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Worden Discussion Forum » Customer Training & Support » Ask a Trainer - TC2000 version 7 » Average True Range

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ERhodes
Posted : Sunday, February 8, 2009 4:28:38 PM
Registered User
Joined: 10/27/2008
Posts: 6
 Do you have a means on Tele Chart for calculating or making a criteria for Average True Range?
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ERhodes
Posted : Sunday, February 8, 2009 4:30:06 PM
Registered User
Joined: 10/27/2008
Posts: 6

Is there a link to the option chain from Tele Chart?
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Bruce_L
Posted : Monday, February 9, 2009 10:06:53 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
 Welcome to the forums. A very good foundation for learning how to use TeleChart can be gained by reviewing the following:

If you are new to TeleChart READ THIS FIRST!

TeleChart does not have a link to the option chain or any information relating to options besides if a stock is or is not optionable.

You would need to know the Period of the Average True Range to write a Personal Criteria Formula. The following topics have examples of ATR PCFs for different Periods and Moving Average types:

Please provide a description and PCF for calculating an ATR value to be used as a stop loss value
Sir Old Viking Trader and PCFs
20-Day Average True Range
ATR for PCF
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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ERhodes
Posted : Monday, February 9, 2009 12:20:30 PM
Registered User
Joined: 10/27/2008
Posts: 6
 ATR 5
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Bruce_L
Posted : Monday, February 9, 2009 12:33:45 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
 True Range is the largest of the High minus the Low, the High minus the previous Close or the previous Close minus the Low. A very useful way of calculating this value for the purpose of creating Personal Criteria Formulas is:

(H -L + ABS(H - C1) + ABS(C1 - L)) / 2

Average True Range is the Moving Average of this value. I'm going to use a Period of 10 because that is what was mentioned by Sir Old Viking Trader in the Thursday, April 5, 2007 Worden Report. The type of Smoothing used was not mentioned. It could be calculated using a Simple Moving Average:

5-Period Simple Moving Average of True Range:

(AVGH5 - AVGL5) / 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)) / 10

It is usually calculated using Wilder's Smoothing however. Wilder's Smoothing is a variation of an Exponential Moving Average. You can double the Wilder Period and subtract one to get the Exponential Moving Average Period:

5-Period Average True Range (Wilder's Smoothed):

XAVGH9 - XAVGL9 + .200198266760174 * ((H < C1) * (H - C1) + (C1 < L) * (C1 - L) + .8 * ((H1 < C2) * (H1 - C2) + (C2 < L1) * (C2 - L1) + .8 * ((H2 < C3) * (H2 - C3) + (C3 < L2) * (C3 - L2) + .8 * ((H3 < C4) * (H3 - C4) + (C4 < L3) * (C4 - L3) + .8 * ((H4 < C5) * (H4 - C5) + (C5 < L4) * (C5 - L4) + .8 * ((H5 < C6) * (H5 - C6) + (C6 < L5) * (C6 - L5) + .8 * ((H6 < C7) * (H6 - C7) + (C7 < L6) * (C7 - L6) + .8 * ((H7 < C8) * (H7 - C8) + (C8 < L7) * (C8 - L7) + .8 * ((H8 < C9) * (H8 - C9) + (C9 < L8) * (C9 - L8) + .8 * ((H9 < C10) * (H9 - C10) + (C10 < L9) * (C10 - L9) + .8 * ((H10 < C11) * (H10 - C11) + (C11 < L10) * (C11 - L10) + .8 * ((H11 < C12) * (H11 - C12) + (C12 < L11) * (C12 - L11) + .8 * ((H12 < C13) * (H12 - C13) + (C13 < L12) * (C13 - L12) + .8 * ((H13 < C14) * (H13 - C14) + (C14 < L13) * (C14 - L13) + .8 * ((H14 < C15) * (H14 - C15) + (C15 < L14) * (C15 - L14) + .8 * ((H15 < C16) * (H15 - C16) + (C16 < L15) * (C16 - L15) + .8 * ((H16 < C17) * (H16 - C17) + (C17 < L16) * (C17 - L16) + .8 * ((H17 < C18) * (H17 - C18) + (C18 < L17) * (C18 - L17) + .8 * ((H18 < C19) * (H18 - C19) + (C19 < L18) * (C19 - L18) + .8 * ((H19 < C20) * (H19 - C20) + (C20 < L19) * (C20 - L19) + .8 * ((H20 < C21) * (H20 - C21) + (C21 < L20) * (C21 - L20) + .8 * ((H21 < C22) * (H21 - C22) + (C22 < L21) * (C22 - L21) + .8 * ((H22 < C23) * (H22 - C23) + (C23 < L22) * (C23 - L22) + .8 * ((H23 < C24) * (H23 - C24) + (C24 < L23) * (C24 - L23) + .8 * ((H24 < C25) * (H24 - C25) + (C25 < L24) * (C25 - L24) + .8 * ((H25 < C26) * (H25 - C26) + (C26 < L25) * (C26 - L25) + .8 * ((H26 < C27) * (H26 - C27) + (C27 < L26) * (C27 - L26) + .8 * ((H27 < C28) * (H27 - C28) + (C28 < L27) * (C28 - L27) + .8 * ((H28 < C29) * (H28 - C29) + (C29 < L28) * (C29 - L28) + .8 * ((H29 < C30) * (H29 - C30) + (C30 < L29) * (C30 - L29) + .8 * ((H30 < C31) * (H30 - C31) + (C31 < L30) * (C31 - L30))))))))))))))))))))))))))))))))

Here's an Exponential version to round things out:

5-Period Exponential Moving Average of True Range:

XAVGH5 - XAVGL5 + .333559032545198 * ((H < C1) * (H - C1) + (C1 < L) * (C1 - L) + 2 / 3 * ((H1 < C2) * (H1 - C2) + (C2 < L1) * (C2 - L1) + 2 / 3 * ((H2 < C3) * (H2 - C3) + (C3 < L2) * (C3 - L2) + 2 / 3 * ((H3 < C4) * (H3 - C4) + (C4 < L3) * (C4 - L3) + 2 / 3 * ((H4 < C5) * (H4 - C5) + (C5 < L4) * (C5 - L4) + 2 / 3 * ((H5 < C6) * (H5 - C6) + (C6 < L5) * (C6 - L5) + 2 / 3 * ((H6 < C7) * (H6 - C7) + (C7 < L6) * (C7 - L6) + 2 / 3 * ((H7 < C8) * (H7 - C8) + (C8 < L7) * (C8 - L7) + 2 / 3 * ((H8 < C9) * (H8 - C9) + (C9 < L8) * (C9 - L8) + 2 / 3 * ((H9 < C10) * (H9 - C10) + (C10 < L9) * (C10 - L9) + 2 / 3 * ((H10 < C11) * (H10 - C11) + (C11 < L10) * (C11 - L10) + 2 / 3 * ((H11 < C12) * (H11 - C12) + (C12 < L11) * (C12 - L11) + 2 / 3 * ((H12 < C13) * (H12 - C13) + (C13 < L12) * (C13 - L12) + 2 / 3 * ((H13 < C14) * (H13 - C14) + (C14 < L13) * (C14 - L13) + 2 / 3 * ((H14 < C15) * (H14 - C15) + (C15 < L14) * (C15 - L14) + 2 / 3 * ((H15 < C16) * (H15 - C16) + (C16 < L15) * (C16 - L15) + 2 / 3 * ((H16 < C17) * (H16 - C17) + (C17 < L16) * (C17 - L16) + 2 / 3 * ((H17 < C18) * (H17 - C18) + (C18 < L17) * (C18 - L17)))))))))))))))))))
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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