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How do i write a formula to find out average true range(ATR) on a hourly basis in a given market for a given scrip for past "x" number of days?
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Hi Pakki
Your question is open to several interpretations so can you provide give more explicit details. Any assumptions I might make may be wide of the mark and I'd just end up answering the wrong question.
Roy
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Rank: Member
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Hi Roy,
For example. Assume the scrip is traded between 9 am to 3 pm, i want to find the hourly volatility(using true range, ATR). Say i will take past 21 days data and find when was the volatility good enough, whether during 9 am, 12 pm etc.
Thanks
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I'm still a little confused by this request. Please let me state what I think you are asking:
- look at hourly data for the past 21 days.
- for each hour the market is open, calculate the true range for that hour
- for each day average the true ranges for each hour. That is total the true range values for the hour that starts at 9am and average them to get the average range for the 9am bar. then do the same for each of the other hour segments
If this is not what you are asking, please explain what is actually desired
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