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Hi,
I'm trying to write my own ATR to work exactly like AmiBroker ATR (for further implementation of weights). I attempted to apply formula from here , unfortunately it returns different results and performs worse than AmiBroker implementation in BackTester. Could you help me with that ? This is what I have so far:
amiATR=ATR(3);
myATR = (
Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),0) +
Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),-1) +
Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),-2)
) / 3;
Plot(amiATR,"AmiBroker ATR",colorBlack);
Plot(myATR ,"my ATR",colorRed)
Regards,
Tomek
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