Better True ATR

juanj · Sun, 03 Dec 2017 21:47:32 +0000

Good |Day Everyone I am looking for some inputs regarding calculating a better true reflection of ATR rather than just using the simple ATR calculated over n amount of periods. My thoughts here are to get rid of the extremes (suxh as price spikes) that tend to skew ATR. So two approaches I have tried so far is; Calculating the Median ATR using i.e. 3 data samples; ATR1 = AverageTrueRange[x](close) ATR2 = AverageTrueRange[x](close)[x] ATR3 = AverageTrueRange[x](close)[x+x] If (ATR1 > ATR2 and ATR1 < ATR3) or (ATR1 > ATR3 and ATR1 < ATR2) Then ATR = ATR1 ElsIf (ATR2 > ATR1 and ATR2 < ATR3) or (ATR2 > ATR3 and ATR2 < ATR1) Then ATR = ATR2 ElsIf (ATR3 > ATR1 and ATR3 < ATR2) or (ATR3 > ATR2 and ATR3 < ATR1) Then ATR = ATR3 EndIf Or taking i.e. 3 ‘random data samples and calculating the average (although this will still contain extremes) ATR = (ATR + (AverageTrueRange[15](close)[20]+AverageTrueRange[5](close)[15]+AverageTrueRange[15](close))/3)/2 Does anyone else maybe have some thoughts around this?

This topic has 16 replies, 4 voices, and was last updated 7 years ago by Leo.

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12/05/2017 at 7:56 AM #54736

Nicolas

Another tip about finding the “good” stoploss and takeprofit values is to use averages of MAE/MFE.

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12/05/2017 at 12:37 PM #54773

Leo

Hi juanj,

This is what I use for ATR:

ATR LEO

P=20 // or what ever period myATR=average[P](range)+STD[P](range)

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P=20 // or what ever period

myATR=average[P](range)+STD[P](range)

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Leo
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Better True ATR

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