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Bill
ATR stands for Average True Range and represents the average range, i.e.
approximately average High-Low over a specified period of time. However the
True Range is defined to be the greatest of the following for each period:
The distance from today's high to today's low.
The distance from yesterday's close to today's high.
The distance from yesterday's close to today's low.
The indicator is included in MetaStock.
Best regards,
Yngvi
>
>I must have deleted the original post to this thread. Would anyone mind
>filling me in what ATR stands for. I find the discussion fascinating, but I
>just can't think what ATR means. Also, is it a canned MS indicator or a
>"build your own"?
>
>Many thanks,
>
>Bill N.
>Milwaukee, WI USA
>****************************************************************************
>************************
>
>-----Original Message-----
>From: Yngvi Hardarson <hardy@xxxxxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Wednesday, September 02, 1998 04:33 PM
>Subject: Re: Exit strategies
>
>
>>Al!
>>
>>That's simply:
>>
>>ATR(3) - ATR (10)
>>
>>Naturally low values of this oscillator precede big price changes in a
>>similar fashion as low volatility measured by standard deviation or narrow
>>Bollinger bands does. However the direction of the breakout from these
>>narrow ranges can be hard to foresee. Mostly in the direction of the trend
>>I assume.
>>
>>Since I know you trade currencies you can check this out on the DMark, the
>>Swiss frank or the Japanese yen. Using an ATR oscillator I guess that one
>>is not making the same assumptions regarding the probability distributions
>>as are implicit when using the standard deviation of a percent change.
>>
>>You will see that the same seems to apply more generally, e.g. stock
>>indices, etc. The number of time periods most effective for measuring the
>>"relative quiteness" of markets probably differs.
>>
>>Best regards,
>>Yngvi
>>
>>At 12:37 PM 02-09-98 -0500, you wrote:
>>>On daily charts, I use a 10 period ATR and a 3 period ATR. If I knew
>>>enough about formulas, I would set an oscillator to chart the difference
>>>and, test if this precedes change. On weekly charts, I use a 4 period ATR
>>>and a 1 period ATR. If you will set this up, you will see how, with few
>>>exceptions, the 4/weekly and 10/daily ATR's are constant enough to be
>>>valuable in anticipating when the move is over and how far it will go.
>>
>
>
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