Calculate Highest ATR ever for an instrument

Optuma Scripting
1

I am working on a script that produces a value of the highest ATR(15) ever in the history of a particular instrument. I am working through the scripting courses for the 2nd time, so I am less than proficient. I think nesting it within the HIGHESTHIGH function will get me there, but I have no way to verify if the value the script produces is correct. I can place the history data in Excel and calculate the ATR(15) for everyday then look for the highest value ever but that would be a nightmare for a watchlist of any length. I suppose I could do that to get the highest ever, then just script that value in and compare to all future bars but again very consuming.

I was working with
HIGHESTHIGH(ATR(BARS=15),RANGE=All Time, INCBAR=True)
Highesthigh gives the highest price in a defined history, is there a HIGHESTHIGH function that will use a variable? Highest high average; highesthigh volume, etc?

2

Hi,

The HighestHigh() function can be wrapped around other variables, not just price.

Here’s the example script for a ATR15 highest value:

V1 = ATR(BARS=15) ;
HIGHESTHIGH(V1, RANGE=All Time)

Here’s how it looks on a chart…

Ex1

3

Is there a list where I can see how Optuma calculates the ATR? Or any of the parameter scripting values? Thanks

4

Hi,

The scripts are generally based off of tool functions, so you can reference the tools KB article for information on how they are calculated:

https://help.optuma.com/kb/faq.php?id=482