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Registered User
Joined: 7/30/2007
Posts: 1,072
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Hi Bruce,
November's issue of S&C is out, and includes an article called "Average Percentage True Range" by Vitalo Apirine. I didn't see a TC2000 contribution in the Trader's Tips section, so I'm wondering if you can post the "APTR" calculation here. I know you're fluent in Average True Range, so this is in your wheel house.
Here's the author's description, followed by the calculation and a sample spreadsheet.
Thanks!
Calculation
The calculation of the percentage true range for the APTR can be found in the sidebar “Calculating Percentage True Range.” Absolute values are used in the calculations for the sake of using positive numbers. The result is multiplied by 100 to move the decimal place two points. The APTR calculation is similar to the ATR calculation, which is based on 14 periods, as suggested by Wilder in his 1978 book, New Concepts In Technical Trading Systems.
The APTR can be calculated on an intraday, daily, weekly, or monthly basis. For this example, I based the APTR on daily data. The first percentage true range (PTR) value is the high minus the low divided by the value that falls between the high and low (middle). The first 14-day APTR is the average of the daily PTR values for the last 14 days. The second, and subsequent, calculations are based on the prior averages and the current PTR value:
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Current APTR = [(Prior APTR x 13) + Current PTR]/14
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Multiply the previous 14-day APTR by 13
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Add the most recent day’s PTR value
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Divide the total by 14.
The table below is a partial Excel spreadsheet that shows an example of the calculation of APTR and ATR.
APTR values depend on where you begin your calculations. The first PTR value is the current high minus the current low divided by the value that is midway between the high and low. The first APTR is an average of the first 14 percentage true range values. The real APTR formula does not kick in until day 15. Spreadsheet values for a small subset of data may not match exactly what is seen on the price chart. Decimal rounding can also affect APTR values slightly.
Parameter: The default setting used with APTR is 14 but that can be changed depending on your trading style and objectives.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following Custom PCF Indicator.
- Period: 27
- Average Type: Exponential
- Formula: 200 * (H - L + ABS(H - C1) + ABS(C1 - L)) / (H + C1 + C1 + L + ABS(H - C1) - ABS(C1 - L) + (H = C1 AND C1 = L))
You can change the Period setting of the Custom PCF Indicator to adjust the period of the Percentage True Range indicator. Multiply the period of the Percentage True Range indicator by 2 and then subtract 1 to get the period to use in the Custom PCF Indicator.
(14 * 2) - 1 = 28 - 1 = 27
-Bruce
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Registered User
Joined: 7/30/2007
Posts: 1,072
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I'll give it a shot ... thanks again, Bruce!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 6/30/2017
Posts: 1,227
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QUOTE (Bruce_L)
Please try the following Custom PCF Indicator.
- Period: 27
- Average Type: Exponential
- Formula: 200 * (H - L + ABS(H - C1) + ABS(C1 - L)) / (H + C1 + C1 + L + ABS(H - C1) - ABS(C1 - L) + (H = C1 AND C1 = L))
You can change the Period setting of the Custom PCF Indicator to adjust the period of the Percentage True Range indicator. Multiply the period of the Percentage True Range indicator by 2 and then subtract 1 to get the period to use in the Custom PCF Indicator.
(14 * 2) - 1 = 28 - 1 = 27
Stupid question ...
How do I create a Custom PCF Indicator? Haven't done it in ages.
When I select New, then Indicator (PCF) Formula I can only enter three things: Name, Timeframe, and the forumula itself.
I'm obviously looking in the wrong place, since I need to specify a Period, and Average Type.
Help, please ... my brain is taking the holiday off. :)
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Registered User
Joined: 6/30/2017
Posts: 1,227
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Time to fire up the grill.:)
Tried clicking everywhere. Checked the help files. Just not seeing how to create a Custom PCF Indicator in v18. It's probably staring me right in the face.
I created the Average Percentage True Range back when I was Putt4Dough, but that was a different account, and I didn't carry all the stuff I created back then forward to my new account, so I have to recreate it from scratch.
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Registered User
Joined: 6/30/2017
Posts: 1,227
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Finally figured it out while the grill was heating up...
Now I can sleep tonight. :)
Tomorrow, we create some Custom PCF Indicators!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I am happy to read you were able to figure it out on your own. The key is that it is an indicator and is added like other indicators.
-Bruce
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Registered User
Joined: 6/30/2017
Posts: 1,227
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Yeah, if I don't use it, I lose it.
Always forget to type in the word custom.
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