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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?
> > >
> >
>
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