Better True ATR

• 12/03/2017 at 10:47 PM #54616
  juanj

  Good |Day Everyone

  I am looking for some inputs regarding calculating a better true reflection of ATR rather than just using the simple ATR calculated over n amount of periods.

  My thoughts here are to get rid of the extremes (suxh as price spikes) that tend to skew ATR.

  So two approaches I have tried so far is;

  Calculating the Median ATR using i.e. 3 data samples;

  ATR1 = AverageTrueRange[x](close) ATR2 = AverageTrueRange[x](close)[x] ATR3 = AverageTrueRange[x](close)[x+x] If (ATR1 > ATR2 and ATR1 < ATR3) or (ATR1 > ATR3 and ATR1 < ATR2) Then ATR = ATR1 ElsIf (ATR2 > ATR1 and ATR2 < ATR3) or (ATR2 > ATR3 and ATR2 < ATR1) Then ATR = ATR2 ElsIf (ATR3 > ATR1 and ATR3 < ATR2) or (ATR3 > ATR2 and ATR3 < ATR1) Then ATR = ATR3 EndIf

  1 2 3 4 5 6 7 8 9 10

  ATR1 = AverageTrueRange[x](close) ATR2 = AverageTrueRange[x](close)[x] ATR3 = AverageTrueRange[x](close)[x+x] If (ATR1 > ATR2 and ATR1 < ATR3) or (ATR1 > ATR3 and ATR1 < ATR2) Then ATR = ATR1 ElsIf (ATR2 > ATR1 and ATR2 < ATR3) or (ATR2 > ATR3 and ATR2 < ATR1) Then ATR = ATR2 ElsIf (ATR3 > ATR1 and ATR3 < ATR2) or (ATR3 > ATR2 and ATR3 < ATR1) Then ATR = ATR3 EndIf

  Or taking i.e. 3 ‘random data samples and calculating the average (although this will still contain extremes)

  ATR = (ATR + (AverageTrueRange[15](close)[20]+AverageTrueRange[5](close)[15]+AverageTrueRange[15](close))/3)/2

  1	ATR = (ATR + (AverageTrueRange[15](close)[20]+AverageTrueRange[5](close)[15]+AverageTrueRange[15](close))/3)/2

  Does anyone else maybe have some thoughts around this?

  1 user thanked author for this post.

  stefou102

  

  juanj

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  12/03/2017 at 11:09 PM #54617
  juanj

  Just wrote this to calculate a 5 data sample Median ATR value Disclaimer: I haven’t checked my logic on this yet, so might be incorrect.

  ATR1 = AverageTrueRange[x](close)[x*0] ATR2 = AverageTrueRange[x](close)[x*1] ATR3 = AverageTrueRange[x](close)[x*2] ATR4 = AverageTrueRange[x](close)[x*3] ATR5 = AverageTrueRange[x](close)[x*4] ATRP = 0 ATRN = 0 For N = 0 to 4 Do If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*0] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*1] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*2] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*3] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*4] Then ATRP = ATRP + 1 EndIf If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*0] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*1] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*2] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*3] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*4] Then ATRN = ATRN + 1 EndIf If ATRP = 2 and ATRN = 2 Then If T = 0 Then ATR = ATR1 ElsIf T = 1 Then ATR = ATR2 ElsIf T = 2 Then ATR = ATR3 ElsIf T = 3 Then ATR = ATR4 ElsIf T = 4 Then ATR = ATR5 EndIf EndIf Next

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53

  ATR1 = AverageTrueRange[x](close)[x*0] ATR2 = AverageTrueRange[x](close)[x*1] ATR3 = AverageTrueRange[x](close)[x*2] ATR4 = AverageTrueRange[x](close)[x*3] ATR5 = AverageTrueRange[x](close)[x*4]   ATRP = 0 ATRN = 0 For N = 0 to 4 Do If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*0] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*1] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*2] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*3] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*4] Then ATRP = ATRP + 1 EndIf If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*0] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*1] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*2] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*3] Then ATRN = ATRN + 1 EndIF If AverageTrueRange[x](close)[x*T] < AverageTrueRange[x](close)[x*4] Then ATRN = ATRN + 1 EndIf If ATRP = 2 and ATRN = 2 Then If T = 0 Then ATR = ATR1 ElsIf T = 1 Then ATR = ATR2 ElsIf T = 2 Then ATR = ATR3 ElsIf T = 3 Then ATR = ATR4 ElsIf T = 4 Then ATR = ATR5 EndIf EndIf Next

   

  

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  12/04/2017 at 8:53 AM #54625
  Nicolas

  Why not using a simple long term average of ATR of X periods? This is a real median IMO:

  average of ATR for the whole data serie

  indi = average[max(1,barindex)](averagetruerange[14])

  1	indi = average[max(1,barindex)](averagetruerange[14])

   

  

  Nicolas

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  12/04/2017 at 9:01 AM #54628
  juanj

  Noticed the start of my loop at line 6 got lost: For N = 0 to 4 Do

  

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  12/04/2017 at 9:02 AM #54630
  juanj

  @Nicolas, I didn’t really think of that to be honest. Will try it and see what gives the most consistent results.

