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JadeScorpion
Posted : Friday, March 27, 2015 10:41:04 AM
Gold Customer Gold Customer

Joined: 10/7/2004
Posts: 30

I want to build a custom indicator of the ratio of current "price range" divided by "average true range" over 14 periods.

Has this been done and posted somewhere on this forum?

If not, Bruce could you provide the formula to do this?

 

Thanks

Bruce_L
Posted : Friday, March 27, 2015 10:46:46 AM


Worden Trainer

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

If you want to plot the ratio of the plain range running from the low to high to the average true range over 14 periods, then you could use the following.

(H - L) / ((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)

If you want to use true range (which includes the previous close in the range) , then you could use the following.

(H -L + ABS(H - C1) + ABS(C1 - L)) / (AVGH14 - AVGL14 + (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)) / 14)

Please provide a description and PCF for calculating an ATR value to be used as a stop loss value



-Bruce
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