how does esignal calulate atr?

[kalzenith]

i assume this a relatively simple question, what i would like to know is how esignal calculates atr, because ((high(0) - low(0))+(high(-1)-low(-1)))/2 doesnt seem to give me the same result as atr(2). so i assume the calculation isnt just the high minus the low, unless im doing something wrong.

thanks

[ACM]

Re: how does esignal calulate atr?

kalzenith
See this article in the Technical Analysis Dictionary folder of the eSignal KnowledgeBase which describes how the True Range is calculated
Alex

Originally posted by kalzenith
i assume this a relatively simple question, what i would like to know is how esignal calculates atr, because ((high(0) - low(0))+(high(-1)-low(-1)))/2 doesnt seem to give me the same result as atr(2). so i assume the calculation isnt just the high minus the low, unless im doing something wrong.

thanks

[kalzenith]

i already have, but this doesnt seem to return the same result..

var one = 0;
var two = 0;
var three = 0;
var four = 0;
var five = 0;
var R = 0;
var R1 = 0;

function main() {

one = high()-low()
two = high() - close(-1)
three = close(-1) - high()
four = low() - close(-1)
five = close(-1) - low()

R1 = R

R = one
if (two > R) R = two
if (three > R) R = three
if (four > R) R = four
if (five > R) R = five

return new Array (
    atr(2),
    (R + R1)/2
)
} 

[kalzenith]

i edited the code below, i found some pretty obvious errors in the logic, but im still not getting the same value the atr() function gives

[ACM]

kalzenith
You can find an example of the required logic in the ATR.efs which is installed in the Library folder of Formulas
Alex

Originally posted by kalzenith
i edited the code below, i found some pretty obvious errors in the logic, but im still not getting the same value the atr() function gives

[kalzenith]

that efs help a bit, i made a function to call that will return an atr of length 1 and it looks like it is 100% accurate, but i tried inserting the function into an sma() using efsInternal, and it doesnt seemt o have worked, does anyone know why this might be?

function main() {
return new Array (
    atr(30),
    sma(30,efsInternal("calc"))
)
}
function calc() {
return Math.max(high()-low(), Math.abs(high() - close(-1)), Math.abs(low() - close(-1)))
} 

[ACM]

kalzenith
The ATR study does not use a simple moving average for its calculations but the following smoothing method
(previous_ATR*(period-1)+current_true_range)/period
You can find the complete logic in the efs I mentioned
Alex

Originally posted by kalzenith
that efs help a bit, i made a function to call that will return an atr of length 1 and it looks like it is 100% accurate, but i tried inserting the function into an sma() using efsInternal, and it doesnt seemt o have worked, does anyone know why this might be?

function main() {
return new Array (
    atr(30),
    sma(30,efsInternal("calc"))
)
}
function calc() {
return Math.max(high()-low(), Math.abs(high() - close(-1)), Math.abs(low() - close(-1)))
}