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Hey Guys!
I am hoping to create my own 14 day ATR.
I have the average true range calculation down, the only I am stumped on is calculating a Wilder's or Exponential Smoothing Factor. Would much appreciate some help.
Smoothing Factor formula is:
(a*TR[0])+(1-a)*ATR[1]
where a is (2/(n+1)) or 1/n
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Louis Szeto
Hi Matt
You could actually create an Exponential Moving Average of the ATR indicator using IndicatorExtensions.EMA:
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Matt Halliwell
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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