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There appears to be a basic problem with the definition of True Range (TR)
which is used in calculating ATR in RT daytrading. I believe the basic
definition of TR is:
The greatest difference of the following:
1) Distance from current bar's high to current bar's low
2) Distance from last bar's close to current bar's low, or
3) Distance from last bar's close to current bar's high
The problem results when moving from yesterday's last bar close to today's
open bar low or high. If there is a large gap up or down from yesterday, it
distorts TR. It appears that the distance from yesterday's close to today's
high or low should be excluded.
Does anyone else see the problem here? How would the formula be re-written
In MetaStock language to exclude #2 & #3 from yesterday's last bar to
today's first bar?
neo
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