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Bob,
Thanks for noticing that.
I'll give that a try..
Cheers,
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> Hi gosub,
>
> ATR uses Wilders, which differs widely from EMA and MA. For apples-
to
> apples I'd make the num and denom consistent by replacing
> ---
> GM_Vol0 = MA(ATR(14),5) / MA((H+L/2),14)*100;
> Plot(GM_Vol0,"a0",3);
> Plot(MA(GM_Vol0,10), "ma0",4);
> ----
> by [all MAs}
> ---
> maLen = 14;
> GM_Vol1 = MA(ATR(1),maLen) / MA((H+L/2),maLen)*100;
> Plot(GM_Vol1, "a1",5);
> Plot(MA(GM_Vol1,10), "ma1",6);
> ----
> or [all Wilders}
> ----
> WilderLen = 14;
> GM_Vol2 = ATR(WilderLen) / Wilders((H+L/2),WilderLen)*100;
> Plot(GM_Vol2, "a2",7);
> Plot(MA(GM_Vol2,10), "ma2",8);
> ---
>
> Regards,
> Bob
>
>
> -----Original Message-----
> From: GM [mailto:gmellor@x...]
> Sent: Sunday, March 30, 2003 8:17 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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