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Sierra average daily range study
Started:December 23rd, 2015 (01:30 PM) by halperin Views / Replies:2,291 / 32
Last Reply:November 6th, 2016 (01:22 AM) Attachments:10

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Sierra average daily range study

Old October 18th, 2016, 09:55 AM   #21 (permalink)
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Quoting 
I want to find out the weekly ADR

To get an average weekly range, try using the Daily OHLC study instead. One of its subgraphs is the HL Avg. Then apply a SMA based on it to get the average range.

-Add a Weekly chart to your chartbook and apply the Daily OHLC study.
-Add the Moving Average - Simple study to the Weekly chart and set the 'Based On' to the Daily OHLC study, and the 'Input Data' to its HL Avg.
-On your Intraday chart, add the Text Display For Study From Chart study, and reference the SMA on the Weekly chart.
-You can minimize the weekly chart.

Note: Despite its name, the Daily OHLC study on an Historical chart looks at the bars as if they are daily bars. On an Intraday chart, it looks at all bars that make up each day. This means you can also use it, and a SMA based on its HL Avg, to get the ADR of only RTH bars by applying this concept to an RTH chart.


Last edited by tomgilb; October 18th, 2016 at 10:12 AM.
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Old October 23rd, 2016, 12:20 AM   #22 (permalink)
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Firstly, I don't see how using an Historical chart to work out ADRx/ATRx is viable? For example how are you suppose to look at ADR20 from an RTH session( 9:30-16:15) based on an historical chart? Am I missing something here?

Has anyone hard coded something in ACSIL that can be applied directly to an intraday chart?

Secondly,

Has anyone looked at ADR1, up to each time stamp of the current day, and compared it with for example ADR20 up to each time stamp of the last 20 days.

eg So looking at today's range at 12pm( which would include all data from 9:30-12pm), and comparing it with the ADR of the last 20 days using only data from 9:30-12pm - Instead of just looking at today's range at 12pm and comparing it with ADR20 based on a daily close.

You could also express this slightly differently by looking at Rate of Change based on each equivalent time stamp, similar SC's Cumulative Volume Ratio Calculation
eg
CurrentCumulativeDayROCToTime / 20AverageCumulativeROCToTime

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Old October 23rd, 2016, 11:20 AM   #23 (permalink)
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Quoting 
Firstly, I don't see how using an Historical chart to work out ADRx/ATRx is viable? For example how are you suppose to look at ADR20 from an RTH session (9:30-16:15) based on an historical chart? Am I missing something here?

Sierra Chart uses the term "Historical' for bars Daily and above, so it would not be possible to create an RTH average range from an 'Historical' chart. It would require an 'Intraday' chart.


Quoting 
Secondly, has anyone looked at ADR1, up to each time stamp of the current day, and compared it with for example ADR20 up to each time stamp of the last 20 days?

I haven't, but it goes beyond my suggested method to calculate a static average range of time periods other than daily.

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Old October 23rd, 2016, 07:38 PM   #24 (permalink)
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Sierra Chart uses the term "Historical' for bars Daily and above, so it would not be possible to create an RTH average range from an 'Historical' chart. It would require an 'Intraday' chart.

Looking at the documentation I see the solution would be to create a 1day chart, based off an intra day chart- eg "Set the Days - Mins - Secs setting for the Intraday chart to 1-0-0 (1 Day) to create Daily bars, Set the Start Time and End Time to cover the Day Session only".

Is there any other solution to calculate ADRx on an intraday chart? Without having to overlay it from a 1day chart? Aside from using a spreadsheet study, or modifying a study in ACSIL.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Old October 23rd, 2016, 08:02 PM   #25 (permalink)
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If you want to only include regular trading hours (RTH) (09:30-16:15 ET) in your average range, you would need to have a chart with those session times. When the Daily OHLC study is added to this chart, it will only include the bars displayed. Now you add a SMA based on the Daily OHLC's HL Avg. If this is the chart you trade from, you don't need to overlay the SMA; it's already there. Or you can overlay the SMA to another chart using the Study/Price Overlay study on the other chart.

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Old October 23rd, 2016, 09:19 PM   #26 (permalink)
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tomgilb View Post
If you want to only include regular trading hours (RTH) (09:30-16:15 ET) in your average range, you would need to have a chart with those session times. When the Daily OHLC study is added to this chart, it will only include the bars displayed. Now you add a SMA based on the Daily OHLC's HL Avg. If this is the chart you trade from, you don't need to overlay the SMA; it's already there. Or you can overlay the SMA to another chart using the Study/Price Overlay study on the other chart.

I read your "note" in the post above, however I didn't quite understand it. Why would I want to add a SMA based on HL average?

If I add a Daily OHLC study to an intra day chart referencing 0 days back, and then base the Average daily range on Daily OHLC, I get a daily range. But I can't get ADRx unless I reference it from a 1day or historical chart.

