Intraday true range on a Daily chart

trader rog

#1

5/3/2011 8:01 PM

Hi Everyone,
I am trying to compute true range using intraday data (5 minute bars) for use in this entry constraint: today's true range is greater than 80% of the last 20 days average true range. I know to synchronize the average true range, however, coding today's true range is giving me trouble. Entries are intraday so computing true range with end of day data would not suffice. Thank you to anyone that can help out.

Eugene

#2

5/4/2011 12:38 AM

(Before coding) let's agree on definitions first, what is "today's true range"? In your case, is it the distance between today's intraday High and Low, or it also includes a gap between today's High/Low and yesterday's Close as well?

trader rog

#3

5/6/2011 9:20 AM

It includes gaps, so it is the greatest of: 1)today's high and low, 2) today's high and previous close, or 3) today's low and previous close.

Eugene

#4

5/6/2011 9:42 AM

How about this simple solution?

Intraday / Multi-Time Frame | Accessing Intraday data from Daily

Cone

#5

5/6/2011 12:24 PM

That solution is to access intraday data in a daily chart, not required here.

trader_roq is trading intraday and wants to access Daily indicators, so you just need to use the SetScaleDaily() method, create the ATR indicator, RestoreScale(), Synchronize(). Voila.

The only thing left is to calculate today's true range on the fly using the intraday data:

CODE:
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That solution is to access intraday data in a daily chart, not required here.

trader_roq is trading intraday and wants to access Daily indicators, so you just need to use the SetScaleDaily() method, create the ATR indicator, RestoreScale(), Synchronize().  Voila.

The only thing left is to calculate today's true range on the fly using the intraday data:

[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 MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			Utility u = new Utility(this);
			
			// Create the 80% of 20-day ATR series
			SetScaleDaily();
			DataSeries atr80 = ATR.Series(Bars, 20) * 0.8;
			RestoreScale();
			atr80 = Synchronize(atr80);
			
			// Create today's TrueRange on an ongoing intraday basis
			DataSeries trToday = new DataSeries(Bars, "Today's True Range");
			double pc = 0d;
			double high = 0d;
			double low = 0d;
			double tr = 0d;
			
			for(int bar = u.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;
			}
			ChartPane trPane = CreatePane(40, true, true);
			PlotSeries(trPane, trToday, Color.Blue, LineStyle.Histogram, 2);
			PlotSeries(trPane, atr80, Color.Gray, LineStyle.Solid, 2);
		}
	}
} [/CODE]

Eugene

#6

5/6/2011 12:46 PM

Oops, you're right. I was about to code a pseudo-daily ATR when something went through my mind and see, a momentary lapse of reason.

Cone

#7

5/6/2011 1:53 PM

I see where the confusion is - it's the title that indicates something different than what was requested. So we're both right!

trader rog

#8

5/7/2011 3:39 PM

Thanks very much Eugene and Cone. That was a great help!

therooster

#9

5/9/2011 5:44 AM

Hey guys

Still learning but I think this has answered a question I also had.

If I want to take intraday entries on a 1hr chart but only in the direction of an SMA cross on the daily would I be correct in thinking I can use 'SetScaleDaily' to obtain the direction then reset scale to hourly to strat scanning for trades?

Thanks for the help.

Regards

Roy

Eugene

#10

5/9/2011 6:11 AM

Hi Roy,

Yes, your understanding is correct. Check out SetScaleDaily in the QuickRef for a code example illustrating a SMA crossover on Daily data.