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Registered User Joined: 10/7/2004 Posts: 9
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Can you please help me create a scan for the 5 day ATR?
I am trying to create a scan where today's ATR < the 5 day ATR.
Appreciate the help,
Paul
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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)))))))))))))))))))
So you need to put the first formula is less than (<) one of the three ATR5 formulas. For example, True Range is less than the 5-Period Simple Moving Average of True Range would be writteng as:
(H -L + ABS(H - C1) + ABS(C1 - L)) / 2 < (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
You may wish to review the following:
PCF's for today worden report
How to create a Personal Criteria Forumula (PCF)
Handy PCF example formulas to help you learn the syntax of PCFs!
Average True Range (ATR) & Stop Losses
Trailing-Stop Applications in TC
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 11/13/2004 Posts: 121
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Could someone help me write a 7-week ATR, so instead of using daily numbers you would use seven weekly numbers? I plan on running this every Friday, so the numbers would be for this Friday, last Friday, the Friday before, etc. ( I know the market is closed some Fridays but I can live with that.)
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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gsn,
7-Period Simple Moving Average of True Range (Weekly):
(MAXH5 - MINL5 + ABS(MAXH5 - C5) + ABS(C5 - MINL5) + MAXH5.5 - MINL5.5 + ABS(MAXH5.5 - C10) + ABS(C10 - MINL5.5) + MAXH5.10 - MINL5.10 + ABS(MAXH5.10 - C15) + ABS(C15 - MINL5.10) + MAXH5.15 - MINL5.15 + ABS(MAXH5.15 - C20) + ABS(C20 - MINL5.15) + MAXH5.20 - MINL5.20 + ABS(MAXH5.20 - C25) + ABS(C25 - MINL5.20) + MAXH5.25 - MINL5.25 + ABS(MAXH5.25 - C30) + ABS(C30 - MINL5.25) + MAXH5.30 - MINL5.30 + ABS(MAXH5.30 - C35) + ABS(C35 - MINL5.30)) / 14
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:
7-Period Average True Range (Wilder's Smoothed - Weekly):
.0714980240281964 * (MAXH5 - MINL5 + ABS(MAXH5 - C5) + ABS(C5 - MINL5) + 6 / 7 * (MAXH5.5 - MINL5.5 + ABS(MAXH5.5 - C10) + ABS(C10 - MINL5.5) + 6 / 7 * (MAXH5.10 - MINL5.10 + ABS(MAXH5.10 - C15) + ABS(C15 - MINL5.10) + 6 / 7 * (MAXH5.15 - MINL5.15 + ABS(MAXH5.15 - C20) + ABS(C20 - MINL5.15) + 6 / 7 * (MAXH5.20 - MINL5.20 + ABS(MAXH5.20 - C25) + ABS(C25 - MINL5.20) + 6 / 7 * (MAXH5.25 - MINL5.25 + ABS(MAXH5.25 - C30) + ABS(C30 - MINL5.25) + 6 / 7 * (MAXH5.30 - MINL5.30 + ABS(MAXH5.30 - C35) + ABS(C35 - MINL5.30) + 6 / 7 * (MAXH5.35 - MINL5.35 + ABS(MAXH5.35 - C40) + ABS(C40 - MINL5.35) + 6 / 7 * (MAXH5.40 - MINL5.40 + ABS(MAXH5.40 - C45) + ABS(C45 - MINL5.40) + 6 / 7 * (MAXH5.45 - MINL5.45 + ABS(MAXH5.45 - C50) + ABS(C50 - MINL5.45) + 6 / 7 * (MAXH5.50 - MINL5.50 + ABS(MAXH5.50 - C55) + ABS(C55 - MINL5.50) + 6 / 7 * (MAXH5.55 - MINL5.55 + ABS(MAXH5.55 - C60) + ABS(C60 - MINL5.55) + 6 / 7 * (MAXH5.60 - MINL5.60 + ABS(MAXH5.60 - C65) + ABS(C65 - MINL5.60) + 6 / 7 * (MAXH5.65 - MINL5.65 + ABS(MAXH5.65 - C70) + ABS(C70 - MINL5.65) + 6 / 7 * (MAXH5.70 - MINL5.70 + ABS(MAXH5.70 - C75) + ABS(C75 - MINL5.70) + 6 / 7 * (MAXH5.75 - MINL5.75 + ABS(MAXH5.75 - C80) + ABS(C80 - MINL5.75) + 6 / 7 * (MAXH5.80 - MINL5.80 + ABS(MAXH5.80 - C85) + ABS(C85 - MINL5.80) + 6 / 7 * (MAXH5.85 - MINL5.85 + ABS(MAXH5.85 - C90) + ABS(C90 - MINL5.85) + 6 / 7 * (MAXH5.90 - MINL5.90 + ABS(MAXH5.90 - C95) + ABS(C95 - MINL5.90) + 6 / 7 * (MAXH5.95 - MINL5.95 + ABS(MAXH5.95 - C100) + ABS(C100 - MINL5.95) + 6 / 7 * (MAXH5.100 - MINL5.100 + ABS(MAXH5.100 - C105) + ABS(C105 - MINL5.100) + 6 / 7 * (MAXH5.105 - MINL5.105 + ABS(MAXH5.105 - C110) + ABS(C110 - MINL5.105) + 6 / 7 * (MAXH5.110 - MINL5.110 + ABS(MAXH5.110 - C115) + ABS(C115 - MINL5.110) + 6 / 7 * (MAXH5.115 - MINL5.115 + ABS(MAXH5.115 - C120) + ABS(C120 - MINL5.115) + 6 / 7 * (MAXH5.120 - MINL5.120 + ABS(MAXH5.120 - C125) + ABS(C125 - MINL5.120) + 6 / 7 * (MAXH5.125 - MINL5.125 + ABS(MAXH5.125 - C130) + ABS(C130 - MINL5.125) + 6 / 7 * (MAXH5.130 - MINL5.130 + ABS(MAXH5.130 - C135) + ABS(C135 - MINL5.130) + 6 / 7 * (MAXH5.135 - MINL5.135 + ABS(MAXH5.135 - C140) + ABS(C140 - MINL5.135) + 6 / 7 * (MAXH5.140 - MINL5.140 + ABS(MAXH5.140 - C145) + ABS(C145 - MINL5.140) + 6 / 7 * (MAXH5.145 - MINL5.145 + ABS(MAXH5.145 - C150) + ABS(C150 - MINL5.145) + 6 / 7 * (MAXH5.150 - MINL5.150 + ABS(MAXH5.150 - C155) + ABS(C155 - MINL5.150) + 6 / 7 * (MAXH5.155 - MINL5.155 + ABS(MAXH5.155 - C160) + ABS(C160 - MINL5.155) + 6 / 7 * (MAXH5.160 - MINL5.160 + ABS(MAXH5.160 - C165) + ABS(C165 - MINL5.160) + 6 / 7 * (MAXH5.165 - MINL5.165 + ABS(MAXH5.165 - C170) + ABS(C170 - MINL5.165) + 6 / 7 * (MAXH5.170 - MINL5.170 + ABS(MAXH5.170 - C175) + ABS(C175 - MINL5.170) + 6 / 7 * (MAXH5.175 - MINL5.175 + ABS(MAXH5.175 - C180) + ABS(C180 - MINL5.175) + 6 / 7 * (MAXH5.180 - MINL5.180 + ABS(MAXH5.180 - C185) + ABS(C185 - MINL5.180) + 6 / 7 * (MAXH5.185 - MINL5.185 + ABS(MAXH5.185 - C190) + ABS(C190 - MINL5.185) + 6 / 7 * (MAXH5.190 - MINL5.190 + ABS(MAXH5.190 - C195) + ABS(C195 - MINL5.190) + 6 / 7 * (MAXH5.195 - MINL5.195 + ABS(MAXH5.195 - C200) + ABS(C200 - MINL5.195) + 