This is my fault-tolerant ATR indicator for you

Gamestudio Links

Zorro Links

Newest Posts

Trading Journey
by howardR. 04/24/24 20:04

M1 Oversampling
by Petra. 04/24/24 10:34

Zorro FIX plugin - Experimental
by flink. 04/21/24 07:12

Data from CSV not parsed correctly
by EternallyCurious. 04/20/24 21:39

Scripts not found
by juergen_wue. 04/20/24 18:51

zorro 64bit command line support
by 7th_zorro. 04/20/24 10:06

StartWeek not working as it should
by jcl. 04/20/24 08:38

folder management functions
by VoroneTZ. 04/17/24 06:52

AUM Magazine

Latest Screens

Who's Online Now

2 registered members (AndrewAMD, howardR), 452 guests, and 5 spiders.

Key: Admin, Global Mod, Mod

Newest Members

Mega_Rod, EternallyCurious, howardR, 11honza11, ccorrea
19048 Registered Users

Print Thread

Rating: 5

This is my fault-tolerant ATR indicator for you #477095 05/16/19 12:20 05/16/19 12:20
Joined: Dec 2014 Posts: 206 Germany Smon OP Member
Smon OP Member Joined: Dec 2014 Posts: 206 Germany	Why you need it: Price Data can sometimes be crappy, like price not being updated for days (like the Dukascopy Forex Dataset). This will cause the normal ATR indicator to trend towards Zero or even reach Zero - really bad if you divide by ATR! So my fault-tolerant ATR works like this: If the newest price bar is completely flat (High = Open = Close = Low), it's probably fake/missing data and will be ignored. This is the case when TrueRange is Zero. The ATR value will only update again if new price data arrives. Code: function ftATR(ATRPeriod) { vars tr = series(0, -ATRPeriod); // create a static series if(TrueRange() != 0) { shift(tr, TrueRange(), ATRPeriod); } if(tr[ATRPeriod-1] == 0) { ATRPeriod = 1; while(tr[ATRPeriod] != 0) ATRPeriod++; } var myATR = Sum(tr, ATRPeriod) / ATRPeriod; return(myATR); } usage: (put the function code before the run function) Code: ftATR(int TimePeriod): var example: Code: var my_atr = ftATR(30);

Re: This is my fault-tolerant ATR indicator for you [Re: Smon] #477118 05/18/19 14:35 05/18/19 14:35
Joined: Aug 2018 Posts: 98 O OptimusPrime Junior Member
OptimusPrime Junior Member O Joined: Aug 2018 Posts: 98	Thank you! Thanks so much, OptimusPrime

Re: This is my fault-tolerant ATR indicator for you [Re: OptimusPrime] #477164 05/26/19 12:54 05/26/19 12:54
Joined: Dec 2014 Posts: 206 Germany Smon OP Member
Smon OP Member Joined: Dec 2014 Posts: 206 Germany	I just found an error that wasn't detected by the compiler. I mixed some R syntax in. It's Code: var ftATR(int ATRPeriod) not Code: function ftATR(ATRPeriod)

Re: This is my fault-tolerant ATR indicator for you [Re: Smon] #482019
12/06/20 19:50 12/06/20 19:50

Joined: Dec 2014
Posts: 206
Germany

Smon

OP
Member

Smon

OP
Member

Joined: Dec 2014
Posts: 206
Germany

And now without internal series (internal series just suck):

Code

var ftATR2(int ATRPeriod)
{
	var* tr = zalloc(ATRPeriod*sizeof(var));
	int i = 0;
	int ElementIDX = 0;
	var MyTrueRange;
	
	while(ElementIDX < ATRPeriod)
	{
		MyTrueRange = max(priceHigh(0+i),priceClose(1+i))-min(priceLow(0+i),priceClose(1+i));
		if (MyTrueRange != 0)
		{
			tr[ElementIDX] = MyTrueRange;
			ElementIDX++;
		}
		i++;
		if(i > 10*ATRPeriod) break;
	}
	
	var myATR = Sum(tr, ElementIDX) / ElementIDX;
	if(!Init && !is(LOOKBACK) && myATR == 0) printf("\nftATR is zero! This shouldn't happen!");
	return(myATR);
}

Last edited by Smon; 12/06/20 19:51.

Moderated by Petra