ATR multiple time scales - Wealth Lab Forum

gbullr

#1

10/9/2014 5:59 PM

Is there an easy way to translate ATR.Series from daily scale to 5 minute scale?

I have a strategy that works on Short on Close and I am trying to have it implemented right before the Close .

On a daily basis it uses the one day ATR and the 60 day ATR.

Obvioulsy multiplying by 78 does not work.

Could one use the SetScaleDaily() function

gbullr

#2

10/9/2014 6:05 PM

Looking at this answer

http://www.wealth-lab.com/Forum/Posts/Intraday-true-range-on-a-Daily-chart-31688

Maybe you can delete my question so as to allow me to look less stupid/lazy?

Eugene

#3

10/10/2014 12:59 AM

Actually, I'm glad that you found the solution.

gbullr

#4

10/10/2014 1:31 PM

Ok. it was too good to be true.

Compiles but something in the logic is wrong that I cannot pinpoint and would appreciate your help.

So trying to calculate Daily ATR on 5 min data.

So I store prior Days Close in dayClose[bar]
Then calculate abs hi- prior close
Then calculate abs lo- prior close
then take the max

(At least this is what I think I am doing)

Appreciate help.

CODE:
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Ok. it was too good to be true.

Compiles but something in the logic is wrong that I cannot pinpoint and would appreciate your help.

So trying to calculate Daily ATR on 5 min data.

So I store prior Days Close in dayClose[bar] 
Then calculate abs hi- prior close
Then calculate abs lo- prior close 
then take the max

(At least this is what I think I am doing)

Appreciate help.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class CooledOffDemo : WealthScript
	{
		StrategyParameter atrLongper;
		StrategyParameter atrMult;
		StrategyParameter atrAgo;
		StrategyParameter two08tog;
		/*StrategyParameter param5; */
		
		public CooledOffDemo()
		{
			/*atrLongper = CreateParameter("atrLongper",15*78,15*78,60*78,1*78);
			atrMult = CreateParameter("atrMult",100,100,300,25);
			atrAgo = CreateParameter("atrAgo",10*78,10*78,80*78,5*78);
			two08tog = CreateParameter("two08tog",0,0,1,1);
		*/
			
		
			atrLongper = CreateParameter("atrLongper",15,15,60,1);
			atrMult = CreateParameter("atrMult",100,100,300,25);
			atrAgo = CreateParameter("atrAgo",10,10,80,5);
			two08tog = CreateParameter("two08tog",0,0,1,1);
		
			
		}
		
		protected override void Execute()
		{
			ChartPane pane1 = CreatePane(25,true,true);
			
			SetScaleDaily();
			//DataSeries atrShort = ATR.Series(Bars,1);
			DataSeries atrLong = ATR.Series(Bars,atrLongper.ValueInt);
			
			RestoreScale();
			
			 atrLong = Synchronize(atrLong); // Synchronization is Key!
		
			DataSeries atrShort = new DataSeries(Bars,"Up2ExecutionATR");
		   	DataSeries maxPre = new DataSeries(Bars,"Up2ExecutionATR");
			DataSeries dayClose = new DataSeries(Bars,"Up2ExecutionATR");
			DataSeries dayRange = new DataSeries(Bars,"dayRange");
			DataSeries preLo = new DataSeries(Bars,"preLo");

DataSeries preHi = new DataSeries(Bars,"preHi");

for (int bar = 78; bar < Bars.Count; bar++)
			{
				
				int day = 0 ; 
				
				if(Bars.IsLastBarOfDay(bar) == true)
				{
					dayClose[bar] = Close[bar];
					day = bar; 
				}
				else
					dayClose[bar] = dayClose[bar-1];
				
				dayRange = Highest.Series(High,Bars.Count - day) - Lowest.Series(Low,Bars.Count-day);
				
				preLo = DataSeries.Abs(Lowest.Series(Low,Bars.Count-bar)- dayClose);//Bars.Close[Bars.Count - bar]);
				preHi = DataSeries.Abs(Highest.Series(Low,Bars.Count-bar)- dayClose); //Bars.Close[Bars.Count - bar]);
			
			   if ( preHi[bar] > preLo[bar])
					maxPre[bar] = preHi[bar];
				else
					maxPre[bar] = preLo[bar];
			
				if( dayRange[bar] > maxPre[bar])
					atrShort[bar] = dayRange[bar];
				else
					atrShort[bar] = maxPre[bar];
			
