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Problem with eSignal's ATR Calculation!

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  • Problem with eSignal's ATR Calculation!

    I was wondering why the built-in ATR that comes with eSignal gives a different result than if the ATR were calculated by the traditional method; Which is defined as follows:


    True Range is the greatest of the following three values:

    · difference between the current maximum and minimum (high and low);

    · difference between the previous closing price and the current maximum;

    · difference between the previous closing price and the current minimum.

    When I import raw data from eSignal into Excel and calculate the ATR based on the above criteria, I get a different result than the ATR eSignal provides.

    Is their different ways of calculating ATR or is their a problem with eSignal's ATR calculation?

    I am using eSignal 8.0, Build 779.

  • #2
    Re: Problem with eSignal's ATR Calculation!

    steven723
    That only defines the True Range [which you can compute by setting the length of the Average True Range study to 1] and not the Average True Range which is the average [calculated using Wilder's smoothing] of the True Range
    Just to confirm in the following screenshot you can see eSignal's Average True Range of 1 period compared to an efs that calculates the True Range as per its definition. As you can see the values are identical
    Alex




    Originally posted by steven723
    I was wondering why the built-in ATR that comes with eSignal gives a different result than if the ATR were calculated by the traditional method; Which is defined as follows:


    True Range is the greatest of the following three values:

    · difference between the current maximum and minimum (high and low);

    · difference between the previous closing price and the current maximum;

    · difference between the previous closing price and the current minimum.

    When I import raw data from eSignal into Excel and calculate the ATR based on the above criteria, I get a different result than the ATR eSignal provides.

    Is their different ways of calculating ATR or is their a problem with eSignal's ATR calculation?

    I am using eSignal 8.0, Build 779.

    Comment


    • #3
      Hi Alex,

      I now understand how to calculate the true range but what I do not understand is how to calculate the Average True Range.

      Is their any way you can post what the exact calculation is for the ATR so I can duplicate it in Excel to understand it more.

      Thanks, Steven

      Comment


      • #4
        Steven
        You can find the complete logic in the RSIEnhanced.efs which is in the Library folder of Formulas
        Alex


        Originally posted by steven723
        Hi Alex,

        I now understand how to calculate the true range but what I do not understand is how to calculate the Average True Range.

        Is their any way you can post what the exact calculation is for the ATR so I can duplicate it in Excel to understand it more.

        Thanks, Steven

        Comment


        • #5
          Hi Alex,

          I looked at the code in the file "RSIEnhanced.efs" and it contains nothing in regards to ATR. Can you please help.

          Thanks, Steven

          Comment


          • #6
            Steven
            Sorry I meant to write ATR.efs not RSIEnhanced.efs (although actually also the RSI study uses Wilder's smoothing).
            Alex


            Originally posted by steven723
            Hi Alex,

            I looked at the code in the file "RSIEnhanced.efs" and it contains nothing in regards to ATR. Can you please help.

            Thanks, Steven

            Comment

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