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Re: atr



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The N-day averaging used by Equis on ATR is exponential averaging.
The percentage factor used, however, is 1/N and not the usual 2/(N+1).

The first term of the averaged ATR is a simple average of the first N single day
ATR values. The following terms are then calculated as:

aveATRi = ATRi / N  + ( 1-1/N ) * aveATRi-1

This makes the N-day average ATR behave like a 2N-1 day exponential average.

Hope this helps.

A.


Guy Tann wrote:

> That will save me a few lines of code.
>
> Guy
>
> Paranoia...you only have to be right once to make it all worthwhile!
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
> Behalf Of Peter E. Gialames
> Sent: Friday, July 14, 2000 8:46 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: atr
>
> True Range can also be calculated by:
>
> TR = max(high,ref(close,-1)) - min(low,ref(close,-1))
>
> FWIW
>
> Peter Gialames
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Adam Hefner
> Sent: Friday, July 14, 2000 10:24 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: atr
>
> 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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