Screener ATR percentile filter

Screener ATR percentile filter

Glen
2017-11-28 06:15:08

Hi all,

I'm trying to run a filter on selected stocks.

Basically I want to measure if a stock has closed in the top 20 percentile of the last 14 day ATR. So a thrust move with the daily close moving into the top 20th percentile of the ATR (14).

I have come up with this formula, but I don't think it is correct. It is picking up stocks that are closing below the top 20 percentile ATR (14). Is anyone able to see where I am going wrong?

Rule1 = (atr(1)) > (0.8*atr(14));

Thanks very much for all your help.

Cheers
G

QuantShare
2017-11-28 06:46:54

Please use this function to get percentile rank of an indicator over N past bars.
https://www.quantshare.com/item-549-percentile-percent-rank-of-a-trading-indicator

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