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A don't have a specific method I know works with the ATR, but I can
give you some background that may help you figure it out before I do:
ASI comes with two inputs that can be used "out of the box" They are
both Ehlers cycle periods measurements also found in ADSI.
Here is how you would use one of them:
periods := ExtFml("ASI.CyclePeriod" C, .18. .1, 1.1);
ExtFml("ASI.ATR", periods);
In all three of Ehlers' books, he has a chapter on making indicators
adaptive. In particular, the use of the cycle period as input into
some indicators varies. Some indicators perform "optimally" when half
of the cycle period is uses as input, such as the RSI and Stochastic.
This is because exactly a half of a cycle will theoretically contain
one entire range (that is, get a maximum LLV or HHV) of the cycle-like
input. Others like averages and bands will typically use the entire
cycle length. Unfortunately, I am not that familiar with the Use of
the ATR(), so I am afraid to give an answer on that, I will try to
look into it though.
You can refer to Ehlers' books for more info. We also hope to have a
FREE article up on the site soon that goes into more detail on this
topic.
The second answer is:
You can use any input you want. For example, there are many other
methods of measuring a cycle that exist other than Ehlers'. A
volatility-based adjustment is also popular. Then there are
possiblities of other methods still. We are leary to present an
example for this right away, because we are encouraging people to
develop their own techniques with it, but I will put an example up on
our examples page of how you may go about making a simple volatility
adjustment. The way you adjust the length up or down may depend on
the intended use of the end indicator. We hope to get some good
feedback from our users on what techniques they like, and share them
on the site. I am hoping this model works well for everyone, since
some like developing things, and other like trying out stuff that's
already been tried by someone.
--- In Metastockusers@xxxxxxxxxxxxxxx, "metastkuser"
<andysmith_999@xxxx> wrote:
> Brad -- thanks for your reply. I guess I am unclear as to what I would
> replace the 14 with.
>
> Say I use ATR(10) most of the time. In a particularly quiet market, it
> might make sense to use ATR(20) since ATR(10) will produce an
> uncharacteristically small number. So, I am "manually" adjusting the
> lookback of the ATR to account for market personality.
>
> With your product, what are the possible inputs besides 10, 14, 20,
> etc., that I might feed to the ATR calculation?
>
> Thanks.
>
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "bradulrich33"
> <bradulrich@xxxx> wrote:
> > I can give it a shot:
> >
> > The current ATR take a period input that can only be a constant, such
> > as ATR(14). The new ATR will accept an ARRAY as input.
> >
> > Here is a description of the classic Wilder's ATR:
> >
> > http://stockcharts.com/education/IndicatorAnalysis/indic_ATR.html
> >
> > The ATR relies on Wilder's smoothing method. This smoothing method
> > is very much like that of an Exponential Moving Average, because it
> > uses the Previous value to calculate the current value.
> >
> > [ A side note, and some food for thought: In signal processing, this
> > is called an Infinite Impulse Response (IIR) filter, because even the
> > very first value in the array has an effect of the very last value in
> > the array, albeit, as very small effect. ]
> >
> > In the example link above, they use a constant 14 periods. Our
> > indicator uses the exact same calcuations, except it will replace the
> > 14 with whatever input you give for that particular bar.
> >
> > Does this answer your question?
> >
> > Thanks,
> >
> > Brad Ulrich
> > The DML, LLC
> > www.thedml.com
> >
> >
> >
> > --- In Metastockusers@xxxxxxxxxxxxxxx, "metastkuser"
> > <andysmith_999@xxxx> wrote:
> > > Brad,
> > > I saw under the ASI product page that you will be introducing an
> > > adaptive Average True Range soon. Can you give a little more
> > > information on that?
> > > Thanks!
> > >
> > >
> > >
> > > --- In Metastockusers@xxxxxxxxxxxxxxx, "bradulrich33"
> > > <bradulrich@xxxx> wrote:
> > > > Hello,
> > > >
> > > > My name is Brad Ulrich. I am the head developer for a new
> > company
> > > > called the Dynamic Market Lab, LLC ( www.thedml.com ). Our
> > company
> > > > offers two new sets of indicators for Metastock.
> > > >
> > > > The first is Adaptive Standard Indicators (ASI) - these 33
> > indicators
> > > > are versions of traditional indicators (Mov, RSI, HHV, CCI, Ref,
> > Sum,
> > > > etc.) that accept an ARRAY for the periods input instead of a
> > > > CONSTANT. This of course, is a major improvement to the
> > indicators,
> > > > and the Metastock formula language as a whole.
> > > >
> > > > The second is Adaptive Digital Signal Indicators (ADSI) - these
> > 34
> > > > indicators encompass the majority of John Ehlers' work, including
> > > > indicators like Signal-to-Noise, Hilbert Transform, various Cycle
> > > > Period measurements, the Fisher Transform, the Laguerre Transform,
> > > > etc. These indicators make John Ehlers' stuff easy-to-use, but
> > also
> > > > extendable.
> > > >
> > > > These are professional tools and are designed specifically to be
> > used
> > > > in the most demanding real-time environments. They are lightning
> > > > fast because they are programmed as C++ DLLs, and are accessed
> > via the
> > > > ExtFml() function in Metastock.
> > > >
> > > > They are very powerful, but also very easy to use.
> > > >
> > > > Best of all, we are CURRENTLY OFFERING A FREE TWO-MONTH TRIAL
> > VERSION
> > > > that can be downloaded at www.thdml.com/trials.
> > > >
> > > >
> > > > There total benefits are too many to list here, so please visit
> > our
> > > > site for more details.
> > > >
> > > >
> > > >
> > > > Thanks,
> > > >
> > > > Brad Ulrich
> > > > Developer
> > > > The Dynamic Market Lab, LLC
> > > > www.thedml.com
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