ATR Question

[dt2323]

Hello,

I'm calculating the 14 day ATR for CL. I get 1.73 for more the electronic and RTH session. Is it normal that its the same for both sessions? Also when I check the ATR using the CME website I get the value of $1.83 why the discrpency?

[NinjaTrader_Kyle]

Hello dt2323,

Thank you for your post.

Which data provider are you drawing your data from? (Example: NinjaTrader Continuum, Kinetick, etc.)

Which type of chart are you applying the ATR indicator to? (Example: minute, day, tick, etc.)

[dt2323]

Continuum data feed, being applied to daily chart

[NinjaTrader_Kyle]

Hello,

Thank you for clarifying.

Daily charts from Continuum will always be based on the RTH session regardless of the Session Template which is selected which would explain why you are seeing the same results regardless of which template you use.

I would recommend that you re-run your tests using a 1440 minute bar as you would be able to change the open/close times when charting intraday data.