ATR Calculation - Trading Software

ATR Calculation

Mark Peterson
2014-10-22 02:01:59

There are differences between the values returned by the ATR indicator and a function implementation of the algorithm. I also created ATR in Excel. Finally I created a version that implements wilder's smoothing, but this made the difference worse.

Written Function (below) = Excel but != ATR(14)

Open/High/Close and period were confirmed to be the same.

The delta is much larger than can be explained by precision (up to 10%). Is there a different average to be used than Sma?

Thanks

http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr

-----Written Function-----

VectorD HighPrice = cFunctions.High;
VectorD LowPrice = cFunctions.Low;
VectorD ClosePrice = cFunctions.Close;
double PeriodLength = 14;
VectorD TrueHigh = TA.Max(HighPrice, TA.Ref(ClosePrice, 1));
VectorD TrueLow = TA.Min(LowPrice, TA.Ref(ClosePrice, 1));
VectorD TrueRange = TrueHigh - TrueLow;
VectorD ATR = TA.Sma(TrueRange, PeriodLength);

Comparison ATR QS = Internal QS indicator, ATR F = Above Code; ATR E = Excel Result; Diff is % difference

High Low Close ATR QS ATR F ATR E Diff
22.31 21.99 22.29 0.506019347 0.52429 0.52429 3.61%
22.7 21.81 22.27 0.520328528 0.52500 0.52500 0.90%
23.15 22.45 22.59 0.491892261 0.50929 0.50929 3.54%
23.67 22.76 22.83 0.475883973 0.48429 0.48429 1.77%
23.62 23.34 23.49 0.442490433 0.43571 0.43571 1.53%
24.15 23.61 23.68 0.450374312 0.45000 0.45000 0.08%
24.52 23.83 23.83 0.443480028 0.44571 0.44571 0.50%
24.88 24.49 24.63 0.416055415 0.40714 0.40714 2.14%
25.07 24.84 25.03 0.406521216 0.40000 0.40000 1.60%
24.95 24.7 24.87 0.420099772 0.39929 0.39929 4.95%
25.41 24.76 24.94 0.433184369 0.40429 0.40429 6.67%
25.43 25.12 25.28 0.416506244 0.37714 0.37714 9.45%
25.71 25.1 25.12 0.424699032 0.39000 0.39000 8.17%
25.75 25.5 25.69 0.410445111 0.36857 0.36857 10.20%
25.85 25.52 25.54 0.422787043 0.38286 0.38286 9.44%

QuantShare
2014-10-23 02:05:55

"TR" calculation is ok. However, the average TR (ATR) is calculated using this formula:

Current ATR = [(Prior ATR x 13) + Current TR] / 14

You are doing a calculation using a simple moving average

Mark Peterson
2014-10-23 11:52:50

Thanks - I tried this calculation and must have had an logic error.

This method for ATR is "Wilder's" smoothed algorithm.

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