000 size=2><FONT
face="Times New Roman">;
<FONT
color=#008000 size=2><FONT
face="Times New Roman"><FONT face="MS Sans Serif"
size=2><FONT
face="Times New Roman">
<FONT face="MS Sans Serif" color=#000080
size=2>----
<FONT face="MS Sans Serif" color=#000080
size=2>or [all Wilders}
<FONT face="MS Sans Serif"
color=#000080>----
<FONT
face="Courier New">WilderLen = <FONT
color=#ff00ff>14;
GM_Vol2 = ATR(WilderLen) <SPAN
class=638120005-31032003>/ <FONT
color=#0000ff>Wilders((H+L/<FONT
color=#ff00ff>2),WilderLen)*100;
Plot(GM_Vol2, <FONT
color=#ff00ff>"a2",7<FONT
face="Courier New">);
Plot(MA(GM_Vol2,<FONT
color=#ff00ff>10), "ma2",<FONT
face="Courier New" color=#ff00ff>8<FONT
face="Courier New">);
---
<SPAN
class=638120005-31032003><SPAN
class=638120005-31032003><FONT
face="MS Sans Serif" color=#000080
size=2>Regards,
<FONT face="MS Sans Serif" color=#000080
size=2>Bob
<FONT face="MS Sans Serif" color=#000080
size=2>
<FONT face="MS Sans Serif" color=#000080
size=2>
<FONT face=Tahoma
size=2>-----Original Message-----From: GM
[mailto:gmellor@xxxxxxxxxxxxxxx]Sent: Sunday, March 30, 2003 8:17
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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