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Dear Dr. Bhanja,
Thank you so much for your invaluable advice.
The gentleman's name is Wilder, not Wielder.
HHP
============
"Dr. R.BHANJA" wrote:
>
> HHP
> You have given the formula for ATR like
> ----- Original Message ----- The last line of the ATR (EMA) should
> > read:
> > Mov(TR, Pds, E).
> I doubt that TR (True Range) and ATR (Average True Range) are 2 diferent
> functions in Metastock. Taking an average of TR to find ATR may not be
> correct one. The true range is concerned with today's High & Low but ATR is
> concerned with both today and yesterday's price data.
> So if you don't want ATR to be computed as Wielder's method than use
> ATR = mov(ATR(1), Pds, E)
> Thanks
> Bhanja
>
> From: HHP <hhp@xxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Sunday, July 16, 2000 10:31 PM
> Subject: Re: atr
>
> > Dr. Bhanja,
> >
> > I don't think there is any one "best" method. The most straight-forward
> > way is to use the MetaStock built-in indicators. For custom programming
> > you should specify what you are using and be consistent.
> >
> > Wilder didn't use EMAs because that was not practical for manual
> > calculations in pre-computer times. I've given Wilder's smoothing
> > algorithm. There must be a mathematical connection between that and
> > EMAs because it is a fact that the Wilder algorithm can be replaced by
> > an EMA of twice Wilder's period minus one (e.g. Wilder's 10-period
> > smoothing corresponds to a 19 period EMA).
> >
> > Please note that you have replied to a message containing an error. I
> > followed it up with a correction. The last line of the ATR (EMA) should
> > read:
> > Mov(TR, Pds, E).
> >
> > HHP
> > ===================
> >
> > "Dr. R.BHANJA" wrote:
> > >
> > > In most of the averaging of indicators ( mainly developed by Wielder
> like
> > > DI+, DI-, ADX etc.), Equis uses Wilder's averaging method. Yes, the
> values
> > > from simple moving average method and Wielder's method differs a lot,
> mainly
> > > if the period of averaging is less. So what should be the best method to
> > > approach.
> > > Furher what about the exponential moving average. Wielder has never used
> > > exponential moving average in his book.
> > > BHANJA
> > > ----- Original Message -----
> > > From: HHP <hhp@xxxxxxxx>
> > > To: <metastock@xxxxxxxxxxxxx>
> > > Sent: Sunday, July 16, 2000 12:04 AM
> > > Subject: Re: atr
> > >
> > > > Here's the complete formula for ATR. Plot it and the MStk ATR (for
> the
> > > > same number of bars) in separate inner windows, then drag one onto the
> > > > other. They merge exactly except at the beginning of data due to
> > > > different initialising.
> > > >
> > > > =====================================
> > > > {ATR (Wilder)}
> > > >
> > > > Pds:= Input("ATR Periods?", 1,100,10);
> > > >
> > > > TR:= Max(H, Ref(C, -1)) - Min(L, Ref(C, -1));
> > > >
> > > > (Cum(1) <= Pds) * (Sum(TR, Pds) / Pds) +
> > > > (Cum(1) > Pds) * ((PREV * (Pds - 1) + TR) / Pds;
> > > > =====================================
> > > >
> > > > You can also use an EMA for double the number of periods minus one,
> > > > which will be almost an exact overlay (e.g. ATR (MStk) 10 periods, ATR
> > > > (EMA) 19 periods).
> > > >
> > > > =====================================
> > > > {ATR (EMA)}
> > > >
> > > > Pds:= Input("ATR Periods?", 1,100,19);
> > > > TR:= Max(H, Ref(C, -1)) - Min(L, Ref(C, -1));
> > > > Mov(TR,20,E);
> > > > =====================================
> > > >
> > > > HHP
> > > > ===========================
> > > > HHP wrote:
> > > > >
> > > > > Adam,
> > > > >
> > > > > Welles Wilder wrote the book on ATR as he did on almost all the
> other
> > > > > tried and true indicators, but that was in pre-computer days, so he
> used
> > > > > a smoothing method that was (relatively) simple to calculate by
> hand.