6 / 7 * (MAXH5.200 - MINL5.200 + ABS(MAXH5.200 - C205) + ABS(C205 - MINL5.200) + 6 / 7 * (MAXH5.205 - MINL5.205 + ABS(MAXH5.205 - C210) + ABS(C210 - MINL5.205) + 6 / 7 * (MAXH5.210 - MINL5.210 + ABS(MAXH5.210 - C215) + ABS(C215 - MINL5.210) + 6 / 7 * (MAXH5.215 - MINL5.215 + ABS(MAXH5.215 - C220) + ABS(C220 - MINL5.215) + 6 / 7 * (MAXH5.220 - MINL5.220 + ABS(MAXH5.220 - C225) + ABS(C225 - MINL5.220))))))))))))))))))))))))))))))))))))))))))))))
Here's an Exponential version to round things out:
7-Period Exponential Moving Average of True Range (Weekly):
.125094138775791 * (MAXH5 - MINL5 + ABS(MAXH5 - C5) + ABS(C5 - MINL5) + .75 * (MAXH5.5 - MINL5.5 + ABS(MAXH5.5 - C10) + ABS(C10 - MINL5.5) + .75 * (MAXH5.10 - MINL5.10 + ABS(MAXH5.10 - C15) + ABS(C15 - MINL5.10) + .75 * (MAXH5.15 - MINL5.15 + ABS(MAXH5.15 - C20) + ABS(C20 - MINL5.15) + .75 * (MAXH5.20 - MINL5.20 + ABS(MAXH5.20 - C25) + ABS(C25 - MINL5.20) + .75 * (MAXH5.25 - MINL5.25 + ABS(MAXH5.25 - C30) + ABS(C30 - MINL5.25) + .75 * (MAXH5.30 - MINL5.30 + ABS(MAXH5.30 - C35) + ABS(C35 - MINL5.30) + .75 * (MAXH5.35 - MINL5.35 + ABS(MAXH5.35 - C40) + ABS(C40 - MINL5.35) + .75 * (MAXH5.40 - MINL5.40 + ABS(MAXH5.40 - C45) + ABS(C45 - MINL5.40) + .75 * (MAXH5.45 - MINL5.45 + ABS(MAXH5.45 - C50) + ABS(C50 - MINL5.45) + .75 * (MAXH5.50 - MINL5.50 + ABS(MAXH5.50 - C55) + ABS(C55 - MINL5.50) + .75 * (MAXH5.55 - MINL5.55 + ABS(MAXH5.55 - C60) + ABS(C60 - MINL5.55) + .75 * (MAXH5.60 - MINL5.60 + ABS(MAXH5.60 - C65) + ABS(C65 - MINL5.60) + .75 * (MAXH5.65 - MINL5.65 + ABS(MAXH5.65 - C70) + ABS(C70 - MINL5.65) + .75 * (MAXH5.70 - MINL5.70 + ABS(MAXH5.70 - C75) + ABS(C75 - MINL5.70) + .75 * (MAXH5.75 - MINL5.75 + ABS(MAXH5.75 - C80) + ABS(C80 - MINL5.75) + .75 * (MAXH5.80 - MINL5.80 + ABS(MAXH5.80 - C85) + ABS(C85 - MINL5.80) + .75 * (MAXH5.85 - MINL5.85 + ABS(MAXH5.85 - C90) + ABS(C90 - MINL5.85) + .75 * (MAXH5.90 - MINL5.90 + ABS(MAXH5.90 - C95) + ABS(C95 - MINL5.90) + .75 * (MAXH5.95 - MINL5.95 + ABS(MAXH5.95 - C100) + ABS(C100 - MINL5.95) + .75 * (MAXH5.100 - MINL5.100 + ABS(MAXH5.100 - C105) + ABS(C105 - MINL5.100) + .75 * (MAXH5.105 - MINL5.105 + ABS(MAXH5.105 - C110) + ABS(C110 - MINL5.105) + .75 * (MAXH5.110 - MINL5.110 + ABS(MAXH5.110 - C115) + ABS(C115 - MINL5.110) + .75 * (MAXH5.115 - MINL5.115 + ABS(MAXH5.115 - C120) + ABS(C120 - MINL5.115) + .75 * (MAXH5.120 - MINL5.120 + ABS(MAXH5.120 - C125) + ABS(C125 - MINL5.120))))))))))))))))))))))))))
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 11/13/2004 Posts: 121
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Thank you so much for your help. I have some questions.
