Download software Tutorial videos
Subscription & data-feed pricing Class schedule


New account application Trading resources
Margin rates Stock & option commissions

Attention: Discussion forums are read-only for extended maintenance until further notice.
Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

5 day Average True Range Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
ptaglia1
Posted : Monday, March 23, 2009 3:49:49 PM
Registered User
Joined: 10/7/2004
Posts: 9
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
Bruce_L
Posted : Monday, March 23, 2009 4:20:31 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)))))))))))))))))))

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
gsn
Posted : Monday, October 12, 2009 4:25:39 PM
Registered User
Joined: 11/13/2004
Posts: 121
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.)
Bruce_L
Posted : Monday, October 12, 2009 4:52:36 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
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
gsn
Posted : Sunday, October 18, 2009 7:51:33 AM
Registered User
Joined: 11/13/2004
Posts: 121
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?
Bruce_L
Posted : Sunday, October 18, 2009 11:11:59 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
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
JudyCruse
Posted : Tuesday, November 10, 2009 1:48:26 PM
Registered User
Joined: 7/14/2007
Posts: 2
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!
Bruce_L
Posted : Tuesday, November 10, 2009 1:57:54 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
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
ogsol
Posted : Friday, October 2, 2015 8:03:27 AM
Registered User
Joined: 11/5/2013
Posts: 9

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)

Bruce_L
Posted : Friday, October 2, 2015 9:57:54 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

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
MoreAces
Posted : Friday, November 13, 2015 10:16:55 PM
Registered User
Joined: 8/23/2013
Posts: 245

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

MoreAces
Posted : Saturday, November 14, 2015 11:37:26 AM
Registered User
Joined: 8/23/2013
Posts: 245

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.

MoreAces
Posted : Saturday, November 14, 2015 11:57:41 AM
Registered User
Joined: 8/23/2013
Posts: 245
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
MoreAces
Posted : Saturday, November 14, 2015 11:58:43 AM
Registered User
Joined: 8/23/2013
Posts: 245

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

Bruce_L
Posted : Monday, November 16, 2015 12:28:07 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

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
Users browsing this topic
Guest-1

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.