RE: Built in ATR indicator vs. custom ATR

["Bob Jagow" <bjagow@xxxxxxx>]

Martin,
A friend showed that TrueRange required no comparisons; the algorithm in
MS'ese is

TR = (H - L +  Abs(H - Ref(C,-1)) + Abs(L - Ref(C,-1)) )/2


Regards,
Bob

bjagow@xxxxxxx <mailto:bjagow@xxxxxxx>


-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Martin Haesler
Sent: Thursday, May 27, 1999 6:59 AM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Built in ATR indicator vs. custom ATR


Bob

Thank you for enlightening me on the Wilder's smoothing of the ATR.

I too had pondered this question in that my ATR plost would agree perfectly
for the period of 1 but as soon as I increased the period, I would get
different results, and now way could I figure out what smoothing was being
used.

I have now modified my ATR indicator to comply with the Wilder's smoothing
and get the identical plot.

My formula using the ABS and MAX functions is attached for interest. I don't
know whther these functions are more efficient than the IF function.
Obviously both achieve the sme result.

ATR (mine)
prd1:=input("enter ATR period",1,9999,7);
prd2:=(prd1*2)-1;
{max (absolute) of yesterday's close to today's high or today's low}
myatr1:=Max(Abs(Ref(C,-1)-H),Abs(Ref(C,-1)-L));
{max of yesterday's close to today's high or today's low or today's range}
myatr2:=Max(myatr1,H-L);
Regards ... Martin



Bob Jagow wrote:

> Sounds like you have a mailreader problem, Chris.
> the < and > were  there.
>   As I  posted privately to Yngvi,
> Wilders(TR,periods)is just
> Mov(TR,2*periods-1,E)
>
> Bob
>
> bjagow@xxxxxxx <mailto:bjagow@xxxxxxx>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Christian Baude
> Sent: Wednesday, May 26, 1999 6:17 PM
> To: metastock@xxxxxxxxxxxxx
> Cc: Equis Support
> Subject: Re: Built in ATR indicator vs. custom ATR
>
> On Wed, 26 May 1999 09:15:48 -0600, Equis Support wrote:
>
> >The actual ATR does not use a simple moving average. Welles Wilder uses
> >his own smoothing (a modified exponential average) which is the function
> >"Wilders" in MetaStock. Try you formula this way:
> >
> >periods:=Input("ATR Periods?",1,100,10);
> >TH:=If(Ref(C,-1)  H,Ref(C,-1),H);
> >TL:=If(Ref(C,-1)  L,Ref(C,-1),L);
> >TR:=TH-TL;
> >Wilders(TR,periods)
>
> Yngvi Hardarson [mailto:hardy@xxxxxxxxxxxxx] wrote:
>
> >ATR custom indicator:
> >periods:=Input("ATR Periods?",1,100,10);
> >TH:=If(Ref(C,-1) >  H,Ref(C,-1),H);
> >TL:=If(Ref(C,-1) < L,Ref(C,-1),L);
> >TR:=TH-TL;
> >Mov(TR,periods,S)
>
> Did Equis' OLR digest the [Greater than] and [Less than] symbols?
>
> -= Chris ß =-
> Using MetaStock/FastTrack/FastRUBE/FastTools/EZPnF/TC2000