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04/30/2016 at 7:39 PM #6272 quote
Nicolas
Keymaster

Master
Well, I found something more relevant for the formula :
```
Current ATR = [(Prior ATR x 13) + Current TR] / 14

  - Multiply the previous 14-day ATR by 13.
  - Add the most recent day's TR value.
  - Divide the total by 14
```
So here is the ATR formula to compute the Daily timeframe to be used in any other timeframe.
```
period = 14

//True range calculation
d1 = Dhigh(0)-Dlow(0)
d2 = abs(Dhigh(0)-Dclose(1))
d3 = abs(Dlow(0)-Dclose(1))

dailyTR =max(d1,max(d2,d3))

c = exponentialaverage[period](dailyTR)

RETURN c as "Daily Timeframe ATR"
```
Which return the good result in daily timeframe, same as the embedded ATR of the platform (look at picture attached). But a slightly different one when in inferior timeframe. Don’t know really why for the moment..

average-true-range-on-a-daily-timeframe.png
04/30/2016 at 7:53 PM #6274 quote

Robin
Participant

Veteran

Thanks Nicolas, thats great 🙂
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This topic contains 16 replies,
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Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/18/2016
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