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re ATR weekly analysis :

dryan3
dryan3 ✭
in Scanning
Hi Chartists

I understand that ATR is primarily used for daily frequencies, therefore when one uses this code for a weekly frequency, you’re looking at (most likely) end of the week (Friday) data and not the whole week?

Is this correct

Comments

  • markd
    markd mod
    Weekly ATR would use weekly data, which is the highest high of the week, no matter what day it occurred, and the lowest low of the week, no matter what day it occurred, EXCEPT, if the close of the prior week was higher than the current week highest high, or lower than the current week lowest low, that close would substitute for that high or low.

    If you run the scan mid week, the most recent weekly bar high and low would be calculated from the data available up to the most recent up date - so if you ran the scan mid day Tuesday, the last weekly bar in the ATR calculation would look at the close of the prior week, plus the highs and lows of Monday and part of Tuesday. In other words, it would be completely accurate. You should run weekly scans from the end (usually Friday) of the most recent completed week.
  • dryan3
    dryan3 ✭
    thank you Mark
  • markd
    markd mod
    @dryan3

    Sorry, this statement is wrong:

    " In other words, it would be completely accurate."

    It should be

    "In other words, it would NOT be completely accurate" because you don't have a full week's data yet.

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