ATR% of Close Price

Optuma Scripting
1

Hi,

I have created 2 “ATR% of Close Price” Scripts, I don’t think they are working correctly?

ATR20 of current day is less than 15% of Closing Price -

  • ATR(BARS=30)/CLOSE() < 15/100
ATR20 of 1 day ago is less than 15% of Closing Price -
  • ATR(BARS=30)/CLOSE() [1] < 15/100
What changes if any are required to make them work correctly?

 

Thanks, Brad

2

Hi Brad,

I suspect your premise will nearly always be achieved.

You are calculating the Average True Range of the movement of the Close price of a group of bars, which is always significantly smaller than the Close prices, and looking for that value to be less than 15% of a Close price.

As a couple of examples:

  • Sugar (SBVolSpot) at the present ATR(30) = 0.393, while the Close price in 10.37, 15% of which is 1.55.
  • SPI 200 Index (APCVolSpot) at present ATR(30) = 224.186, while the Close price in 5,539.00, 15% of which is 830.85.
The only exception I could find was the recent extreme movement in Crude Oil which came up with this result on 30 Apr 2020: ATR(30) = 3.867, while the Close price in 18.84, 15% of which is 2.826.

20200501 ATR vs Close

I’d also recommend bracketing your formula to ensure the correct comparison sequence of calculation:

(ATR(BARS=10)/CLOSE()) < (15/100)

I'd also simplify your formula to save an unnecessary calculation::

(ATR(BARS=10)/CLOSE()) < 0.15

Cheers

Trevor

3

Hi Trevor,

Thanks for your reply, testing and advice, I will consider it in future scripting.

I thought I had a couple of exceptions but haven’t been able to find them again.

Did you think the below Script was correctly written?

ATR20 of 1 day ago is less than 15% of Closing Price –

  • ATR(BARS=30)/CLOSE() [1] < 15/100
 

Thanks, Brad

4

Hi Brad,

Just remember to add parenthesis. It’s not always needed but my OCD programming brain always wants to remove all doubt.

One way your script could be processed is

ATR(Bars=30) divided by (Close()[1] < 15/100)

Close()[1] < 15/100 will evaluate to either 1 (true) to 0 (false).

Precedence of operators should make sure that never happens but I still like to be explicit on these things. Perhaps early tesing of scripting has scared me!

Make your script

(ATR(BARS=30)/CLOSE() [1]) < 15/100

All the best

Mathew

5

Hi Matthew,

Thanks for your helpfull reply.

Cheers, Brad