  

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  12/04/2017 at 9:04 AM #54631
  Nicolas

  Sorry about that, I’m currently upgrading some things in the website and text formatting errors sometimes appear.. I’m hoping to fix the issue this week 😐 

  

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  12/04/2017 at 9:06 AM #54632
  Nicolas

  juanj wrote:

  Noticed the start of my loop at line 6 got lost: For N = 0 to 4 Do

  Are you sure about N, not T instead? (I’ll update the code)

  

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  12/04/2017 at 9:20 AM #54634
  juanj

  Yes sorry it is T and on line 6 not 9. Replying from my phone. 

  

  juanj

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  12/04/2017 at 11:06 AM #54656
  juanj

  Also realize I only required half of the If’s as for a uneven number I only have to measure one side of the values to find the median.

  ATR1 = AverageTrueRange[x](close)[x*0] ATR2 = AverageTrueRange[x](close)[x*1] ATR3 = AverageTrueRange[x](close)[x*2] ATR4 = AverageTrueRange[x](close)[x*3] ATR5 = AverageTrueRange[x](close)[x*4] ATRP = 0 For N = 0 to 4 Do If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*0] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*1] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*2] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*3] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*4] Then ATRP = ATRP + 1 EndIf If ATRP = 2 Then If T = 0 Then ATR = ATR1 ElsIf T = 1 Then ATR = ATR2 ElsIf T = 2 Then ATR = ATR3 ElsIf T = 3 Then ATR = ATR4 ElsIf T = 4 Then ATR = ATR5 EndIf EndIf Next

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39

  ATR1 = AverageTrueRange[x](close)[x*0] ATR2 = AverageTrueRange[x](close)[x*1] ATR3 = AverageTrueRange[x](close)[x*2] ATR4 = AverageTrueRange[x](close)[x*3] ATR5 = AverageTrueRange[x](close)[x*4] ATRP = 0 For N = 0 to 4 Do   If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*0] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*1] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*2] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*3] Then ATRP = ATRP + 1 EndIF If AverageTrueRange[x](close)[x*T] > AverageTrueRange[x](close)[x*4] Then ATRP = ATRP + 1 EndIf   If ATRP = 2 Then If T = 0 Then ATR = ATR1 ElsIf T = 1 Then ATR = ATR2 ElsIf T = 2 Then ATR = ATR3 ElsIf T = 3 Then ATR = ATR4 ElsIf T = 4 Then ATR = ATR5 EndIf EndIf Next

   

  

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  12/04/2017 at 11:15 AM #54663
  juanj

  I have found that instead of calculating the ATR over the entire barindex as suggested below:

  ATR= average[max(1,barindex)](averagetruerange[14])

  1	ATR= average[max(1,barindex)](averagetruerange[14])

  To rather focus on the actual trading period that my algorithm usually runs i.e. between 09h00 and 22h00.

  I can even calculate this for the last n trading sessions/days to get a better average.

  

  juanj

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  12/04/2017 at 12:17 PM #54678
  Vonasi

  Or you could use a minimum of a long period and short period ATR to smooth out the spikes.

  ATR1 = AverageTrueRange[HighATR] ATR2 = AverageTrueRange[LowATR] LowestATR = MIN(ATR1, ATR2)

  1 2 3 4

  ATR1 = AverageTrueRange[HighATR] ATR2 = AverageTrueRange[LowATR]   LowestATR = MIN(ATR1, ATR2)

  Indicator with three ATR values for comparison attached.

  

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  12/04/2017 at 12:34 PM #54682
  juanj

  @Vonasi. clever.

  However at this stage I am still getting the most consistent results by sampling from different periods and using an average among them.

  ATR = (ATR + (AverageTrueRange[15](close)[20]+AverageTrueRange[5](close)[15]+AverageTrueRange[15](close))/3)/2

  1	ATR = (ATR + (AverageTrueRange[15](close)[20]+AverageTrueRange[5](close)[15]+AverageTrueRange[15](close))/3)/2

   

  

  juanj

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  12/04/2017 at 2:01 PM #54698
  Vonasi

  Plotting a graph of your ‘sampling from different periods’ calculation I still get some very big spikes. I don’t know what you are using the ATR results for but if it was for setting Take Profits or Stop Losses this could leave you to some very big TP and SL positions. My ‘lowest of 2’ calculation removes these spikes but at the price of less sensitivity of what is actually happening right now. I am yet to persuade myself that ATR is of any benefit for setting TP and SL positions as it is either too lagging or too spikey.  As a method of seeing market volatility it is however quite good – ATR is increasing so something is happening!

  

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  12/04/2017 at 2:11 PM #54699
  juanj

  I use it as follow:

  At position open calculate dynamic TP and SL thresholds using ATR*x (point where TP and SL will be trailed based on then current volatility). Thus it is simply to calculate the level where TP and SL will become applicable in order to give the price enough wiggle room to ‘decide’ on direction. I also update the threshold level at specific times during the day.

  

  juanj

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  12/04/2017 at 2:16 PM #54700
  Vonasi

  If you find a way to get good TP and SL sizing from ATR then please share it as I’m yet to find any method that works consistently due to the laggy/spiky thing!

  

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