- ago
Hi,

for the share "AMGN" the ATRP with a period of 5 bars went down from 3.17 to 2.92 (1st of June to 2nd of June). I just wonder, how this was calculated.

I read that the ATR is an average of the "True Range" (high minus low). But if the previous close was below the low, the previous close is taken as the low. And vice versa if the previous close was above the high, the previous close will be taken as the high.

I calculated this True Range for "AMGN" for the following bars:

25 May = 4.78
26 May = 3.53
27 May = 5.31
31 May = 6.25
1 June = 6.62
2 June = 9.57

So the average 25 May to 1 June is 5.298 (or 2.09% of the closing price of 253.42).
And the average 26 May to 2 June is 6.256 (or 2.52% of the closing price of 248.28).

So, according to me that ATRP should have risen from 25 May to 26 May from 2.09 to 2.52.

But Wealth Lab shows that the ATRP went down from 3.17 to 2.92. So, I wonder if I got the calculation completely wrong?

Thanks for your help,
Werner
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- ago
#1
Hi Werner,

Did you use Wilder's MA to smooth the TR? ATR/ATRP is based on Wilder's smoothing.
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Cone8
 ( 26.99% )
- ago
#2
QUOTE:
I read that the ATR is an average of the "True Range" (high minus low).
Where did you read that?

Wealth-Lab uses the standard ATR calculation. You can find most of the standard indicators and their calculations on the old Wealth-Lab wiki -

https://www2.wealth-lab.com/wl5wiki/AllPages.aspx?Cat=Standard%20Indicators
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- ago
#3
Thanks for the information! No, I did not know about smoothing. I will check out the WL6-Wiki!
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