Dynamic ATR

v10.3
Dynamic ATR

Good Day PRT Community

It has been a while since I last shared an indicator to the PRT library so here is something I coded today that might give a more accurate reflection of the Average True Range.

The basic idea was to create an ATR that will adapt to its timeframe by only considering the intraday price movements if a timeframe of smaller than Daily is used or looking only at price data for the week if a Daily timeframe is used. At this stage, Daily is the highest supported timeframe.

The parameters are as follow:

TFMinutes: Enter your timeframe in minutes. All default timeframes are supported up to Daily (i.e. 5m = 5, 1H = 60, 4H = 240, Daily = 1440, etc.)
TFMultiplier1: For those too lazy to work out higher timeframes you can use the multipliers (i.e. to get to 3H timeframe use 60 as TFMinutes and 3 as TFMultiplier1)
TFMultiplier2: Extention to the above functionality
stdDev: standard deviation used to calculate the Relative ATR line
MarketOpenHour: The opening hour of the market

Three different ATR values are calculated:

  1. The total price range for the intraday trading session (TF < Daily) or total price range of the weekly trading data (TF = Daily)
  2. Relative ATR calculated using an average and taking into account standard deviation
  3. Sampled ATR using price data from three different data sets within the evaluation period

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. juanj • 02/02/2019 #

    I have actually completely redesigned this indicator with loads of improvements, so will resubmit to the library as v2.0 (moderators perhaps you can delete this version)

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