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0002ct
Posted : Monday, September 11, 2017 4:46:48 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

Hello.
The built-in ATR is in dollars, correct? Is there an absolute-value ATR (in percent)? If not, could you please help me with building one? Thank you.

Bruce_L
Posted : Monday, September 11, 2017 4:48:54 PM


Worden Trainer

Joined: 10/7/2004
Posts: 61,012

ATR is going to be in US dollars for stocks traded on US exchanges.

If you are going to return ATR as a percentage, you need to determine the basis to use for the calculations. If you want to use the previous close.

100 * ATR / C1

If you want to use the current price.

100 * ATR / C

If you want to use something else, just replace the C1 or C in the formula.



-Bruce
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0002ct
Posted : Monday, September 11, 2017 4:54:01 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

Bruce, thank you. This makes sense. 

0002ct
Posted : Tuesday, September 12, 2017 2:43:23 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

To follow up on this, what is the period being averaged for the ATR in th example calcuation? I assume it's one period base on the information in the data window when hovering over the plot and since there's no parameter for the period. I'm looking at WBMD, with a calcuation of .03 percent. 

Can the period be used in the same calcuations, like:

100 * ATR(14) /C

0002ct
Posted : Tuesday, September 12, 2017 2:46:43 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

To add to the above, when I use:

TrueInRow(100 * ATR(14) / C, 5) < .50

as a column condition, I'm not seeing the true condition appear where I expect it to. For example, SPLS has been under .50 for at least 5 days in a row, but it doesn't validate as such using the above....

Bruce_L
Posted : Tuesday, September 12, 2017 2:46:47 PM


Worden Trainer

Joined: 10/7/2004
Posts: 61,012

ATR defaults to a period of 1 (which is essentially true range and not average true range). So if you want to use a 14 period average true range, then it can be written exactly as you have already done.



-Bruce
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0002ct
Posted : Tuesday, September 12, 2017 2:48:46 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

Ah, ok. Yes, I knew that it was the true range, also, but didn't want to assume and thought something else might be happening.

0002ct
Posted : Tuesday, September 12, 2017 2:54:20 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

Is this it?

100 * ((AVGH14 - AVGL14) / 2 + (ABS(H - C1) + ABS(C1 - L) + 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)) / 28) / C

Bruce_L
Posted : Tuesday, September 12, 2017 2:59:51 PM


Worden Trainer

Joined: 10/7/2004
Posts: 61,012

100 * ATR(14) / C

Is the same as the longer formula (at least if you are using TC2000 v17).

100 * ((AVGH14 - AVGL14) / 2 + (ABS(H - C1) + ABS(C1 - L) + 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)) / 28) / C



-Bruce
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0002ct
Posted : Tuesday, September 12, 2017 3:06:30 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 273

Thank you very much. This helps a ton. Thanks again.

Bruce_L
Posted : Tuesday, September 12, 2017 3:09:00 PM


Worden Trainer

Joined: 10/7/2004
Posts: 61,012

You're welcome.



-Bruce
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