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How do use ATR calculaton on intraday algo
Serge d'Adesky
posted Jul 10, 2015

Hi ,

I'm trying to accomplish following

1) determine average ATR of last 100 minutes PREVIOUS to start of day
2) at start of day
determine if larger trend (13 crossing 34) is up or down
3) if down (up)
wait for uptick(downtick) of 1 atr
short (buy) stock
(place very tight stop - probably 1 atr away)
take profits as soon as stock down (up) up 2 atr's
4) stop losses if moves up (down) by 1 atr

This program works with percentages, but not with ATR's. Those percentages would have to be changed on just about every security
which is not a good program. (Forget the fact that this is currently not profitable).

My problem is that the ATR search dramatically slows down the program, and I must wait until 100 minutes have elapsed before starting.
Second issue is first X number of ATR number in list are NAN's.

My Python skills are seriously challenged here.

Appreciate any suggestions.

2 responses
Gus Gordon
Jul 14, 2015

Hi Serge,
Although you can compute ATR that way, the better way is to use history(). I believe this should fix both of your problems. I've attached an example where I compute ATR this way and plot it below. Let me know if that helps!

Gus

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Serge d'Adesky
Jul 14, 2015

Hi Gus

Thanks. I'll try this out. Looks promising. Will let you know.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.