Problem with eSignal's ATR Calculation!

[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.

[ACM]

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.

[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

[ACM]

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

[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

[ACM]

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