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Better True ATR

juanj · 2017-12-03T21:47:32+00:00

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 and ATR1 ATR1 and ATR2 ATR3 and ATR2 ATR1 and 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 Does anyone else maybe have some thoughts around this?

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Better True ATR

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12/05/2017 at 7:56 AM #54736 quote

Nicolas
Keymaster

Legend

Another tip about finding the “good” stoploss and takeprofit values is to use averages of MAE/MFE.

12/05/2017 at 12:37 PM #54773 quote
Leo
Participant

Veteran
Hi juanj, This is what I use for ATR:
```
P=20 // or what ever period

myATR=average[P](range)+STD[P](range)
```
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Better True ATR

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juanj @juanj Participant

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This topic contains 16 replies,
has 4 voices, and was last updated by Leo
8 years, 9 months ago.

Topic Details

Forum:	General Trading: Market Analysis & Manual Trading
Language:	English
Started:	12/03/2017
Status:	Active
Attachments:	1 files

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Better True ATR

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Better True ATR General Trading: Market Analysis & Manual Trading

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Better True ATR

General Trading: Market Analysis & Manual Trading