Quote Originally Posted by Harry View Post
Hi Pascal,

I have been experimenting with different variations of ATR and wanted to inquire what formula you prefer? Do you utilize the Stockcharts formula:

http://stockcharts.com/help/doku.php...e_true_range_a

or another variation for your calculations? I have tried a few but assume you filtered down to the most effective.

Thank you,
Harry

We have been using a 20D ATR, which is the average absolute of the price difference between the Max of (High of day, Previous close) and the Min of (Low of day, Previous close).

We did not "optimize" but measured different ATR periods and the 20D seemed to be the most adequate, although it is slow.


Pascal