> > > > > See 'New Concepte in Technical Trading Systems' by J. Welles Wilder,
> > > > > 1978, Section 3 'Volatility', p.23.
> > > > >
> > > > > For an ATR(7) he would start by summing the True Range for the first
> 7
> > > > > days and divide by seven. For day 8 and all subsequent days he
> would
> > > > > take the previous day's value times six, add the current day's
> value,
> > > > > and divide by seven. (Prev * 6 + ATR(1)) / 7.
> > > > >
> > > > > I see no advantage in using ATR Classic. As long as we are
> consistent,
> > > > > and define what we are doing, we can use whatever we wish. I'm sure
> > > > > Welles Wilder would use a different method today.
> > > > >
> > > > > HHP
> > > > > ===================
> > > > >
> > > > > Adam Hefner wrote:
> > > > > >
> > > > > > Ian,
> > > > > > You are very correct!! After reading your mail, I decided to
> find
> > > > > > out what is going on.... below is the code I used:
> > > > > >
> > > > > > r1:=H-L;
> > > > > > r2:=H-Ref(C,-1);
> > > > > > r3:=Ref(C,-1)-L;
> > > > > > At:=If((r1>r2) AND (r1>r3),
> > > > > > {then}r1,
> > > > > > {else}If(r2>r3,
> > > > > > {then}r2,
> > > > > > {else}r3));
> > > > > > At;
> > > > > >
> > > > > > The value of "At" comes up with the exact value of ATR(1),
> indicating
> > > that
> > > > > > the "True Range" calculation that Equis uses is correct... so I
> have
> > > no Idea
> > > > > > what kind of averageing method Equis uses to plot there ATR!!!!
> I
> > > may
> > > > > > start using the MOV( ATR(1), 14, S ) after this discovery.
> > > > > > Thanks for sharing your findings!
> > > > > >
> > > > > > Adam Hefner
> > > > > >
> > > > > > ----- Original Message -----
> > > > > > From: "Ian Burgoyne" <iburgy@xxxxxxxxxxx>
> > > > > > To: <metastock@xxxxxxxxxxxxx>
> > > > > > Sent: Saturday, July 15, 2000 11:15 AM
> > > > > > Subject: Re: atr
> > > > > >
> > > > > > > Adam,
> > > > > > > I've come across this before with comparing the ATR to a moving
> > > average of
> > > > > > > the ATR and found them to give different values. See attached
> chart
> > > which
> > > > > > > gives an example.
> > > > > > > In the data window shown (in red type)the top value is
> > > mov(atr(1),10,e)
> > > > > > and
> > > > > > > the value underneath is mov(atr(1),10,s) and the bottom value is
> > > > > > > atr(10). I think the "average" in the ATR calculation is a
> different
> > > > > > method
> > > > > > > at least in comparison to an EMA and SMA.
> > > > > > >
> > > > > > > regards...Ian
> > > > > > >
> > > > > > >
> > > > > > > >From: "Adam Hefner" <vonhef@xxxxxxxxxxxx>
> > > > > > > >Reply-To: metastock@xxxxxxxxxxxxx
> > > > > > > >To: <metastock@xxxxxxxxxxxxx>
> > > > > > > >Subject: Re: atr
> > > > > > > >Date: Fri, 14 Jul 2000 08:00:57 -0500
> > > > > > > >
> > > > > > > >Al,
> > > > > > > > If you used a ATR(1) and then plotted a 10 day simple
> moving
> > > average
> > > > > > > >of this ATR(1)..... it should calculate the same value as an
> > > ATR(10).
> > > > > > > >Now if you needed an "Exponential ATR" you could plot a 10
> > > exponential
> > > > > > > >moving average of ATR(1).
> > > > > > > > I believe this is what the previous ( Mike) e-mail was
> trying
> > > to
> > > > > > show.
