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Hi Jose
> Whilst coding the True/Reverse ATR indicator below, I've noticed that
> MetaStock Pro v8.01 smooths ATR's erroneously. The MS exponential
> smoothing is based on periods*2-1.
The "periods*2-1" ratio is that used by Wilders Smoothing, the form of exponential moving average
used in a number of indicators developed by Wilder.
See the following code for similarities and differences. Notice that Wilders Smoothing is seeded by
a Simple Moving Average for "n" periods while the EMA is seeded on bar one by the value of the data
array being smoothed. The EMA code below does not have any N/A plot (this can be created easily
enough) but it is still true to the standard MetaStock EMA.
Since Wilder iss the author of the "Average True Range" indicator I would think that Wilders
Smoothing is the intended form of smoothing. Of course I could be wrong as you have seen more than
once in the past.
{Exponential Moving Average}
n:=Input("Periods",1,999,10);
R:=2/(n+1); {ratio of new data added each bar}
If(Cum(1)=1,C,PREV*(1-R)+C*R);
{Wilders Smoothing}
n:=Input("Periods",1,999,10);
R:=1/n; {ratio of new data added each bar}
If(Cum(1)<=n,Mov(C,n,S),PREV*(1-R)+C*R);
Roy
> For example, MetaStock's ATR(10) is the same as Mov(ATR(1),19,E).
> If I've missed something here, I'd appreciate it if someone would
> please correct me.
>
> ====================
> ATR - True & Reverse
> ====================
> ---8<---------------
>
> { True ATR and Reverse-ATR v1.0 }
> { ©Copyright 2004 Jose Silva }
> { josesilva22@xxxxxxxxx }
>
> { Reverse True Range is the the *smallest*
> of the following for each period:
> * The distance from today's High
> to today's Low;
> * The distance from yesterday's Close
> to today's High;
> * The distance from yesterday's Close
> to today's Low.}
>
> plot:=Input("[1]true ATR, [2]MS-compatible ATR, [3]Reverse ATR",1,3,1)
> ;
> pds:=Input("ATR/RATR periods",1,252,10);
> pdsN:=Input("normalizing periods (1=none)",
> 1,2520,1);
>
> x1:=ValueWhen(2,1,C);
> ATR1:=Max(H-L,Max(Abs(x1-H),Abs(x1-L)));
> ATRtrue:=Mov(ATR1,pds,E);
> ATRmeta:=Mov(ATR1,pds*2-1,E);
> rATR:=
> Mov(Min(H-L,Min(Abs(x1-H),Abs(x1-L))),pds,E);
> TR:=If(plot=1,ATRtrue,If(plot=2,ATRmeta,rATR));
> ATRnorm:=(TR-LLV(TR,pdsN))
> /(HHV(TR,pdsN)-LLV(TR,pdsN)+.000001)*100;
> ATRplot:=If(pdsN<2,TR,ATRnorm);
>
> ATRplot
>
> ---8<---------------
>
>
> jose '-)
>
>
>
>
>
> Yahoo! Groups Links
>
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>
>
>
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