How is the Average True Range calculated in Ninjatrader?

[bbakee]

Can someone explain this ?

If I have ATR with period "1", I get these results for the last 10 days in FESX:

1. 137
2. 133
3. 147
4. 112
5. 139
6. 205
7. 67
8. 42
9. 127
10. 126

Alltogether it is 1235.
Now i want to have a ATR with perod "10".
Ninjatrader has 141,28 as the result.

But if I divide 1235 with 10, I get 123,50 as a result.
With an other chartprogramm I get 123, 50 as a result, too.

So, how is Ninjatrader ATR calculated to get 141,28 as a result ?


Best regards,

bbakee

[NinjaTrader_Ben]

Hello,

The official calculation of ATR does NOT use solely the averaging period and true ranges of period bars looking back to do the calculation. ATR uses the averaging period of the AVERAGED ATR values for the bars within your period. To help understand this how this works take a look at this link:

http://www.fmlabs.com/reference/default.htm?url=ATR.htm

And/or go to Tools>Edit>Indicator>ATR>OK and take a look at the calculation we use, which matches the official calculation.

[bbakee]

Hi!

Thanks for your answer.
So, there are different ways to calculate the ATR and the one that Ninjatrader uses is the official one ?

[NinjaTrader_Ben]

Hello,

ATR by definition is only calculated one way that I am aware of. If you see another calculation that has been published from a significant source, please let us know. If it is not calculated the way we calculate it, it is arguably not ATR.