Referencing ADRx from a daily chart does not work for what i'm trying to achieve, because I need to see the intraday/ real time difference between ADR1 and ADRx, so that it can be expressed using study sub graphs difference.

I want to build a study that calculates "Dynamic ADR", I'm just trying to work out how much modification will be needed based on existing studys.

Dynamic ADR- "ADR1 up to each time stamp of the current day/ ADR20 up to each time stamp of the last 20 days."

I hope that makes some sense.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Old October 23rd, 2016, 11:32 PM   #27 (permalink)
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OK, I see what the confusion is. It's my fault.

The Daily OHLC's HL Avg is the average of each period's (each day's) HL value, not its range. An SMA based on this will not give the average range, rather the average of the average HL price.

To get the average range of each bar would require the subtraction of the L from the H from the Main Price Graph, using the Study Subgraphs Difference study. Then to get an n-period average of each individual HL range, add an SMA based on its result.

The same result can be obtained by basing the ADR study on the Daily OHLC study.

For this to work on a time-based intraday chart, the difference in minutes between the session start and end times needs to be used in the bar duration setting: e.g. :
Session times: 09:30:00 to 16:14:59
Bar period: 0-405-0

The above correction needs to be made to post #21

Note: This is all by trial and error. Everyone can do this on their own to confirm my results.

I'm not sure what you'd need to change in native studies to get a dynamic avg range relative to the current day's time.

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Old October 24th, 2016, 01:33 AM   #28 (permalink)
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tomgilb View Post
OK, I see what the confusion is. It's my fault.

The Daily OHLC's HL Avg is the average of each period's (each day's) HL value, not its range. An SMA based on this will not give the average range, rather the average of the average HL price.

Exactly.


tomgilb View Post
To get the average range of each bar would require the subtraction of the L from the H from the Main Price Graph, using the Study Subgraphs Difference study. Then to get an n-period average of each individual HL range, add an SMA based on its result.

The same result can be obtained by basing the ADR study on the Daily OHLC study.

For this to work on a time-based intraday chart, the difference in minutes between the session start and end times needs to be used in the bar duration setting: e.g. :
Session times: 09:30:00 to 16:14:59
Bar period: 0-405-0

Obtaining the n-period average works exactly as described. However, it seems there is still no way to calculate n-period average when using a smaller time frame chart as the base chart. I will look further into this.


tomgilb View Post
The above correction needs to be made to post #21

Note: This is all by trial and error. Everyone can do this on their own to confirm my results.

I'm not sure what you'd need to change in native studies to get a dynamic avg range relative to the current day's time.

Thanks for clearing this up, much appreciated.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Old November 1st, 2016, 01:00 AM   #29 (permalink)
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tomgilb View Post
To get an average weekly range, try using the Daily OHLC study instead. One of its subgraphs is the HL Avg. Then apply a SMA based on it to get the average range.

-Add a Weekly chart to your chartbook and apply the Daily OHLC study.
-Add the Moving Average - Simple study to the Weekly chart and set the 'Based On' to the Daily OHLC study, and the 'Input Data' to its HL Avg.
-On your Intraday chart, add the Text Display For Study From Chart study, and reference the SMA on the Weekly chart.
-You can minimize the weekly chart.

Note: Despite its name, the Daily OHLC study on an Historical chart looks at the bars as if they are daily bars. On an Intraday chart, it looks at all bars that make up each day. This means you can also use it, and a SMA based on its HL Avg, to get the ADR of only RTH bars by applying this concept to an RTH chart.

My apologies for being so slow with my reply. Been down with a bad cold and still recovering.

I realised that something was very wrong with my spreadsheet study since whenever I add a new study, the columns all get shifted to a random location and that's why the ADR number looked wrong.

I did a simple chart with RTH time 0900-1430ET on a daily chart and the ADR number looks near to what other people are getting, though not the same. I am comparing with NT and Tradestation screenshots below from other post - from what I know they are on RTH time so I have my settings similar to them - and it gave ADR of 1.22 for yesterday but SC showed .97. I'm guessing the NT/TS number is correct so I'm trying to understand why SC does not give the same number? Very confusing...

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I haven't had time to try your method yet for weekly ADR, but I will let you know when I have time to test it out. Thank you for your time on this.


---


Just separate question, @rocksolid68 since you tried to setup ADR on SC, has it been working well for you on RTH? Thanks!


Last edited by hursthead; November 1st, 2016 at 01:05 AM.
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Old November 1st, 2016, 02:51 AM   #30 (permalink)
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Quoting 
I haven't had time to try your method yet for weekly ADR, but I will let you know when I have time to test it out. Thank you for your time on this.

Please read post #27 for a correction to my method.

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