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<FONT face=Arial color=#0000ff
size=2>Dan,
I
didn't see a reply so will volunteer.
I
don't understand why you did ATR from scratch <SPAN
class=968062616-23022004> instead of
using the built-in.
<FONT face=Arial color=#0000ff
size=2> The built-in ATR(period) uses Wilder smoothing; If that doesn't
match TS, try MA(ATR(1), period) or EMA(ATR(1), period).
<FONT face=Arial color=#0000ff
size=2>Bob
<SPAN
class=968062616-23022004><FONT face=Arial
color=#0000ff>
<SPAN
class=968062616-23022004> -----Original Message-----From:
Dan [mailto:amarones@xxxxxxx]Sent: Sunday, February 22, 2004 10:54
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Tradestation Keltner Channel and ATR
Does anyone in the group have expertise in
Tradestation and EasyLanguage as well as AFL?
I am trying to duplicate the Tradestation Keltner
channel in Amibroker and have had no success so far. The Keltner Channel in
the formula library does not duplicate the Tradestation Keltner Channel. I
have written custom indicators for Amibroker based on the Tradestation webpage
definition and explanation of the Keltner Channel and Average True Range. I
suspect that Tradestation uses a SMA method to smooth the ATR unlike the
Amibroker version.
These are the parameters from the Tradestation
website for the Keltner Channel:
Input Information
Name
Expression
Default
Description
Price
<A
href="'numeric_expression.htm');">Numeric
Close
Price used to calculate the midline.
Length
Numeric
20
Length used to calculate the midline.
Factor
Numeric
1.5
Factor applied to the average true range used to determine the
Keltner Channel bands.
Displace
Numeric
0
The number of bars to displace the plot of the Keltner Channel
bands.
The midline is the key. I assumed it's
default is a 20 period sma of the ATR.
Their parameters for the ATR are:
In his book, New Concepts in Technical
Trading Systems, Welles Wilder, Jr. uses a value known as true range in
his directional movement calculations. He defines true range as the larger of
the following:
<FONT
>·<SPAN
> The
distance between today's <FONT
>High and today's <FONT
>Low.
<FONT
>·<SPAN
> The
distance between today's <FONT
>High and yesterday's
Close.
<FONT
>·<SPAN
> The
distance between today's <FONT
>Low and yesterday's
Close.
AvgTrueRange
is simply an average of the True Range values over a period of time. For more
information, see <A
href="">TrueRange.
Function
<FONT
>AvgTrueRange(Length)
Parameters
Length
Number of bars in the average.
Returns
A numeric value containing the average of the true range over <FONT
>Length bars.
Usage
The <FONT
>AvgTrueRange tends to
smooth out price bars of higher or lower than average volatility.
With this in mind I wrote the following indicator to add to the price
window in Amibroker using my inputs of 8 periods and a 1.3 factor(which
doesn't duplicate the Tradestation result using those same inputs): <FONT
size=1>
RangeH=<FONT
color=#0000ff>IIf(((H+L)/<FONT
color=#ff00ff>2)>((H+<FONT
color=#0000ff>Ref(C,-1))/<FONT
color=#ff00ff>2),(H+L)/<FONT
color=#ff00ff>2,(H+<FONT
color=#0000ff>Ref(C,-1))/<FONT
color=#ff00ff>2);
Range=IIf(RangeH>(L+<FONT
color=#0000ff>Ref(C,-1))/<FONT
color=#ff00ff>2,RangeH,(L+<FONT
color=#0000ff>Ref(C,-1))/<FONT
color=#ff00ff>2);
TruHi=IIf(H><FONT
color=#0000ff>Ref(C,-<FONT
color=#ff00ff>1),H,<FONT
color=#0000ff>Ref(C,-1));
TruLo=IIf(L<<FONT
color=#0000ff>Ref(C,-<FONT
color=#ff00ff>1),L,<FONT
color=#0000ff>Ref(C,-1));
AvTR=MA(C,<FONT
color=#ff00ff>8);
MABand=(MA((TruHi-TruLo),<FONT
color=#ff00ff>8)*1.3);
UBand=AvTR+MABand;
LBand=AvTR-MABand;
Plot(AvTR,"AvTR",<FONT
color=#ff00ff>1,1);
Plot(UBand,"UBand",<FONT
color=#ff00ff>1,1);
Plot(LBand,"LBand",<FONT
color=#ff00ff>1,1);
I don't own Tradestation, so their website is the
only resource I have for them.
If anyone has any insight to my problem I would
greatly appreciate any help.
DanSend BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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