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Jose,
It is true. I was doing some Trading System Conversion and
Correlation
between Metastock and Tradestation and found this to be the
case.
I had concluded that:
Tradestation - ATR(10)
was the same as
Metastock - Mov(ATR(1),10,S)
Looks like you have refined it even closer,...
-- Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Jose
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Thursday, February 26, 2004 9:10
PM
Subject: [EquisMetaStock Group] ATR -
True & Reverse
Whilst coding the True/Reverse ATR indicator below,
I've noticed that MetaStock Pro v8.01 smooths ATR's erroneously. The
MS exponential smoothing is based on periods*2-1.For example,
MetaStock's ATR(10) is the same as Mov(ATR(1),19,E).If I've missed
something here, I'd appreciate it if someone would please correct
me.====================ATR - True &
Reverse====================---8<---------------{ True ATR
and Reverse-ATR v1.0 }{ ©Copyright 2004 Jose Silva }{
josesilva22@xxxxxxxxx }{ Reverse True Range is the the
*smallest* of the following for each period: * The
distance from today's High to today's Low; *
The distance from yesterday's Close to today's
High; * The distance from yesterday's Close to
today's Low.}plot:=Input("[1]true ATR, [2]MS-compatible ATR,
[3]Reverse ATR",1,3,1);pds:=Input("ATR/RATR
periods",1,252,10);pdsN:=Input("normalizing periods
(1=none)",1,2520,1);x1:=ValueWhen(2,1,C);ATR1:=Max(H-L,Max(Abs(x1-H),Abs(x1-L)));ATRtrue:=Mov(ATR1,pds,E);ATRmeta:=Mov(ATR1,pds*2-1,E);rATR:=Mov(Min(H-L,Min(Abs(x1-H),Abs(x1-L))),pds,E);TR:=If(plot=1,ATRtrue,If(plot=2,ATRmeta,rATR));ATRnorm:=(TR-LLV(TR,pdsN))/(HHV(TR,pdsN)-LLV(TR,pdsN)+.000001)*100;ATRplot:=If(pdsN<2,TR,ATRnorm);ATRplot---8<---------------jose
'-)
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