RE: Attn: Chuck: ATR Definition - Basic Problem for RT Daytrading

["Bob Jagow" <bjagow@xxxxxxxx>]

No problem with TR, neo.
Excluding #2 &#3 gives the range [abs(H-L)]


> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of neo
> Sent: Tuesday, April 17, 2001 2:14 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: Attn: Chuck: ATR Definition - Basic Problem for RT Daytrading
>
>
> 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
>