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I apologise for the proliferation of messages. I need to correct the
ATR (EMA) which should read:
=====================================
{ATR (EMA)}
Pds:= Input("ATR Periods?", 1,100,19);
TR:= Max(H, Ref(C, -1)) - Min(L, Ref(C, -1));
Mov(TR,Pds,E);
=====================================
HHP
=================
HHP wrote:
>
> 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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