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There for the last bar of the day and the first bar of the next - other than
that - no .. I did realize that the solution to the problem is quite simple.
For data2 you can use the function in this way; Avgtruerange(len) of data2
-----Original Message-----
From: Mark Simms [mailto:marksimms@xxxxxxxxxxx]
Sent: Wednesday, November 26, 2008 4:24 AM
To: 'Paratrade Systems LLC'
Subject: RE: Avg True Range
Correct me if I'm wrong, but there are no "gaps" in intraday trading...
Unless you are trading swiss cheese futures or some other non-liquid
instrument.
Thus range = atr on a 10minute, or 1 hour basis.
(except for the opening !!!)
> -----Original Message-----
> From: Paratrade Systems LLC [mailto:paratradesystems@xxxxxxx]
> Sent: Tuesday, November 25, 2008 11:12 AM
> To: Omega List
> Subject: Avg True Range
>
> To calc the ATR for Data 2 in an intra-day chart I have this
> code - which is really end of day code .. what changes do I
> make to correct it for intraday time frames?
>
> Input:Len(Numericsimple);
> Vars:TrueHiD2(0),TruLoD2(0),TruRangeD2(0);
>
> if Close[1] of data2> High of data2 then
> TrueHiD2 = Close[1] of data2
> else
> TrueHiD2 = High of data2 ;
>
> if Close[1] of data2 < Low of data2 then
> TruLoD2 = Close[1] of data2
> else
> TruLoD2 = Low of data2 ;
>
> TruRangeD2=TrueHiD2-TruLoD2;
>
>
> ATRD2 = Average( TruRangeD2, Len) ;
>
> CE
> Thx in advance
>
>
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