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Plotting ATR distance from price Topic Rating:
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Putt4Dough
Posted : Thursday, July 28, 2016 3:37:42 PM

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Suffering from a bit of information overload; I'm sure there's a simple answer, but ... what's the easiest/best way to plot a certain number of ATR's (for example lets say 2x ATR) from price?

Using the simulated trading in v16 I wanted to try plotting a line that's 2x the ATR and use that as a stop.

 

Bruce_L
Posted : Thursday, July 28, 2016 3:47:27 PM


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Add a Custom PCF Indicator to the chart with a formula starting with C - 2 * and then a formula for ATR inside of parentheses at the end.

So for a using 10 period average true range you could use the following formula.

C - 2 * ((AVGH10 - AVGL10) / 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)) / 20)

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
5 day Average True Range



-Bruce
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Putt4Dough
Posted : Thursday, July 28, 2016 3:53:02 PM

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That's pretty easy. I should've mentioned I usually use a 13-period ATR. Can you write or point me to a ATR(13) PCF?

Bruce_L
Posted : Thursday, July 28, 2016 4:00:03 PM


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Please try the following for the simple ATR:

(AVGH13 - AVGL13) / 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)) / 26

Or the following for the stop:

C - 2 * ((AVGH13 - AVGL13) / 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)) / 26)



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Putt4Dough
Posted : Thursday, July 28, 2016 4:05:57 PM

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Some day I want a peek at your spreadsheets ;)

Since the stop PCF starts with C - 2 I'm assuming it plots below price and is the stop for long trades. If I'm going short, I take it I just change C - 2 to C + 2 ?

Bruce_L
Posted : Thursday, July 28, 2016 4:06:48 PM


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Exactly.



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Putt4Dough
Posted : Thursday, July 28, 2016 4:09:55 PM

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Cool. There's hope for me yet. I'll try and give you Friday off.

No guarantees. ;)

Telework
Posted : Friday, July 29, 2016 12:51:34 PM
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Keltner Channels

Bruce_L
Posted : Friday, July 29, 2016 1:03:38 PM


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Keltner Channels kind of do this, but not exactly. While the upper and lower channels are a multiple of ATR above and below the center line, the value of the centerline is not price. The center line of Keltner Channels is a moving average of typical price ((H + L + C) / 3).

Keltner Channels



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Putt4Dough
Posted : Friday, July 29, 2016 1:22:52 PM

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Exactly! Not exactly...

Keltner Channels centerline is "typical price" not the close. I'm entering a trade and setting a stop based on the close rather than the typical price. So, ...

Bruce 1, Telework 0. :) 

Happy Friday!!

 

Bruce_L
Posted : Friday, July 29, 2016 1:29:52 PM


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Happy Friday!



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diceman
Posted : Friday, July 29, 2016 2:14:37 PM
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QUOTE (Putt4Dough)

Suffering from a bit of information overload; I'm sure there's a simple answer, but ... what's the easiest/best way to plot a certain number of ATR's (for example lets say 2x ATR) from price?

Using the simulated trading in v16 I wanted to try plotting a line that's 2x the ATR and use that as a stop.

 

 

Have you tried the indicator: "Volatility Stop?"

 

 

 

Thanks

 

Putt4Dough
Posted : Friday, July 29, 2016 6:48:24 PM

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Hi diceman.

Yeah, Volatility Stop, Parabolic SAR, Elder's Safe Zone, Chandelier Stops, ATR Stops ... did I forget any? I've played a little with Volatility Stops; I'm aware they use a True Range multiple. But that's about it.

Maybe I should plot all the different stops on one chart, and if I can still see Price, trying paper trading. LOL! :)

 

diceman
Posted : Saturday, July 30, 2016 8:34:01 AM
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Looks like a buy to me! :)

 

Putt4Dough
Posted : Saturday, July 30, 2016 1:14:03 PM

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QUOTE (diceman)
Looks like a buy to me! :)

Your eyes are better than mine. LOL!

Putt4Dough
Posted : Tuesday, August 9, 2016 4:45:28 PM

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Hi Bruce,

I like the ATR channels, but I'd also like to try channels based on percentage of price. What if I wanted to plot bands, for example, 1.5% above and below price?

Thanks!

Bruce_L
Posted : Tuesday, August 9, 2016 4:47:09 PM


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Add Envelope Channels with the Period set to 1 and the Width (%) setting set to 1.50.



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Putt4Dough
Posted : Tuesday, August 9, 2016 5:00:04 PM

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Cool. Figured it would be simpler than an ATR, but didn't want to assume.

Btw, we need to get PCFs added to the next Olympics!! Go for the gold!!!

Thanks, Bruce.

tspara
Posted : Friday, August 26, 2016 3:22:16 PM
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QUOTE (Bruce_L)

Add a Custom PCF Indicator to the chart with a formula starting with C - 2 * and then a formula for ATR inside of parentheses at the end.

So for a using 10 period average true range you could use the following formula.

C - 2 * ((AVGH10 - AVGL10) / 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)) / 20)

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
5 day Average True Range


 Tried to cut and paste this forumla into a PCF, and get a syntax error.  I've checked it over but cannot detect the error.  Can you help?
 

Bruce_L
Posted : Friday, August 26, 2016 3:36:23 PM


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There doesn't appear to be anything wrong with the formula itself.

If you are using Edge or Internet Explorer you might want to try copying and pasting using Chrome instead.

Another thing to try would be to copy and paste into a text editor such as Notepad and then copy and paste from the text editor into TC2000.



-Bruce
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donv98
Posted : Wednesday, February 15, 2017 1:39:06 PM
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QUOTE (Bruce_L)

Please try the following for the simple ATR:

(AVGH13 - AVGL13) / 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)) / 26

Or the following for the stop:

C - 2 * ((AVGH13 - AVGL13) / 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)) / 26)

Bruce,

   I am trying to replicate the above pcf for  5 periods and keep getting a syntax error.

C - 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)

 

Any help is much appreciated.

Don

Bruce_L
Posted : Wednesday, February 15, 2017 1:45:50 PM


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In TC2000 v17 the 5 period ATR itself would just be the following.

ATR5

And price minus two times the ATR would be the following.

C - 2 * ATR5

But in earlier versions of TC2000 the 5 period ATR is quite a bit longer.

(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

As is price minus two timen the ATR.

C - 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)



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donv98
Posted : Wednesday, February 15, 2017 2:03:53 PM
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Bruce,

   Thank you very much!

Don

 

Bruce_L
Posted : Wednesday, February 15, 2017 2:09:33 PM


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You're welcome.



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