Daily ATR

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09/22/2017 at 7:10 PM #47002 quote

pimento
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How to I code a DAILY ATR to use on intraday charts. I have tried thw following but it does not give me a single value for the day as I was expecting it would.

tr1 = ABS(DHigh(1) – DLow(1))
tr2 = ABS(DHigh(1) – DClose(2))
tr3 = ABS(DLow(1) – DClose(2))

TrueRange = wilderaverage[14](max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1)))))

09/22/2017 at 7:38 PM #47007 quote

pimento
Participant

Average

Sorry posted the wrong second half of the formula.

tr1 = ABS(DHigh(1) – DLow(1))
tr2 = ABS(DHigh(1) – DClose(2))
tr3 = ABS(DLow(1) – DClose(2))

TrueRange = wilderaverage[14](Max(MAX(tr1,tr2),MAX(tr2,tr3)))

09/22/2017 at 10:38 PM #47023 quote

Despair
Blocked

Master

Check if you get the close that you think you do. Depending on which security you use this for the close might be in the middle of the night.

09/25/2017 at 10:18 AM #47218 quote

Nicolas
Keymaster

Master

I already coded something around the Daily ATR calculation on an intraday timeframe, this is an example: https://www.prorealcode.com/prorealtime-indicators/daily-atr-range-for-intraday-chart/

09/25/2017 at 1:53 PM #47257 quote

pimento
Participant

Average

Thanks Nicolas and Despair.

I am trying to put this into a Trading System, and cannot get it to work. The code returns a value for the current day, but I need a value for every day going back, and can’t see what to do.
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Daily ATR

ProOrder: Automated Strategies & Backtesting

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pimento @pimento Participant

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This topic contains 4 replies,
has 3 voices, and was last updated by pimento
8 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	09/22/2017
Status:	Active
Attachments:	No files

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