[Metastockusers] ATR Intraday

["Yarroll" <komin@xxxxxxxxxxxxxx>]

Hello List,

I seem to have slapped together the following 1-day (EOD) ATR for intraday
use.

MktStart:=DayOfWeek()<>Ref(DayOfWeek(),-1);
yestHi:= Ref(HighestSince(1,MktStart,H),-1);
yestLo:= Ref(LowestSince(1,MktStart,L),-1);
yesH:=ValueWhen(1,MktStart,yestHi);
yesL:=ValueWhen(1,MktStart,yestLo);
yesC:=ValueWhen(2,DayOfWeek()<>Ref(DayOfWeek(),-1),Ref(C,-1));

IntATR=If((yesH-yesL)>Abs(yesC-yesH)) AND ((yesH-yesL)>Abs(yesC-yesL)),
            (yesH-yesL),
            If(   Abs(yesC-yesH)>Abs(yesC-yesL),
                  Abs(yesC-yesH),
                  Abs(yesC-yesL)
)
);
IntATR


Any idea how to make it simpler? It seems to take ages trying to test this
on 1-minute data :-((
Also, any idea how to elegantly obtain multi-period ATR, eg. ATR(7).
All I can think of is tremendous formulas with extensive use of PREV,
Valuewhen etc.

Thanks, all the best

Yarroll
***
http://republika.pl/yarroll999/




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