ryannichols 6 posts msg #51795  Ignore ryannichols 
5/25/2007 12:39:58 AM
I have been trying to develope a filter with no luck based on Van Tharps efficient stock filter found in "Safe Strategies for Financial Freedom". The strategy looks at the change in price over four different periods, 20, 45, 90 and 180 days. The change in price is then divided by the average true range over the same periods.
They were working on it here: http://www.worden.com/training/default.aspx?g=posts&m=89557

nikoschopen 2,824 posts msg #51797  Ignore nikoschopen 
5/25/2007 1:55:03 AM
This is fairly easy stuff. The strippeddown formula reads more or less as
EF = {C  C(60)} / ATR(60)
Hence, it goes something like this:

ryannichols 6 posts msg #51804  Ignore ryannichols 
5/25/2007 6:44:46 PM
Thanks for taking the time. What is ADR? why not skip that and go directly to set{EF, Range / atr(60)}? One more  is there a average function?

nikoschopen 2,824 posts msg #51808  Ignore nikoschopen 
5/25/2007 10:20:29 PM
Here's a definition of Average True Range (ATR) given by Stockfetcher:
Using the relationships between the high and low of a day compared with the previous close, the Average True Range is a measure of volatility developed by Welles Wilder. (Italics added)
Obviously, that's not the same as what Van Tharp wrote in the book. What Tharp was talking about was the average of the daily ranges for the past 60 days. Therefore, I calculated the "mean" by adding the daily range for the last 60 days (eg. 50cents move on day 1, 70cents on day 2 ... 40cents day 60) and then dividing the sum by 60. As such, I ended up with the Average Daily Range (ADR):
set{ADR, sum(day point range,60) / 60}
As for the average() function, you have the Average Day Range and Average Volume

kia007 1 posts msg #122501  Ignore kia007 
1/10/2015 5:32:52 PM
How do you formulate a recent increase of 10 points in the EF?
Thanks, Marc
