Registered User
Joined: 9/23/2011
Posts: 25
|
Hi Bruce..I wanted to know how can i create a PCF in which 14 day ATR is below 20% of its range.Thanks..
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
I'm not quite sure what you are asking. Do you want to check for the current true range to be less than 20% of the average true range excluding today?
(H -L + ABS(H - C1) + ABS(C1 - L)) / 2 < .2 * ((AVGH14.1 - AVGL14.1) / 2 + (ABS(H1 - C2) + ABS(C2 - L1) + ABS(H2 - C3) + ABS(C3 - L2) + ABS(H3 - C4) + ABS(C4 - L3) + ABS(H4 - C5) + ABS(C5 - L4) + ABS(H5 - C6) + ABS(C6 - L5) + ABS(H6 - C7) + ABS(C7 - L6) + ABS(H7 - C8) + ABS(C8 - L7) + ABS(H8 - C9) + ABS(C9 - L8) + ABS(H9 - C10) + ABS(C10 - L9) + ABS(H10 - C11) + ABS(C11 - L10) + ABS(H11 - C12) + ABS(C12 - L11) + ABS(H12 - C13) + ABS(C13 - L12) + ABS(H13 - C14) + ABS(C14 - L13) + ABS(H14 - C15) + ABS(C15 - L14)) / 28)
Are you looking for ATR to be 20% lower than its high over x bars (if so what is x)?
Or are you looking for something else entirely?
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|