AVERAGE TRUE RANGE - NinjaTrader | futures io social day trading
futures io futures trading


AVERAGE TRUE RANGE
Updated: Views / Replies:7,721 / 21
Created: by louisville Attachments:7

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 7  
 
Thread Tools Search this Thread
 

AVERAGE TRUE RANGE

  #11 (permalink)
Trading Apprentice
naples,, fl
 
Futures Experience: Advanced
Platform: tos
Favorite Futures: futures
 
Posts: 1 since Feb 2013
Thanks: 0 given, 1 received

I use a 2.5 ATR(9) and it works for me. 2 ATR are too close and 3 are too wide for my risk tolerance.

Reply With Quote
The following user says Thank You to hilda for this post:
 
  #12 (permalink)
Elite Member
Madrid + Spain
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: CMC/Kinetick
Favorite Futures: Forex
 
Posts: 5 since May 2012
Thanks: 8 given, 1 received


Fat Tails View Post
Both the Keltner Channel and the SuperTrend make use of the ATR. The ATR is definitely a powerful concept. It is difficult to trade without it.

Totally agree with that. ATR is so simple, so old and so widely implemented across all platforms that I think people don't notice its true potential. People are often searching the binary supermegaindicator "all in one" and miss the exposed treasures like ATR.

Personally, I usually use ATR when setting STOPS and Profit Targets. It gives to the strategies some self-adjust capacity.

Have fun!

Sergio

Reply With Quote
The following 2 users say Thank You to SerCava for this post:
 
  #13 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

atr adr



Fat Tails View Post
Both the Keltner Channel and the SuperTrend make use of the ATR. The ATR is definitely a powerful concept. It is difficult to trade without it.


Harry, i am using the adr indicator, for 10 and 20 days, the atr is very different ?
thanks
alejo

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #14 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,503 since Sep 2013
Thanks: 1,706 given, 3,715 received
Forum Reputation: Legendary

ATR


alejo View Post
Harry, i am using the adr indicator, for 10 and 20 days, the atr is very different ?
thanks
alejo

ATR : average true range
it gives you a measure of the movement of an instrument

if ATR = very low
the instrument is not moving, and you are unlikely to make profit,
as it is rather in congestion

you want ATR to be high
and if you are on the right side of the market you make money

Reply With Quote
The following user says Thank You to rleplae for this post:
 
  #15 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


alejo View Post
Harry, i am using the adr indicator, for 10 and 20 days, the atr is very different ?
thanks
alejo


What instrument do you talk about?

Please post a chart.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #16 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

atr


Fat Tails View Post
What instrument do you talk about?

Please post a chart.

harry,
i was trying to understand what is atr, and it looks the same than adr?,
adr is the atr for daily chart?

here i have 4 charts with atr (14), 5,15,60,d, and i can see atr is varying, maybe is the atr of last 14 bars?
i see it is changing every bar
thanks

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #17 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary

Answer
This post has been selected as an answer to the original posters question Answer

ADR is the average daily range over the last N days. The indicator that you used calculates a simple moving average (SMA) of the daily range of the last 10 days and the last 20 days.

ATR as shown on your daily chart is the average true range of the last 14 days. The average true range will differ from the average daily range for many reasons:

(1) Data input: your daily data may be different (full or regular session data) when compared to intraday data. This would be particularly true if you use a false session template such as 24/7 for your intraday chart.

(2) Difference between range and true range: When price gaps up or down, the gap is included with the true range but not with the range. Please make sure that you understand the difference between true range and simple range.

(3) Different moving averages used for smoothing: The average daily range is smoothed with a simple moving average, the average true range uses exponential smoothing.

(4) Wilder's definition of the smoothing period of an exponential moving average. The average true range uses a smoothing constant of 1/k. With k = 14 this is equivalent to n = 27, as 1/14 = 2/(1+ 27). The ATR(14) is therefore the same as an EMA(TR, 27), where TR is the true range and ATR is the average true range.

(5) Finally you used different nominal periods for the ADR and the ATR.

I hope that answers your question.


Last edited by Fat Tails; September 1st, 2014 at 05:35 PM.
Reply With Quote
The following 5 users say Thank You to Fat Tails for this post:
 
  #18 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received


Fat Tails View Post
ADR is the average daily range over the last N days. The indicator that you used calculates a simple moving average (SMA) of the daily range of the last 10 days and the last 20 days.

ATR as shown on your daily chart is the average true range of the last 14 days. The average true range will differ from the average daily range for many reasons:

(1) Data input: your daily data may be different (full or regular session data) when compared to intraday data. This would be particularly true if you use a false session template such as 24/7 for your intraday chart.

(2) Difference between range and true range: When price gaps up or down, the gap is included with the true range but not with the range. Please make sure that you understand the difference between true range and simple range.

(3) Difference moving averages used for smoothing: The average daily range is smoothed with a simple moving average, the average true range uses exponential smoothing.

(4) Wilder's definition of the smoothing period of an exponential moving average. The average true range uses a smoothing constant of 1/k. With k = 14 this is equivalent to n = 27, as 1/14 = 2/(1+ 27). The ATR(14) is therefore the same as an EMA(TR, 27), where TR is the true range and ATR is the average true range.

(5) Finally you used different nominal periods for the ADR and the ATR.

I hope that answers your question.


i do not have word to express my admiration for you
thank you!!

(the problem is now i have more open doors to learn and more job to do )

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #19 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

atr interpretation

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


this 1min nq chart, have atr,14
as it go from 0.30 to 2.40, what i can extract from that?
how can interprete that value of atr, changing every minute

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #20 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


All you are seeing there is that during "active" market hours the price moves around more. In the "off" hours, there is not as much trading, and the range contracts.

I don't think a 1 minute ATR tells you anything you don't already know: higher volume times usually mean bigger ranges.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:

Reply



futures io > > > > AVERAGE TRUE RANGE

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
ATM Template? dsraider NinjaTrader Programming 12 May 23rd, 2012 05:52 PM
ATM Strategy Assistance TraderJoe0410 NinjaTrader 12 August 22nd, 2011 04:05 PM
Stable ATM Strategies? Baseheadz NinjaTrader Programming 1 August 21st, 2011 04:30 PM
ATM Strategy Errors zeller4 NinjaTrader Programming 7 August 22nd, 2010 11:24 AM
ATM Strategies - NinjaTrader zeller4 NinjaTrader 1 June 19th, 2009 06:10 PM


All times are GMT -4. The time now is 02:57 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-16 in 0.16 seconds with 40 queries on phoenix via your IP 54.163.209.109