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Steve,
I believe this is what you want.
{Average True Range - Welles Wilder}
{Written by Ton Maas-981225-Amsterdam-the Netherlands}
{Found at EquisMetastock YahooGroups}
{Formula:}
PDS:=Input("Lookback Periods",1,999,10);
TR1:=Abs(H-L);
TR2:=Abs(Ref(C,-1)-H);
TR3:=Abs(Ref(C,-1)-L);
MX1:=Max(TR1,TR2);
MX2:=Max(TR1,TR3);
MX3:=Max(TR2,TR3);
MXTRS:=If(MX1>MX2,
If(MX1>MX3,MX1,
If(MX2>MX3,MX2,MX3)),MX2);
WATR:=Wilders(MXTRS,pds);
WATR;
Wilders smoothing is actually nothing more than a shortened lookback
period version of an exponential moving average. Like this:
Mov(Data,pds*2-1,E)
Hope this helps,
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, steve rath <steve_rath11@xxx>
wrote:
>
> Hi All,
>
> I tried to construct the original wileder's ATR.
>
> periods:=Input( "ATR Periods?",1, 200,200);
> TH:=If(Ref(C, -1) > H,Ref(C,-1), H);
> TL:=If(Ref(C, -1) < L,Ref(C,-1), L);
> TR:=TH-TL;
> Wilders(TR,periods)
>
> this is the original quote from stock charts "
>
> ============ ========= ========= ========= ========= ======
>
> The current High less the current Low.
>
> The absolute value of the current High less the previous
Close.
>
> The absolute value of the current Low less the previous Close.
>
> If the current high-low range is large, chances are it will be
used as the True Range. If the current high-low range is small, it
is likely that one of the other two methods would be used to
calculate the True Range. The last two possibilities usually arise
when the previous close is greater than the current high (signaling
a potential gap down or limit move) or the previous close is lower
than the current low (signaling a potential gap up or limit move).
To ensure positive numbers, absolute values were applied to
differences.
>
> Typically, the Average True Range (ATR) is based on 14 periods
and can be calculated on an intraday, daily, weekly or monthly
basis. For this example, the ATR will be based on daily data.
Because there must be a beginning, the first TR value in a series is
simply the High minus the Low, and the first 14-day ATR is the
average of the daily ATR values for the last 14 days. After that,
Wilder sought to smooth the data set, by incorporating the previous
period's ATR value. The second and subsequent 14-day ATR value would
be calculated with the following steps:
>
> Multiply the previous 14-day ATR by 13.
>
> Add the most recent day's TR value.
>
> Divide by 14.
>
> Please rever to this website:
>
> http://stockcharts. com/school/ doku.php? id=chart_
school:technical _indicators: average_true_ range_a
>
>
> Somehow, I feel that my coding is wrong since it produced a
rough ATR that similar to the one( a standard ATR - not wielder)
>
> Can someone in this forum tell me the correct one?
>
>
> regards
>
> Steve
>
>
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