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This is my fault-tolerant ATR indicator for you #477095
05/16/19 12:20
05/16/19 12:20
Joined: Dec 2014
Posts: 130
Germany
sdh309795gaas Offline OP
Member
sdh309795gaas  Offline OP
Member

Joined: Dec 2014
Posts: 130
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: sdh309795gaas] #477118
05/18/19 14:35
05/18/19 14:35
Joined: Aug 2018
Posts: 74
O
OptimusPrime Offline
Junior Member
OptimusPrime  Offline
Junior Member
O

Joined: Aug 2018
Posts: 74
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: 130
Germany
sdh309795gaas Offline OP
Member
sdh309795gaas  Offline OP
Member

Joined: Dec 2014
Posts: 130
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)



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