			}
			
					
			
			PlotSeries(pane1, atrLong,Color.Red,LineStyle.Dashed,2);
			PlotSeries(pane1, atrShort,Color.Blue,LineStyle.Dashed,2);
			PlotSeries(pane1, preLo,Color.Red,LineStyle.Dashed,2);
			PlotSeries(pane1, preHi,Color.Green,LineStyle.Dashed,2);
			PlotSeries(pane1, dayRange,Color.BurlyWood,LineStyle.Dashed,2);
			
		
		}
	}
}[/code]

Cone

#5

10/10/2014 2:20 PM

DataSeries.Abs takes the Absolute value of an entire DataSeries. This is not an operation that you put in a loop.

Back up a little. Didn't the script in the solution that you found do what you want? What are you trying to re-invent here?

gbullr

#6

10/10/2014 2:23 PM

I have to look at the prior solution again but I need to have a dataseries of the 1 DAY ATR so that I can see if there is an x over.

Cone

#7

10/11/2014 4:04 AM

1-day ATR is True Range

Here's the solution re-organized to call the Intraday True Range Series as an informal indicator. It plots the True Range with respect to yesterday's close for each intraday bar. If you must have the long period ATR to be based on intraday changes too, then more work is required for that.

CODE:
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1-day ATR is True Range

Here's the solution re-organized to call the Intraday True Range Series as an informal indicator.  It plots the True Range with respect to yesterday's close for each intraday bar.  If you must have the long period ATR to be based on intraday changes too, then more work is required for that.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class ATRMultipleScales : WealthScript
	{
		
		StrategyParameter _longperiod;
		
		public ATRMultipleScales()
		{
			_longperiod = CreateParameter("ATR Period", 60, 15, 60, 5);
		}
		
		/* Returns today's TrueRange on an ongoing intraday basis (w.r.t. yesterday's close) */
		public DataSeries IntradayTrueRangeSeries()
		{
			DataSeries trToday = new DataSeries(Bars, "Today's True Range");
			double pc = 0d;
			double high = 0d;
			double low = 0d;
			double tr = 0d;
         
			for(int bar = this.FirstBarofDay(2); bar < Bars.Count; bar++)
			{
				if (Bars.IntradayBarNumber(bar) == 0)
				{
					high = High[bar];
					low = Low[bar];   
					pc = Close[bar - 1];
				}
				else
				{      
					if (High[bar] > high) high = High[bar];
					if (Low[bar] < low) low = Low[bar];
				}            
				double d1 = high - low;
				double d2 = Math.Abs(high - pc);
				double d3 = Math.Abs(low - pc);
				tr = d1 > d2 ? d1 : d2;
				if (d3 > tr) tr = d3;            
				trToday[bar] = tr;
			}
			return trToday;
		}
		
		protected override void Execute()
		{   
			// Estimate bars required for long atr
			int barsreqd = (_longperiod.ValueInt + 1) * 390 / Bars.BarInterval;			
			if (Bars.Count < barsreqd)
			{
				System.Windows.Forms.MessageBox.Show("At least " + barsreqd + " bars required for long ATR");
				return;
			}
			
			// Create the long ATR series
			SetScaleDaily();
			DataSeries atrlong = ATR.Series(Bars, _longperiod.ValueInt);
			RestoreScale();
			atrlong = Synchronize(atrlong);
         	
			// Get the intraday True Range series
			DataSeries atrintra = IntradayTrueRangeSeries();			
			
			// Plot them
			ChartPane trPane = CreatePane(40, true, true);
			PlotSeries(trPane, atrintra, Color.Blue, LineStyle.Histogram, 2);
			PlotSeries(trPane, atrlong, Color.Gray, LineStyle.Solid, 2);
		}
	}
} [/code]