StockFetcher Forums · General Discussion · Simple ATR vs Wilders Smoothed ATR<< >>Post Follow-up
markd01
10 posts
msg #98099
Ignore markd01
12/18/2010 8:52:35 PM

Does anyone know how to apply Wilders Smoothing to Average True Range (ATR) formula in StockFetcher?

One reference to Wilders Smoothing is found here:
http://www.moneytec.com/forums/f46/wilders-smoothing-15370/
explaining that:
"The formula for an n-period Wilder's smoothing average is WSA = EMA(2n-1)"

Here's what I did so far in StockFetcher, but it still does not match up to Wilder's Smoothed ATR values found elsewhere:

set {SimpleATR16, atr(16)}
set {WildersATR16, CEMA (SimpleATR16, 31)} /* take simple atr where n=16, then apply exponential moving average for 2n-1*/
set {WildersATR16P1, WildersATR16/Close}
set {WildersATR16Percentage, WildersATR16P1 * 100}
add column SimpleATR16
add column WildersATR16
add column WildersATR16Percentage

miko
68 posts
msg #98102
Ignore miko
12/18/2010 11:41:53 PM

The first issue to resolve was whether the ATR indicator already incorporated the smoothing (after all, that's how the original was created, but for no other reason than ease of mechanical calculation). The following displays the atr indicator, a 16 day simple average of the 1 day atr, and a 31 day exponential average of the 1 day atr:

Fetcher[add column atr(16)
add column cma(Atr(1),16)
add column cema(atr(1),31)
]



Guess that answers everything, the indicator is a simple average, and the last -- cema(atr(1),31) -- produces the smoothed atr (a 31=n*2-1 day exponential average of the 1 day average true range.

markd01
10 posts
msg #98106
Ignore markd01
12/19/2010 12:30:42 AM

Thanks, miko!

The bottom line is that simple atr(16) translates to Wilder's smoothed CEMA (atr(1), 31), which works for me...

StockFetcher Forums · General Discussion · Simple ATR vs Wilders Smoothed ATR<< >>Post Follow-up

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