ATR difference with Metatrader? + original welles wilder version

Jens Halsberghe

Hi,

I'm using backtraders ATR. It doesn't seem like I'm getting the same ATR values as in metatrader. I have downloaded metatraders data and noticed backtrader's ATR values are different than in metatrader when comparing.

Additionally, I'm looking for the original welles wilder version (non smoothed). on Github, it looks like an SMA was used so I thought it'd be the same as in metatrader.

Anyone who has the original version by any chance?

thanks

tianjixuetu

@Jens-Halsberghe I just met this question and solve it.

you should use this class and the ATR .

class AverageTrueRange(Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in hiMY_s book *"New Concepts in
    Technical Trading Systems"*.

    The idea is to take the close into account to calculate the range if it
    yields a larger range than the daily range (High - Low)

    Formula:
      - SmoothedMovingAverage(TrueRange, period)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    # 修改了算法，使用我自己的方法
    '''
    alias = ('ATR',)

    lines = ('atr',)
    params = (('period', 14), ('Average', Average))

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.atr = self.p.Average(TR(self.data), period=self.p.period)
        super(AverageTrueRange, self).__init__()

Jens Halsberghe

@tianjixuetu

Thanks for your reply. What would your full code be for this? I added the code like this and am getting an error in a strategy. FYI I was getting an error for the following at first so I modified it as you'll be able to see in the code below

params = (('period', 14), ('Average', Average))

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import backtrader as bt

class TrueHigh(bt.Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR
    Records the "true high" which is the maximum of today's high and
    yesterday's close
    Formula:
      - truehigh = max(high, close_prev)
    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truehigh',)

    def __init__(self):
        self.lines.truehigh = bt.Max(self.data.high, self.data.close(-1))
        super(TrueHigh, self).__init__()


class TrueLow(bt.Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book *"New Concepts in
    Technical Trading Systems"* for the ATR
    Records the "true low" which is the minimum of today's low and
    yesterday's close
    Formula:
      - truelow = min(low, close_prev)
    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    '''
    lines = ('truelow',)

    def __init__(self):
        self.lines.truelow = bt.Min(self.data.low, self.data.close(-1))
        super(TrueLow, self).__init__()


class TrueRange(bt.Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in his book New Concepts in
    Technical Trading Systems.
    Formula:
      - max(high - low, abs(high - prev_close), abs(prev_close - low)
      which can be simplified to
      - max(high, prev_close) - min(low, prev_close)
    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    The idea is to take the previous close into account to calculate the range
    if it yields a larger range than the daily range (High - Low)
    '''
    alias = ('TR',)

    lines = ('tr',)

    def __init__(self):
        self.lines.tr = TrueHigh(self.data) - TrueLow(self.data)
        super(TrueRange, self).__init__()

class AverageTrueRange(bt.Indicator):
    '''
    Defined by J. Welles Wilder, Jr. in 1978 in hiMY_s book *"New Concepts in
    Technical Trading Systems"*.

    The idea is to take the close into account to calculate the range if it
    yields a larger range than the daily range (High - Low)

    Formula:
      - SmoothedMovingAverage(TrueRange, period)

    See:
      - http://en.wikipedia.org/wiki/Average_true_range
    # 修改了算法，使用我自己的方法
    '''
    alias = ('ATR',)

    lines = ('atr',)
    params = (('period', 14), ('Average', 14))

    def _plotlabel(self):
        plabels = [self.p.period]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.atr = self.p.Average(TR(self.data), period=self.p.period)
        super(AverageTrueRange, self).__init__()

when I initialize it it in a strategy as follows, I'm getting an error


def __init__(self):
      self.ATR = AverageTrueRange(self.datas[0])

error:

<ipython-input-36-567f96f1b43f> in __init__(self)
     82 
     83     def __init__(self):
---> 84         self.lines.atr = self.p.Average(TR(self.data), period=self.p.period)
     85         super(AverageTrueRange, self).__init__()

TypeError: 'int' object is not callable

thanks

tianjixuetu

@Jens-Halsberghe you lose some code ,they shold be imported from others. for example

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, Max, Min, MovAv,Average

Jens Halsberghe

@tianjixuetu thanks for the follow-up. when I run this, I'm getting an error however.

---------------------------------------------------------------------------
ImportError                               Traceback (most recent call last)
<ipython-input-5-aadcf5db5945> in <module>
      1 
----> 2 from . import Indicator, Max, Min, MovAv,Average
      3 
      4 class AverageTrueRange(bt.Indicator):
      5     '''

ImportError: cannot import name 'MovAv' from '__main__' (unknown location)

gaojb

If you want to use simple moving average for ATR, you can simply use the MovAv.Simple instead of MovAv.Smoothed in the original indicator's params.

gaojb

I found a better way:
just add a movav parameter when you use the ATR indicator like this:
bt.indicators.AverageTrueRange(self.data0, period=20, movav=MovAv.Simple)