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Hi Bob
Yep ... Page 82 of the OT systems book. This was part of the system that OT
sold as an insert into MetaStock.
Anyway ... here are three more definitions of True Range
Kaufman refers to Wilder's DM or Directional Movement as True Range, i.e.
the larger of
1) H today - L today
2) H today - L yesterday
3) C yesterday - L today
>From the Metastock Custom formula collection: The Volatility Index (VI) is
described by Wilder as:
VI Today = (13 * VI Prev + TR1) / 14 *where TR1 is today's true range.
He defines the true range as the greatest of the following:
The distance from today's high to today's low
The distance from yesterday's close to today's high, or
The distance from yesterday's close to today's low.
Schwager's True Range = True High less True Low
True High = max of H today and the previous days C (whichever is greater)
True Low = min of L today and previous days C
(whichever is less)
Best regards
Walter
----- Original Message -----
From: Bob Jagow <bjagow@xxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, June 15, 1999 12:03 PM
Subject: RE: Volatility bands on Osc's
> TR isn't based on the open, Walter.
> Did OT publish that? No wonder it makes such amazing calls :o)
>
> bjagow@xxxxxxx <mailto:bjagow@xxxxxxx>
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
> Sent: Tuesday, June 15, 1999 7:33 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Volatility bands on Osc's
>
>
> Adam, Lenny, Laurent, et all
>
> Here's the code for the Omni Trader Volatility Breakout System. It has
True
> Range separated from the Average.
>
> "... the following calculations are made to arrive at the Volatility
Bands:
>
> If
> P = Periods used
> Range = Breakout Percentage (that is, 150 = 150%)
> Then
> R1 = ABS(O today -C today)
> R2 = ABS(O today - C yesterday)
> TR = Greater of R1, R2 {True Range calculation)
> AVGTR = Average of TR of P periods
>
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