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 Post subject: Question about ATR
PostPosted: Wed Jul 06, 2016 10:12 pm 
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Joined: Thu Jun 09, 2016 8:25 pm
Posts: 15
Hello,

I am trying to calculate the ATR across an 'n' number of days using intra-day data. Since the frequency of 1-minute bars in a day is not constant due to differing volumes of trading, how would I set OQ such that it reads the right number of bars within an n number of days?


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 Post subject: Re: Question about ATR
PostPosted: Thu Jul 07, 2016 11:07 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6783
Hi,

why don't you compress your intraday bars into daily bars and then apply ATR on daily bars?

Regards,
Anton


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 Post subject: Re: Question about ATR
PostPosted: Thu Jul 07, 2016 5:17 pm 
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Joined: Thu Jun 09, 2016 8:25 pm
Posts: 15
I wanted to see if I could calculate the ATR on the intra-day 1-minute bands rather than the daily.


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 Post subject: Re: Question about ATR
PostPosted: Thu Jul 07, 2016 5:27 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6783
Hi,

do you mean that due to low trading volume you have some intraday bars missing or something else? I guess you should use volume bars and not time bars if you want to calculate ADR on bars with equal volume?

Regards,
Anton


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