----- Original Message -----
Sent: Friday, April 28, 2006 7:09
PM
Subject: Re: [amibroker] Re: ATR on
Closes only?
Hello,
That is fairly easy to find out.
True range is the greatest of the
following:
- The current high less the current low.
- The absolute value of: current high less the previous close.
- The absolute value of: current low less the previous close.
When O == H == L == C this you can replace
high/low/open in the sentence above with close and you get:
greatest from:
The current close less the current close ( == ZERO )
The absolute value of: current close less the previous close. (= Abs(
C - Ref( C, -1 ) );
The absolute value of: current close less the previous close. ( the
same as above )
So the greatest of this three is simply
Abs( C - Ref( C, -1 ) )
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Saturday, April 29, 2006 12:22
AM
Subject: Re: [amibroker] Re: ATR on
Closes only?
Tomaz, but how does AB calculate
TR when O,H,L,C are all recognized as C with mutual funds within AB?
Thanks,
Erik Skyba
----- Original Message -----
Sent: Thursday, April 27, 2006 2:04
PM
Subject: Re: [amibroker] Re: ATR on
Closes only?
Hello,
Your question is answered in the help file:
(see 2nd comment).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, April 27, 2006 7:30
PM
Subject: [amibroker] Re: ATR on
Closes only?
Thanks Tim-
That doesn't quite do it. The problem is I
am using ATR() with
mutual funds, and am now applying the same model
to indexes. The
indexes have H,L data which the mutual funds do not.
I am getting
wildly different results (100's of trades versus 10's)
with the
indexes versus the funds.
Anyone know how AB
calculates ATR? In looking at the original
formula from Wilder,
there are a few ways of going about it. I would
like to be able to
duplicate AB's ATR function while only
referrencing "Close" in the
calculation.
-eric.
--- In amibroker@xxxxxxxxxxxxxxx, Tim
Gadd <timgadd@xxx> wrote:
>
> Eric,
>
>
If i understand your question, wouldn't
>
> abs(MA(Roc(c,
1), x));
>
> give you the average range between bar-to-bar
closing
> prices (regardless of up or down) for period x?
>
> Tim
>
> --- ericleake <eleake@xxx>
wrote:
>
> > Can anyone think of a way to use the ATR
function on
> > just the Close
> > array, instead of
examining H and L ?
> >
> > Thanks!
> >
-Eric
> >
> >
> >
> >
>
>
>
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