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ATR(MA) Progamming

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    #16
    Originally posted by Stok View Post
    OK, here is ES H4. The bottom cyan is the daily ATR and the read line is the 14EMA. This only updates EOD, so in the data panel to the upper left the red number is ATR(14) as of yesterday. I can plot the ATR(14)SMA on top as well to see the differences if need be. Thanks for your help!
    That makes things easier.

    The histogram on your chart shows the true range of each bar. NinjaTrader only has the ATR indicator, but if you set the period to 1, you can display the true range as well. As you can see the true range of today's bar is 15.25 as indicated by both software packages.

    The red moving average is an EMA(14) of the true ranges. You can also build this indicator with NinjaTrader by simply adding an EMA(14) to your chart, but for that EMA you need to select the ATR(1) as input series. If you compare the values of the two software packages, Ensign prints 13.98, while NinjaTrader comes up with 14.00. This is a small difference and it is probably data related. The ATR is calculated from the daily close values. My data (Kinetick) provides the daily settlement price, maybe Ensign comes with a regular close or has a different settlement price for one of the last 14 business days.

    The Ensign ATR formula is not the original one suggested by Welles Wilder Jr.. It uses the smoothing factor 1/(2N + 1) instead of the smoothing factor 1/N used by Wilder. Actually you can convert the Ensign (modified) ATR to the NinjaTrader (original) ATR for odd periods. For even periods it is not possible.

    (1) Convert ATR(13) from Ensign: The smoothing constant used by Ensign is 2/(13+1) = 2/14 = 1/7. You can therefore simply apply an ATR(7) to your NinjaTrader chart.

    (2) Convert ATR(14) from Ensign: The smoothing constant used by Ensign is 2/(14+1) = 2/15 = 1/7.5. As you cannot display an ATR(7.5) with NinjaTrader, the Ensign ATR cannot be exactly converted, when an even period is used.

    But in any case, NinjaTrader allows you to add an EMA and then select the ATR(1) - true range - as input series.

    Chart attached.
    Attached Files

    Comment


      #17
      Originally posted by Harry View Post
      That makes things easier.

      The histogram on your chart shows the true range of each bar. NinjaTrader only has the ATR indicator, but if you set the period to 1, you can display the true range as well. As you can see the true range of today's bar is 15.25 as indicated by both software packages.

      The red moving average is an EMA(14) of the true ranges. You can also build this indicator with NinjaTrader by simply adding an EMA(14) to your chart, but for that EMA you need to select the ATR(1) as input series. If you compare the values of the two software packages, Ensign prints 13.98, while NinjaTrader comes up with 14.00. This is a small difference and it is probably data related. The ATR is calculated from the daily close values. My data (Kinetick) provides the daily settlement price, maybe Ensign comes with a regular close or has a different settlement price for one of the last 14 business days.

      The Ensign ATR formula is not the original one suggested by Welles Wilder Jr.. It uses the smoothing factor 1/(2N + 1) instead of the smoothing factor 1/N used by Wilder. Actually you can convert the Ensign (modified) ATR to the NinjaTrader (original) ATR for odd periods. For even periods it is not possible.

      (1) Convert ATR(13) from Ensign: The smoothing constant used by Ensign is 2/(13+1) = 2/14 = 1/7. You can therefore simply apply an ATR(7) to your NinjaTrader chart.

      (2) Convert ATR(14) from Ensign: The smoothing constant used by Ensign is 2/(14+1) = 2/15 = 1/7.5. As you cannot display an ATR(7.5) with NinjaTrader, the Ensign ATR cannot be exactly converted, when an even period is used.

      But in any case, NinjaTrader allows you to add an EMA and then select the ATR(1) - true range - as input series.

      Chart attached.
      Thanks Harry so much! Looks like it solved the issue!!

      Comment

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