StockFetcher Forums · General Discussion · Weighted ATR issue<< >>Post Follow-up
mahkoh
895 posts
msg #118169
Ignore mahkoh
modified
2/11/2014 2:58:52 PM

I have an issue with the weighted ATR values.

According to several sources it is calculated as in the following spreadsheet:

https://docs.google.com/spreadsheet/ccc?key=0AgVFJDk1gPekdC1IZHV4US1aT24xcEItNEktWGlYOXc&usp=sharing

If I put AAPL (or any other ticker) in cell A1 and run the following filter the values just don't match. I have been looking at both filter and sheet for several hours but cannot find what is wrong.


Fetcher[
symlist(AAPL)
add column weighted atr(10)
add column weighted atr(10) 1 day ago
add column weighted atr(10) 2 day ago
add column weighted atr(10) 3 day ago
add column weighted atr(10) 4 day ago
add column weighted atr(10) 5 day ago
add column weighted atr(10) 6 day ago
add column weighted atr(10) 7 day ago
add column weighted atr(10) 8 day ago
]



It's not a data issue, as the filter below does compare to the values in the sheet

Fetcher[
symlist(AAPL)
add column atr(10)
add column atr(10) 1 day ago
add column atr(10) 2 day ago
add column atr(10) 3 day ago
add column atr(10) 4 day ago
add column atr(10) 5 day ago
add column atr(10) 6 day ago
add column atr(10) 7 day ago
add column atr(10) 8 day ago
]



Edit: I found out what the problem is. I do need to seed the first weighted ATR earlier to get the expected values.

StockFetcher Forums · General Discussion · Weighted ATR issue<< >>Post Follow-up

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