New version 18 available now


Download software Tutorial videos
Subscription & data-feed pricing Class schedule


New account application Trading resources
Margin rates Stock & option commissions

Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

Average true range as percentage of price Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
chris100
Posted : Wednesday, August 29, 2012 6:29:52 PM
Gold Customer Gold Customer

Joined: 7/28/2011
Posts: 12

Is there an indicator or PCF that acts similar as ATR except shows it in percentage based on price. For example, instead of showing stocks that have a 14 day ATR of .7 I want the stock to average at least 1% volatility for the past 14 day. Thanks.

chris100
Posted : Wednesday, August 29, 2012 7:11:07 PM
Gold Customer Gold Customer

Joined: 7/28/2011
Posts: 12

This is what I came up with for an indicator if anyone is interested:

((h14/l14-1)+(h13/l13-1)+(h12/l12-1)+(h11/l11-1)+(h10/l10-1)+(h9/l9-1)+(h8/l8-1)+(h7/l7-1)+(h6/l6-1)+(h5/l5-1)+(h4/l4-1)+(h3/l3-1)+(h2/l2-1)+(h1/l1-1))/14

Bruce_L
Posted : Thursday, August 30, 2012 8:08:27 AM


Worden Trainer

Joined: 10/7/2004
Posts: 63,198

That's a pretty nice structure based on Highs and Lows. It does run on days 1 through 14, so it is going to exclude the current bar from its calculations. Using bars 0 through 13 to include the current bar and multiplying it by 100 to convert it to percentage would result in:

100 * ((H / L + H1 / L1 + H2 / L2 + H3 / L3 + H4 / L4 + H5 / L5 + H6 / L6 + H7 / L7 + H8 / L8 + H9 / L9 + H10 / L10 + H11 / L11 + H12 / L12 + H13 / L13) / 14 - 1)

Something similar based on True High and True Low instead would be a bit longer.

100 * (((H + C1 + ABS(H - C1)) / (L + C1 - ABS(L - C1)) + (H1 + C2 + ABS(H1 - C2)) / (L1 + C2 - ABS(L1 - C2)) + (H2 + C3 + ABS(H2 - C3)) / (L2 + C3 - ABS(L2 - C3)) + (H3 + C4 + ABS(H3 - C4)) / (L3 + C4 - ABS(L3 - C4)) + (H4 + C5 + ABS(H4 - C5)) / (L4 + C5 - ABS(L4 - C5)) + (H5 + C6 + ABS(H5 - C6)) / (L5 + C6 - ABS(L5 - C6)) + (H6 + C7 + ABS(H6 - C7)) / (L6 + C7 - ABS(L6 - C7)) + (H7 + C8 + ABS(H7 - C8)) / (L7 + C8 - ABS(L7 - C8)) + (H8 + C9 + ABS(H8 - C9)) / (L8 + C9 - ABS(L8 - C9)) + (H9 + C10 + ABS(H9 - C10)) / (L9 + C10 - ABS(L9 - C10)) + (H10 + C11 + ABS(H10 - C11)) / (L10 + C11 - ABS(L10 - C11)) + (H11 + C12 + ABS(H11 - C12)) / (L11 + C12 - ABS(L11 - C12)) + (H12 + C13 + ABS(H12 - C13)) / (L12 + C13 - ABS(L12 - C13)) + (H13 + C14 + ABS(H13 - C14)) / (L13 + C14 - ABS(L13 - C14))) / 14 - 1)



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
Users browsing this topic
Guest-1

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.