ATR past 10 days

[keavenen]

Hi,

CQG have this feature. It is as follows....

It keeps track of the ATR for the major indices over the last 10 days e.g. yesterday and 9 previous days.

It is taken from the high - the low everyday for the last 10 days and then an average taken of the 10 days.

This feature is not in esignal. Can anyone help in creating it.

Thanks

[demarcog]

Re: ATR past 10 days

Originally posted by keavenen
Hi,

CQG have this feature. It is as follows....

It keeps track of the ATR for the major indices over the last 10 days e.g. yesterday and 9 previous days.

It is taken from the high - the low everyday for the last 10 days and then an average taken of the 10 days.

This feature is not in esignal. Can anyone help in creating it.

Thanks

If you are asking for the Average True Range, this is available Chart Options- Basic Studies-Average True Range....set the period to 10 once the study is loaded into a daily chart by right clicking in the chart and select Edit studied - Average True Range and change the value to 10.

[keavenen]

reply

Thanks for your reply.

Yes it is the Average True Range I'm looking for but it is to output it to excel using DDE for the past 10 days activity

e.g. the ATR(10)of the German DAX is 15.6.

It seems straight forward but I can't seem to do it and my excel skills are very limited.

Any help would be appreciated.

Someone said try the following e.g. for the SMI

WINROS| HIGH SMI
WINROS| LOW SMI

The high - the low will give you the ATR for the day and then get the last 10 days and take the average.


Tried a few things but to no avail.

[demarcog]

Re: reply

Originally posted by keavenen
Thanks for your reply.

Yes it is the Average True Range I'm looking for but it is to output it to excel using DDE for the past 10 days activity

e.g. the ATR(10)of the German DAX is 15.6.

It seems straight forward but I can't seem to do it and my excel skills are very limited.

Any help would be appreciated.

Someone said try the following e.g. for the SMI

WINROS| HIGH SMI
WINROS| LOW SMI

The high - the low will give you the ATR for the day and then get the last 10 days and take the average.


Tried a few things but to no avail.

Whatever value you receive in the ATR(10) on a daily chart is the number you are looking for, you don't have to calculate any additional averages and shouldn't need Excel DDE for this.



There is a sample spreadsheet installed in the eSignal Program Folder that you may find helpful as working example.


You can also search the forum on "EXCEL DDE" and I'm sure you will be pointed in the right direction.

[checkraise]

Hi keavenen,

The DDE works fine on the ATR study by using the EFS Editor to modify the script found HERE. Just substitute "atr" for "StochK" on line 1 and "atr(10)" for "stochK(14,3,3)" on line 11. Then follow the instructions at the link to run the DDE into an Excel cell.

Also, not sure if it matters for your purposes, but the ATR is a bit more than just a bar's High minus Low. It accounts for gaps from bar to bar by using the Previous Close (PC) as the current Low if the PC is lower than the current Low, and using PC if it is higher than the current High. If you want to ignore gaps and use actual High - Low rather than the ATR study, there's an excellent thread HERE with the second script down using EFS2 to chart the non-ATR range.