Is there an indicator for this?

Discussion in 'Trading' started by 88888accountant, Nov 11, 2007.

  1. I was wondering if anyone knows of an indicator that measures the average size of candles, preferably with the ability to check different time frames.

    i.e. the average: 10sec/1min/5min candle, from 9:30-9:35, 9:35 - 9:45, 9:45-10:30, etc.
  2. mark1

    mark1 Guest

    Should be pretty easy to code in Amibroker or a similar software

    I don't think there's a canned indicator like that, you need to code it or find someone who can.

    The closest thing is the average true range, but not exactly what you are looking for
  3. Like...Average Range?

    Or if you are not including wicks, Average Close-Open?
  4. yeah, Im looking to check average range with the wicks. I have a bit of efs ability but I was wondering if there was something with a little instant gratification, lol.
  5. maolman


    This is a very simple indicator, but you will need to write the code yourself. You can easily do this by incorporating an indicator that is found in ALL charting packages -- the Simple Moving Average (MA). Your code will look something like this:

    MA ( H, n ) - MA ( L, n )


    1. MA calls the price smoothing Moving Average function;

    2. H = Highest Price of each Bar;

    3. L = Lowest Price of each Bar; and,

    4. n = Number of Consecutive Bars to be averaged.

    All charting software understands that a SUMMATION action over a number of bars is implied/required here, and will automatically do this when it sees the above formula.

    Using the MA function circumvents the requirement of having to write your own SUMMATION function.

    Alternatively, if you do not have access to a package where you can write your own indicators, then this can be done just as easily in MS Excel:

    1. Get OHLC for each bar;

    2. Save in Comma-Separated Value format (*.csv);

    3. Import file into Excel;

    4. Columns will look something like this:

    A. Date
    B. Open
    C. High
    D. Low
    E. Close
    F. Volume
    G. OI (Open Interest), if trading futures/commodities;

    5. Begin formula in Cell Hn, where n = number of Bars to average, assuming the first row of prices is in Row 1 (this is NOT where it will be, so you must adjust the formula accordingly)

    For example, If n = 5, formula goes into Cell H5, and looks like this:

    =SUM(C1:C5-D1:D5)/5 -- or, for n = 10:


    6. Copy this formula down the H Column to the end of the prices.

    7. Use Excel's Chart Wizard to draw a chart that displays these values in any format you desire.



    Mike Collier
    Oak Harbor, WA
  6. maolman


    Hehehe -- the forum software interprets any occurrence of the Colon directly preceding a Capital D as a "big grin." Sure fouls up an Excel Formula :D :D :D


    Mike Collier
    Oak Harbor, WA
  7. An averaged or smoothed candle isn't going to relate IT to the prior candle, meaning it disregards gaps.

    Gaps are meaningful manuevers of the specialist/market maker. This is why "we" have ATR. Incidently, ATR works well toward both position sizing and mental stops. Did I say mental?

    An averaged candle size isn't going to tell you what occured within the candle. Low made first? High made first?

    The formula ((C-O)/(H-L)) will yield a varied result each time period. H-L is of course wick to wick. Weigh it with volume, and it will be even more varied.

    Prior to 1991 and Nison's first book, virtually no one used candles. Predictive qualities? Eh.........maybe a doji. That's about it.

    Indicators that don't make you money are pointless.
  8. Im not really trying to trade the indicator, just use it as a tool. If stocks went in a straight lines it wouldn't be a problem, but knowing the range of the stock you can find a straight line of ranges, as well as other thngs.
  9. "the average: 10sec/1min/5min candle, from 9:30-9:35, 9:35 - 9:45, 9:45-10:30, etc."

    You concerned with thin volume on those timeframes making gaps?

    If you are gapping at 10 sec intervals it must be really thin.
  10. maolman


    I only presented a method to EXACTLY obtain the indicator you asked for, but I'm in total agreement with "efficiency's" post, above. If you're REALLY interested in the range of bars, you should be using the READY-MADE Average True Range (ATR) Function available in nearly every charting software known to man.

    Although ATR's formula is a bit different than the "simple" idea I presented in answer to your original query, it was compiled by a highly respected and experienced professional trader in great consideration of the basic nature of market action. The ATR Function is, therefore, a better and more market-related representation of what you actually desire to do.

    Nearly all charting software, including that which is freely accessible on the internet, will allow you to manually modify the ATR Function's time frame/number of bars to average. So, why mess with an indicator you need to write yourself when the ATR is what you SHOULD be using? :) :cool: :)


    Mike Collier
    Oak HArbor, WA
    #10     Nov 13, 2007