Yes, replacing
ATR(15) >= ATRvalue
by Wilders
( H-L, 15 ) >= ATRvalue will neglect the interday gaps.
Note that Wilders(H-L, 15) = EMA(H-L, 29),
so you may want to try shorter periods.
Bob
-----Original
Message-----
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf
Of Tony Lei
Sent: Saturday, December 10, 2005
2:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Stock and
criteria selection help
hi
Can you confirm that this is correct?
Price = Param ( " Price ", 10, 10, 1000, 5 ) ;
Today_Vol = Param ( " Today's Volume ", 400000, 100000, 150000000,
1000 ) ;
AvgVol = Param ( " Average Volume ", 400000, 100000, 150000000, 1000
) ;
ATRvalue = Param ( " ATR ", .8, .5, 5, .1 ) ;
Myfilter = Close > Price AND V >= Today_Vol AND EMA (V, 30) >= AvgVol
AND Wilders ( H-L, 15 ) >= ATRvalue ;
thanks
tony
On 12/10/05, Bob Jagow
<bjagow@xxxxxxxxxxxxx> wrote:
The
Range is just (H-L) vs. the True Range that Wilder's ATR() uses.
If you
want to apply ATR-type averaging to (H-L), use Wilders( (H-L), Periods)
instead of
MA(
(H-L), Periods) or EMA( (H-L), Periods).
Bob
Hi all,
I've been using Average True Range for quite sometime for my
stock criteria selection but I would like to create a similar indicator based
on the High and Low of the day. How would I create a similar indicator
where I can pick stocks that have traded more than $1.5 from the low or high of
the day (excluding gaps) on average of 15 days?
E.g.
AET, CEPH, COF, TIE
You can see that above stocks have traded for about $1.5 or more
in a day excluding gaps.
Thanks
tony
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