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For Stop Loss Placement, like the included Parabolic SAR:
Wilder calculates his SAR (stop and reverse level) using a 7-day Average True Range multiplied by a constant of 3.0
This is then subtracted from the highest recent close to arrive at the SAR stop level in an up-trend.
In a down-trend it is added to the lowest recent close to arrive at the SAR.
SAR has to be recalculated every day because of the change to ATR.
The Volatility Index (VI) is described by Wilder as:
VI Today = (13 * VI Prev + TR1) / 14 where TR1 is today's true range.
He defines the true range as the greatest of the following:
The distance from today's high to today's low
The distance from yesterday's close to today's high, or
The distance from yesterday's close to today's low.
Wilder calculates his SAR (stop and reverse level) using a 7-day Average True Range multiplied by a constant of 3.0
This is then subtracted from the highest recent close to arrive at the SAR stop level in an up-trend.
In a down-trend it is added to the lowest recent close to arrive at the SAR.
SAR has to be recalculated every day because of the change to ATR.
The Volatility Index (VI) is described by Wilder as:
VI Today = (13 * VI Prev + TR1) / 14 where TR1 is today's true range.
He defines the true range as the greatest of the following:
The distance from today's high to today's low
The distance from yesterday's close to today's high, or
The distance from yesterday's close to today's low.
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