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Ask a Trainer - TC2000 version 12/18
Average true range as percentage of price
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.
This is what I came up with for an indicator if anyone is interested:
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)