RE: [amibroker] ATR formula in AmiBroker

["Thomas Z." <tzg@xxxxxxxxxxxxxxxxxxx>]

Hello,

the ATR uses Wilders smoothing while you used simple smoothing. Here is the
code that matches the build-in calculation.

TrueRange = Max( H - L, Max( abs( H - Ref( C, -1 ) ), abs( L - Ref( C, -1 )
) ) );
myATR = Wilders(TrueRange, 3);
Plot(myATR, "myATR", colorBlue, 1);

Thomas
www.PatternExplorer.com


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of tomeklutel
Sent: Friday, December 05, 2008 10:01 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] ATR formula in AmiBroker

Hi,

I'm trying to write my own ATR to work exactly like AmiBroker ATR (for
further implementation of weights). I attempted to apply formula from here ,
unfortunately it returns different results and performs worse than AmiBroker
implementation in BackTester. Could you help me with that ? This is what I
have so far:

amiATR=ATR(3);

myATR = (
     Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),0) +

     Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),-1) + 

     Ref(Max(H-L,Max(abs(H-Ref(C,-1)),abs(L-Ref(C,-1)))),-2)
        ) / 3;

Plot(amiATR,"AmiBroker ATR",colorBlack);
Plot(myATR ,"my ATR",colorRed)

Regards,
Tomek
 


------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
*********************

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html

*********************************
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/