ATR Calculation - Trading Software

ATR Calculation

Mark Peterson
2014-10-22 02:01:59

There are differences between the values returned by the ATR indicator and a function implementation of the algorithm. I also created ATR in Excel. Finally I created a version that implements wilder's smoothing, but this made the difference worse.

Written Function (below) = Excel but != ATR(14)

Open/High/Close and period were confirmed to be the same.

The delta is much larger than can be explained by precision (up to 10%). Is there a different average to be used than Sma?

Thanks

http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr

-----Written Function-----

VectorD HighPrice = cFunctions.High;
VectorD LowPrice = cFunctions.Low;
VectorD ClosePrice = cFunctions.Close;
double PeriodLength = 14;
VectorD TrueHigh = TA.Max(HighPrice, TA.Ref(ClosePrice, 1));
VectorD TrueLow = TA.Min(LowPrice, TA.Ref(ClosePrice, 1));
VectorD TrueRange = TrueHigh - TrueLow;
VectorD ATR = TA.Sma(TrueRange, PeriodLength);

Comparison ATR QS = Internal QS indicator, ATR F = Above Code; ATR E = Excel Result; Diff is % difference

High Low Close ATR QS ATR F ATR E Diff
22.31 21.99 22.29 0.506019347 0.52429 0.52429 3.61%
22.7 21.81 22.27 0.520328528 0.52500 0.52500 0.90%
23.15 22.45 22.59 0.491892261 0.50929 0.50929 3.54%
23.67 22.76 22.83 0.475883973 0.48429 0.48429 1.77%
23.62 23.34 23.49 0.442490433 0.43571 0.43571 1.53%
24.15 23.61 23.68 0.450374312 0.45000 0.45000 0.08%
24.52 23.83 23.83 0.443480028 0.44571 0.44571 0.50%
24.88 24.49 24.63 0.416055415 0.40714 0.40714 2.14%
25.07 24.84 25.03 0.406521216 0.40000 0.40000 1.60%
24.95 24.7 24.87 0.420099772 0.39929 0.39929 4.95%
25.41 24.76 24.94 0.433184369 0.40429 0.40429 6.67%
25.43 25.12 25.28 0.416506244 0.37714 0.37714 9.45%
25.71 25.1 25.12 0.424699032 0.39000 0.39000 8.17%
25.75 25.5 25.69 0.410445111 0.36857 0.36857 10.20%
25.85 25.52 25.54 0.422787043 0.38286 0.38286 9.44%

QuantShare
2014-10-23 02:05:55

"TR" calculation is ok. However, the average TR (ATR) is calculated using this formula:

Current ATR = [(Prior ATR x 13) + Current TR] / 14

You are doing a calculation using a simple moving average

Mark Peterson
2014-10-23 11:52:50

Thanks - I tried this calculation and must have had an logic error.

This method for ATR is "Wilder's" smoothed algorithm.

Get more messages

No more messages

Back


Trading Items ATR Trailing Indicator ATR - Average True Range Drawing Tool Fixed Bucket Calculation Wilder Volatility Index - Average True Range Chandelier Exits	How-to Lessons How to create a correlation matrix of several securities How to automatically draw Fibonacci Retracement for each new stoc... How to plot the relative performance of several stocks/indices How to create a composite index/indicator How to quickly select stocks based on the last value of a databas...
Related Forum Threads ATR stop and MM ATR stop in chart Composite Calculation Screener ATR percentile filter Set Global variable and running calculation Functions in MM scrip...	Blog Posts Ranking system calculation methods 4 different weighted index calculation methods Using Average True Range to Measure Intraday Volatility 3 ways to rank stocks in a trading system - Simulator and Potfoli... Adding Trading Indicators and Formulas to a Chart