Normalized ATR free

by kaneida84 in category Volatility at 11/01/2022
Description

ATR (Average True Range) is usually used to assess volatility of the market.

But since it is not bounded, we can not really know if some extremes of the volatility (maximal or minimal, whichever we are looking for) is reached. This version is using a min/max normalization to attempt to add those bounds and thus, to add a criteria if minimum or maximum is reached

 

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Formula / Source Code
Language: C#
Trading Platform: cAlgocTrader
´╗┐using System;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Indicators;

namespace cAlgo
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class ATRNorm : Indicator
    {
        [Parameter(DefaultValue = 14.0)]
        public int period { get; set; }

        [Parameter("Method", DefaultValue = MovingAverageType.Simple)]
        public MovingAverageType method { get; set; }

        [Output("Main")]
        public IndicatorDataSeries natr { get; set; }

        private AverageTrueRange atr;
        private Bars price;
        //   private IndicatorDataSeries natr;


        protected override void Initialize()
        {
            atr = Indicators.AverageTrueRange(period, method);
            //    natr=CreateDataSeries()

        }

        public override void Calculate(int index)
        {
            double atrMax = atr.Result.Maximum(period);
            double atrMin = atr.Result.Minimum(period);

            natr[index] = (atr.Result[index] - atrMin) / (atrMax - atrMin);
            //  natr[index] = 100 * atr.Result[index] / Bars.ClosePrices[index];
        }
    }
}
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