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Registered User
Joined: 3/20/2005
Posts: 17
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Is there a way to calculate a stock's average daily trading range for past 6 month or 12 month? Thanks!
Dennis
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following formulas:
6 Month Average Daily Trading Range:
AVGH126-AVGL126
1 Year Average Daily Trading Range:
AVGH252-AVGL252
It is possible to calculate a Average True Range as well, but the PCF for this would be rather long. To do it as a Custom Indicator, use the following formula with a Smoothing Average of 126 or 252 on a daily chart:
(H-L+ABS(H-C1)+ABS(L-C1))/2
The following videos might be useful reading on this topic:
How to create a Personal Criteria Forumula (PCF)
Adding, removing and saving indicators to a chart template
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 3/20/2005
Posts: 17
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Thanks!
How about weekly trading range for past 1 year or 2 years? Any formulas?
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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TeleChart 2005 doesn't use calendar weeks, but you can do calculations based on overlapping 5-Day increments using a very similar set of formulas:
6 Month Average of 5-Period Trading Ranges:
AVG(MAXH5,126)-AVG(MINL5,126)
1 Year Average of 5-Period Trading Ranges:
AVG(MAXH5,252)-AVG(MINL5,252)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Suppose the current date is at the right-edge of your Daily chart and you change to a Weekly Time Frame. A PCF for the average range over the last 5 bars is PCF1:
(MAXH5.0+MAXH5.5+MAXH5.10+MAXH5.15+MAXH5.20)/5
-(MINL5.0+MINL5.5+MINL5.10+MINL5.15+MINL5.20)/5
This can be extended to any number of "Weekly" bars you like.
The corresponding PCF Bruce gave, PCF2:
AVG(MAXH5,25)-AVG(MINL5,25)
is the average of the average 5 bar ranges you would observe by switching to a Weekly Time Frame from a Daily Time Frame with each of the 5 most recent days in turn at the right-edge.
The PCF2 may be more appropriate for your needs. Remember, "Weekly" charts are only duplicated every 5 days.
Thanks,
Jim Murphy
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Registered User
Joined: 10/7/2004
Posts: 23
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How might I write a pcf to calculate the average true range for three days?
Thanks,
Tony.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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CelticTrader,
Wilder's 3-Period Average True Range approximation PCF:
(985261*(H-L+ABS(C1-L)+ABS(C1-H)) +656841*(H1-L1+ABS(C2-L1)+ABS(C2-H1)) +437894*(H2-L2+ABS(C3-L2)+ABS(C3-H2)) +291929*(H3-L3+ABS(C4-L3)+ABS(C4-H3)) +194620*(H4-L4+ABS(C5-L4)+ABS(C5-H4)) +129746*(H5-L5+ABS(C6-L5)+ABS(C6-H5)) +86498*(H6-L6+ABS(C7-L6)+ABS(C7-H6)) +57665*(H7-L7+ABS(C8-L7)+ABS(C8-H7)) +38443*(H8-L8+ABS(C9-L8)+ABS(C9-H8)) +25629*(H9-L9+ABS(C10-L9)+ABS(C10-H9)) +17086*(H10-L10+ABS(C11-L10)+ABS(C11-H10)) +11391*(H11-L11+ABS(C12-L11)+ABS(C12-H11)) +7594*(H12-L12+ABS(C13-L12)+ABS(C13-H12)) +5063*(H13-L13+ABS(C14-L13)+ABS(C14-H13)) +3375*(H14-L14+ABS(C15-L14)+ABS(C15-H14)) +2250*(H15-L15+ABS(C16-L15)+ABS(C16-H15)) +1500*(H16-L16+ABS(C17-L16)+ABS(C17-H16)) +1000*(H17-L17+ABS(C18-L17)+ABS(C18-H17)))/5907570
The same thing as a Custom Indicator:
Select Chart Template | Add Indicator | Indicator
-Visible: Checked
-Center Zero Line: Unchecked
-Plot Using Price Scale: Unchecked
-Smoothing Average: 5
-Average Type: Exponential
-Indicator Formula:
(H-L+ABS(H-C1)+ABS(L-C1))/2
The Custom Indicator is much easier to modify since changing the length and type is simply a matter of adjusting the Smoothing Average and Average Type:
Wilder's:
Smoothing Average = (twice the Period) minus one
Average Type: Exponential
Exponential:
Smoothing Average = Period
Average Type: Exponential
Simple:
Smoothing Average = Period
Average Type: Simple
You may want to check out the following topics if you are interested in writing your own ATR Personal Criteria Formulas:
Average True Range (ATR) & Stop Losses
average true range pcf
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 9/9/2008
Posts: 10
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Bruce or whoever,
I did the custom indicator like you had with the formula, my question is I just want a 5 day ATR, thus what would be my smoothing average and average type?
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Registered User
Joined: 1/28/2005
Posts: 6,049
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If you wanted:
"Simple" then: 5, average type simple.
"Exponential" then: 5, average type exponential.
"Wilders" then: 9, average type exponential.
Thanks
diceman
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