OBTR

[JH McLean <malton@xxxxxxxxxxxxxxxx>]

In reference to Saturday 23 August 1997 posting of OBTR formula by Tim Kruzel

The On Balance True Range formula sent in:

Cum(If(C > Ref(C,-1),1,-1) * 
   (If(Ref(C,-1) < L,
       {Then} (H - Ref(C,-1)),
       {Else}
        If(Ref(C,-1) > H,
           {Then} (Ref(C,-1) - L),
           {Else} (H - L)
          ))))

To my way of thinking disregards the possibility  of consecutive equal closes which does distort the indicator considerably in a flat market.
This may be done on purpose as I do not know the indicator or its use. (I would appreciate any information on its use - it looks quite interesting.)

To overcome the equal close problem the following modification looks appropriate:

Cum(If(C > Ref(C,-1),1,If(C < Ref(C,-1),-1,0))*
 (If(Ref(C,-1) < L,
   {Then} (H - Ref(C,-1)),
   {Else} If(Ref(C,-1) > H,
          {Then} (Ref(C,-1) - L),
          {Else} (H - L)
          ))))

Also, in my humble opinion, the On Balance Volume formula as shown in the MS help files:

 (if(c > ref(c,-1),1,-1) * volume) + PREV

Has the same problem (this formula does not mirror the built in indicator)

If modified as :

(If(C > Ref(C,-1),1,If(C < Ref(C,-1),-1,0)) * VOLUME) + PREV

Does mirror the built in indicator.


Any comments Equis?



Best of luck, James