ATR Definition - Basic Problem for RT Daytrading

["neo" <neo1@xxxxxxxxx>]

Hi Bob

ATR works great for EOD. It does get distorted by interday gaps in real
time. The terms and formula I posted eliminate this problem for the first
bar of the day.

neo


-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Bob Jagow
Sent: Wednesday, April 18, 2001 2:43 AM
To: metastock@xxxxxxxxxxxxx
Subject: RE: Attn: Chuck: ATR Definition - Basic Problem for RT
Daytrading


True re abs, sorry :(

I don't understand what you mean by "the first bar of the day should not be
based on TR but on range only".
Wilder invented ATR to capture the interday gap; use it to measure interday
volatility and stick to average range for day trading.


Bob

> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of neo
> Sent: Tuesday, April 17, 2001 8:09 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: Attn: Chuck: ATR Definition - Basic Problem for RT
> Daytrading
>
>
> "No problem with TR, neo.
> Excluding #2 &#3 gives the range [abs(H-L)]"
>
> Bob
>
> What I am saying is that TR is distorted in real time by gaps from the
> previous day. What I am suggesting is that in RT, the first bar of the day
> should not be based on TR but on range only. No need for the abs function
> when subtracting the L from the H as it will always be positive.
>
> neo
>
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Bob Jagow
> Sent: Tuesday, April 17, 2001 7:41 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: Attn: Chuck: ATR Definition - Basic Problem for RT
> Daytrading
>
>
> 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
> >
>
>