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ATR Ratio indicator
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Created: by Mesa Attachments:4

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ATR Ratio indicator

  #1 (permalink)
Elite Member
Mesa, Arizona
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: ES at the moment
 
Posts: 15 since May 2016
Thanks: 12 given, 6 received

ATR Ratio indicator

I am looking for an indicator that will give me the ratio of the ATR on two different time periods. For example, the ratio of the 5 period ATR to the 40 period ATR.

I just started using NT8 and was looking for a way to insert this ATR ratio number into the market analyzer so that I could use it to spot volatility compression in different markets. I'd have it change the color of the cell whenever the ratio of the shorter period ATR to the longer period ATR was less than .5 ((ATR(5)/ATR(40))<.5) or something like that.

It's really easy to insert the ATR number into the market analyzer, and I can insert it for multiple periods. Currently I have the short period ATR and the long period ATR side by side in the market analyzer, and I just do the math at a glance (see attached screenshot).

I'm not sure if I have to learn coding to build this myself, or if something like it already exists, or if there is a way of creating it that is easier than coding it. I'm hoping the community here can point me in the right direction

Thanks!

Attached Thumbnails
ATR Ratio indicator-market-analyzer.jpg  
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  #2 (permalink)
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  #3 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: IB-TWS, Ninja, Wave59, R
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I wrote a simple ATR Ratio indicator for you. You can put it in your Market Analyser as an indicator and add conditions to change the colors. It is pretty simple so feel free to use/change the code.

This indicator basicly just divides the "Short Period ATR" by the "Long Period ATR" so atrS/atrL.

Let me know if you have any questions.

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Register to download File Type: zip ATRRatio.zip (3.1 KB, 18 views)
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  #4 (permalink)
Elite Member
Mesa, Arizona
 
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Thank you Marpol!!!

It looks great on a chart. For some reason it only outputs "0" as the value when I view it in the Market Analyzer (see attachment). Am I doing something wrong?

Thank you again I'm looking forward to using this to help me focus my trading efforts on markets that are more likely to move!

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ATR Ratio indicator-market-analyzer2.jpg  
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  #5 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: IB-TWS, Ninja, Wave59, R
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Posts: 34 since Sep 2013
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no problem at all......I just put it on my market Analyzer and it seems to be working for me ok. the only think I noticed on yours is it shows (5, 40) instead of (40,5)...did you set the short period to 40 and long period to 5?
Also what data period are you using (can not see in your pic). I just used 1 min data and it seems to be working, but need to know what yours is set at to troubleshoot.

Attached Thumbnails
ATR Ratio indicator-capture1.png  
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  #6 (permalink)
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Favorite Futures: ES at the moment
 
Posts: 15 since May 2016
Thanks: 12 given, 6 received


marpol View Post
no problem at all......I just put it on my market Analyzer and it seems to be working for me ok. the only think I noticed on yours is it shows (5, 40) instead of (40,5)...did you set the short period to 40 and long period to 5?
Also what data period are you using (can not see in your pic). I just used 1 min data and it seems to be working, but need to know what yours is set at to troubleshoot.

I adjusted the periods and set it to 1 minute data and it works great I was trying to use it with 1 day data, and it doesn't work for that data period, and I'm not sure why. I just changed the look back period from 2 days to 40 days, but it didn't make a difference from what I could tell.

Thank you again

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  #7 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: IB-TWS, Ninja, Wave59, R
Broker/Data: IB, IQFeed
Favorite Futures: ZB
 
Posts: 34 since Sep 2013
Thanks: 0 given, 21 received

It does not work if there is not enough data for it to calculate with. If you are going to use daily period then you will need to load more data (normally more then you need...and i think you have to included weekends). It works if you load 100 days (with a 5,40 setting).

Glad it works for you.....let me know if there are any other issues with it...

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  #8 (permalink)
Elite Member
Mesa, Arizona
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: ES at the moment
 
Posts: 15 since May 2016
Thanks: 12 given, 6 received


marpol View Post
It does not work if there is not enough data for it to calculate with. If you are going to use daily period then you will need to load more data (normally more then you need...and i think you have to included weekends). It works if you load 100 days (with a 5,40 setting).

Glad it works for you.....let me know if there are any other issues with it...

That is fantastic! Thank you for both creating it for me and showing me how to use it




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