Problem creating $ATR Indicator

[axelbaws]

Hi,

I am trying to create a $ATR Indicator, for which I'm using the formula:

$ATR = ATR * PointValue

However I'm running into some problems that I haven't been able to figure out. I thought I'd just use the existing ATR indicator and multiply it's Value[0] with the PointValue, like this:

public class DollarATR : Indicator
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                    = NinjaTrader.Custom.Resource.NinjaScriptIndicatorDescriptionATR;
                Name                        = "$ATR";
                IsSuspendedWhileInactive    = true;
                Period                        = 14;

                AddPlot(Brushes.DarkCyan, NinjaTrader.Custom.Resource.NinjaScriptIndicatorNameATR);
            }
        }

        protected override void OnBarUpdate()
        {
            double PointValue    = Instrument.MasterInstrument.PointValue;
            double high0    = High[0];
            double low0        = Low[0];
        
            
            if (CurrentBar == 0)
                Value[0] = (high0 - low0) * PointValue;
            else
            {
                double close1        = Close[1];
                double trueRange    = Math.Max(Math.Abs(low0 - close1), Math.Max(high0 - low0, Math.Abs(high0 - close1)));
                Value[0]            = (((Math.Min(CurrentBar + 1, Period) - 1 ) * Value[1] + trueRange) / Math.Min(CurrentBar + 1, Period)) * PointValue;
                Print("Point Value: " + PointValue + " $ATR: " + Value[0]);
            }
        }​

However, the value I get is something that is growing exponentially:


From the Output I see that it seems to grow at a rate of something like 33 ^ x:

The first lines:



Does anyone know why this error occurs and how I might solve it? Is there a better way to code this indicator?

Sincerely,
Axel

[NinjaTrader_Jesse]

Hello axelbaws,

That is because you are setting the result to the plot which the equation uses the previous bar value in its math.

The easiest way to do this would be to make a new indicator and reference the existing ATR.

In a new indicator add a plot and then you could just use the ATR return value like the following:

double atrValue= ATR(20)[0];
Value[0] = atrValue * Instrument.MasterInstrument.PointValue;

[axelbaws]

Hello axelbaws,

That is because you are setting the result to the plot which the equation uses the previous bar value in its math.

The easiest way to do this would be to make a new indicator and reference the existing ATR.

In a new indicator add a plot and then you could just use the ATR return value like the following:

double atrValue= ATR(20)[0];
Value[0] = atrValue * Instrument.MasterInstrument.PointValue;

Hello Jesse,


That is a smart and nice solution, which works perfectly!

Thank you for solving my problem.


Best regards,
Axel