StockFetcher Forums · Filter Exchange · TRUE Average True Range (ATR)<< >>Post Follow-up
binque
6 posts
msg #145190
Ignore binque
11/4/2018 4:49:03 PM

ATR has it's weakness. A ATR of $1 on a $20 stock is 5% where a $1 ATR on a $100 stock is 1%. Here is a filter to give you a True Average True Range (TATR)

/* convert ATR to percent */
set{rat1,atr(14)/high}
set{ATR%,rat1*100}
add column atr(14)
add column ATR%
atr% > 10

I find this filter very helpful when determining which stocks to DAY Trade or SWING Trade.


jimvin
134 posts
msg #146470
Ignore jimvin
2/7/2019 7:10:21 PM

Looks like a nice base to build a model on

Thanks -

jm.v.

Village Elder
62 posts
msg #146471
Ignore Village Elder
modified
2/7/2019 7:18:29 PM

Try this?

https://www.stockfetcher.com/forums/Indicators/Day-Range-Average-Day-Range-Day-Point-Range/26144

Day Range
Average Day Range(period)
Day Point Range

Description
The day range returns the difference between the high and low prices of the day, represented as a percent of the closing value. For example, suppose a stock closed at 10, the high was 11 and the low was 9. The difference between the high and low is 2. Represented as a percent, the day range is: 20%.

The average day range computes a simple average of the day range over a given number of days. This value is also represented as a percent of the closing price.

Finally, the day point range is the actual price difference between the high and low of the day. The day point range is not converted to a percent.


mahkoh
1,059 posts
msg #146476
Ignore mahkoh
modified
2/8/2019 12:23:22 PM

Fetcher[
average true range percent(14) above 10
]



Edit, forgot to state the period, now set to 14.
I used a similar code:

set{atr1,weighted atr(20) / close}
set{atr20,atr1 * 100}
add column atr20

until I found out SF has a built in atr percent.

nibor100
369 posts
msg #146477
Ignore nibor100
2/8/2019 1:15:15 PM

@binque,

1. I notice you are dividing the 14 day Average True Range by today's High price; is there a reason you are not using the highest High price over the same 14 day period that the Average True range is using?

2. Your message elicited some interesting replies, including this 1 from me, as one suggests you try using just the daily high low range related to the closing price as opposed to the Welles Wilder True Range; and the other appears to be using a 90 day Average True Range as the gauge.

Maybe a bit more analysis is required to get exactly what you were describing....

Ed S.


StockFetcher Forums · Filter Exchange · TRUE Average True Range (ATR)<< >>Post Follow-up

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