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Kind of agree with the logic here... Basically, what you're saying is that
when looking at data intraday, don't look at the gaps between the days
because that is not *the same timeframe*. If you are motivated enough to
code this, please let us know what the difference is when drawn as an
indicator. Of course, very much depends on the length used for ATR
calculation. If it's a large number, not taking into account the gap
between days might not have much impact. But then again, when using ATR in
stops or entries, when the length is not very large, and when there are
considerable gaps between days, the results can be quite different. And
then, this different logic should probably be applied only when you do not
keep your positions overnight.
Ivo
> -----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
>
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