Why is it that the Wilders version and exponential version both give numbers that are approxminately double that of the simple version?
For example, using Friday's data, EWZ has a simple ATR of 4.33, a Wilders ATR of 8.64 and an exponentail version of 8.65.
This doubling in the results seems to be case across the board with every stock I looked at.
On a weekly chart at Stockcharts.com, the ATR 7 result is 4.111: http://stockcharts.com/h-sc/ui?s=EWZ&p=W&b=5&g=0&id=t14460762840&r=7673&cmd=sendchart
Stockcharts defines its ATR calculation here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_a
I just want to doublecheck to make sure there has been no mistakes introduced into the calculations. Would there such a variance between the results of the simple and exponential/Widers versions?
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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QUOTE (gsn) Why is it that the Wilders version and exponential version both give numbers that are approxminately double that of the simple version?
Because I made a mistake writing the weekly formulas for you (the daily versions didn't exhibit this issue, but I write them rather frequently, it's been a long time since I wrote a weekly version). The base formula used was:
(H -L + ABS(H - C1) + ABS(C1 - L)) / 2
And I left out the / 2 at the end. It has been corrected above.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 7/14/2007 Posts: 2
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Could you please help me with a formula for a 30day Average True Range? I'm sure it's similar to the 5 day, but I seem to be getting lost some where.
Thanks for your help!
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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JudyCruse,
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!
The ATR for PCF topic contains 30-Period Average True Range formulas.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 11/5/2013 Posts: 9
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could you help me with a formula for calculating if price has reached its 5 day ATR from previous day and display this on a chart for any day ( specifically for the london close session)
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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I'm not quite sure I understand the question. Price and ATR would not normally be on the same scale unless ATR is being added or subtracted from something else derived from price.
Do you mean the true range of the current trading day is greater than the 5 period average true range from yesterday?
(H - L + ABS(H - C1) + ABS(C1 - L)) / 2 > (AVGH5.1 - AVGL5.1) / 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)) / 10
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 8/23/2013 Posts: 245
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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
Bruce this is your formula from above.
Does the Volatility Stop use the Simple Moving Average of True Range or Exp.
if SMA i need the above for 6-Period Simple Moving Average of True Range
IF EMA then i need 6-Period EMA of True Range
Thanks
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Registered User Joined: 8/23/2013 Posts: 245
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I believe i figured out the 6 Period but you can confirm for me.
IS There a TC2000 name for Volatilily Stop (i.e On Balance Volume is OBV and Volume is V)
I am trying to write PCF where C > Volatility Stop (want to identify if by the terms of Volatility Stop we are in UpTrend or DownTrend state) I am using 6 Period with 1 multipler.
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Registered User Joined: 8/23/2013 Posts: 245
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I do know that when an UpTrend that the VS using 6 period, 1 multipler is very close to this Value(MAXC5 - ((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) + ABS(H5 - C6) + ABS(C6 - L5)) / 12))and when in Downtrend is very close to this value(MINC5 + ((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) + ABS(H5 - C6) + ABS(C6 - L5)) / 12))I JUST CAN'T WRAP MY HEAD AROUND HOW TO DETERMINE WHICH IS THE CASE
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Registered User Joined: 8/23/2013 Posts: 245
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I do know that when an UpTrend that the VS using 6 period, 1 multipler is very close to this Value
(MAXC5 - ((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) + ABS(H5 - C6) + ABS(C6 - L5)) / 12))
and when in Downtrend is very close to this value
(MINC5 + ((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) + ABS(H5 - C6) + ABS(C6 - L5)) / 12))
I JUST CAN'T WRAP MY HEAD AROUND HOW TO DETERMINE WHICH IS THE CASE
A little cleaner sorry
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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There is no built in name for the Volatility Stop and there is no way to create an Indicator Formula for the Volatility Stop which is short and fast enough to be practical or post in the forums.
The calculations are quite a bit more complicated because the extreme used to calculate the volatility stop can theoretically be any number of bars ago.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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