Average Trading Range for stocks?

Discussion in 'Automated Trading' started by mrmoose, May 26, 2009.

  1. mrmoose


    does anyone know where I can get a feed for the 13 day weighted ATR for stocks. I am going to use ATR for a system and would like to know if the data is available.
  2. mrmoose


    programmer asked for a feed but he is probably just being lazy
  3. Some data services have such data for their desktop program but not for their "feed".

    Some might have say, a 10 day average. Would that work?

    I had a similar requirement a while back and just had someone do a macro to export it out of worden bros tc2007. That was a simple, economical option. But I had maybe a 500 symbol universe.

    It also depends on how you'll implement it. What "feed" are you using now?
  4. mrmoose


    risk taker none i am starting to have something written have been totally manual until now
  5. Well, in that case you 1st have to figure out what application you'll be using to calculate/trade from, then see what datafeeds would be available for that platform and whether they publish whatever specialized data you're looking for.

    If they don't have all of what you're looking for, then you kind of have to weigh the cost of some custom programming to get it or go with another data vendor at perhaps a higher cost.

    Not an easy task. A lot of beginners start with excel because of the lower upfront costs.

  6. How's the programmer being lazy?

    Where do you expect him to get the data from?

    The least you can do is tell the guy...I want to get the data from yahoo! Hey, it's free!

    I found a nice program a few days ago that can probably accomplish some of these tasks but it only for quotes/prices. The trading "decision making" algorithm is the hard part.

    Next question is what platform to use???

  7. edbar



    Is all point-and-click (no programming)

    Has ATR(14) which is a 14 day Average True Range.

    However even if the stocks have ATR(14) of $1, that isn't really helpful by itself, because an ATR(14) of $1 for a $1 stock is 100%, while an ATR(14) of $1 for a $100 stock is 1%.

    CoolTrade also has an indicator called ATR%(14), which is more useful.

    You can create a rule to retrieve all symbols where ATR%(14) is greater than x, which is more meaningful than just ATR(14).

  8. bespoke


    My data feed (sterling) doesn't provide a backfill so you can't calculate ATR. What I had to do was write a program that parses data from google finance for each stock at the beginning of the day (or night before) and calculates the ATR for me. Then I load that info into my program. Takes a few minutes for a few hundred stocks. A bit of a hassle but what can ya do...

    Here's an example. Just replace the symbol for each stock and read the source

  9. mrmoose


    I appreciate your input as I am new to automating. iIhave another question. I plan to build a risk management system and the reason I need the ATR data is to use it for stops (in other words I will take a loss when the stock hits a set percentage of ATR) Do you think that the 13 day weighted ATR is the right metric to use for this purpose or could you recommend something else?
    #10     May 27, 2009