> > > > > > > >
> > > > > > > > Adam
> > > > > > > >
> > > > > > > >
> > > > > > > >----- Original Message -----
> > > > > > > >From: "Al Taglavore" <altag@xxxxxxxxxx>
> > > > > > > >To: <metastock@xxxxxxxxxxxxx>
> > > > > > > >Sent: Friday, July 14, 2000 3:10 AM
> > > > > > > >Subject: Re: atr
> > > > > > > >
> > > > > > > >
> > > > > > > > > ATR(1) would simply be the true range for one day. I fail
> to
> > > see the
> > > > > > > >value
> > > > > > > > > of taking an "n" day moving average of one day. I am
> looking
> > > for the
> > > > > > > > > average true range of price over "x" period of days....what
> is
> > > the
> > > > > > > >average
> > > > > > > > > price movement for the past 10, 50 day period. If, as is
> the
> > > case for
> > > > > > > >WMT,
> > > > > > > > > the 10 day ATR is 2 2/16, and the 50 day ATR is 2 7/16,
> after
> > > price
> > > > > > > >has
> > > > > > > > > moved, during the trading day, 2 points, I would anticipate
> > > little
> > > > > > > >reward
> > > > > > > > > to buy the stock as I could only presume a futhur movement
> of
> > > 2-7
> > > > > > > > > sixteenths. If however, the stock fell 2 1/2 points, I have
> a
> > > low
> > > > > > risk
> > > > > > > > > entry point for a countertrend trade. If I owned the stock
> from
> > > a
> > > > > > lower
> > > > > > > > > price point, after the 10/50 day ATR is reached I have a
> good
> > > exit
> > > > > > point
> > > > > > > > > for my day trade.
> > > > > > > > >
> > > > > > > > > Al Taglavore
> > > > > > > > >
> > > > > > > > > ----------
> > > > > > > > > > From: Bob Jagow <bjagow@xxxxxxx>
> > > > > > > > > > To: metastock@xxxxxxxxxxxxx
> > > > > > > > > > Subject: RE: atr
> > > > > > > > > > Date: Thursday, July 13, 2000 8:28 PM
> > > > > > > > > >
> > > > > > > > > > Right. The Equis ATR(period) matches Wilder's original
> version
> > > and
> > > > > > the
> > > > > > > >TR
> > > > > > > > > > isn't a builtin.
> > > > > > > > > > ATR(1) is actually the TR so taking its ma will give SMA
> or
> > > EMA
> > > > > > > > > versions
> > > > > > > > > > of ATR -- Chande uses the SMA for stops.
> > > > > > > > > >
> > > > > > > > > > Bob
> > > > > > > > > >
> > > > > > > > > > -----Original Message-----
> > > > > > > > > > From: owner-metastock@xxxxxxxxxxxxx
> > > > > > > > > > [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Mike
> > > Campbell
> > > > > > > > > > Sent: Thursday, July 13, 2000 2:18 PM
> > > > > > > > > > To: metastock@xxxxxxxxxxxxx
> > > > > > > > > > Subject: Re: atr
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > Al Taglavore writes:
> > > > > > > > > >
> > > > > > > > > > > Neither. As Welles Wilder developed it, a moving
> average
> > > was not
> > > > > > > >used.
> > > > > > > > > > > MetaStock has it programmed. Simply pull up the
> indicator
> > > and
> > > > > > type
> > > > > > > >in
> > > > > > > > > the
> > > > > > > > > > > number of days. Today's ATR is the distance from
> today's
> > > low to
> > > > > > > > > today's
> > > > > > > > > > > high OR from yesterdays close to today's
> high.....whichever
> > > is
> > > > > > > >greater.
> > > > > > > > > > > This accounts for any gaps from the previous close to
> the
> > > low of
> > > > > > the
> > > > > > > > > > > current day.
> > > > > > > > > >
> > > > > > > > > > I believe you are mistaken there. What you described is
> the
> > > "true
> > > > > > > > > > range" calcuation. ATR is some moving average of THOSE
> > > values.
> > > > > > > > > >
> > > > > > > > > > Otherwise, what would the "number of days" have to do with
> it?
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > > >
> > > ________________________________________________________________________
> > > > > > > Get Your Private, Free E-mail from MSN Hotmail at
> > > http://www.hotmail.com
> > > > > > >
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