Wrong values from ATR indicator?

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Hi all,

I am using the ATR indicator on the EURUSD day chart. I've set the period to 30 days. According to MetaTrader the value of the ATR was 0.0104 on 2-29-2012. According to other charts (ProRealTime and Netdania) it was 0.0132!

Are there any known issues with the ATR indicator? Or are the other programs wrong?

Thanks in advance,

Erik

 
Did you use that same data for both sets of ATR calculations ? I don't mean the same currency pair, I mean exactly the same data ? if you didn't why should it be a surprise that the ATR values may be different. Did you also use the same settings for ATR ?
 
venerik:

[...] Are there any known issues with the ATR indicator? Or are the other programs wrong?

As RaptorUK says, the cause may be different data in different platforms/brokers. That includes different timezones; you will get different results if one broker/platform is using GMT and another is using e.g. GMT-5.

In addition, there's more than one way of calculating ATR. For example, the MT4 calculation uses a simple moving average of the daily ranges whereas other platforms use exponential moving averages.
 

Yes, as far as I know, I did. Have a look at the images below. There is a slight difference between the first two images because the first displays the ATR(30) of today but while the second displays yesterday's value. The third displays a significant difference 0.0114 as opposed to 0.0130.

 

Ah, thanks jjc, you've pointed me in the right direction. I've found out that ProRealTime (and I guess netdania as well) uses a Wilder's smoothing MA instead of a SMA.

Cheers,
Erik

 
venerik:

Yes, as far as I know, I did. Have a look at the images below. There is a slight difference between the first two images because the first displays the ATR(30) of today but while the second displays yesterday's value. The third displays a significant difference 0.0114 as opposed to 0.0130.

Have a look at the upward spike around the 27th. The first two images have three bars here: big up bar, big down bar, and a small bar in the middle. The MT4 screenshot has 4 bars.

I'd guess that the trading hours of the MT4 broker mean that they're open for a brief period on Sunday, and the ATR calculation does not distinguish between a couple of hours on Sunday versus a full trading day. Therefore, the MT4 calculation will tend to be lower.

 
  1. Different brokers, different feeds, different values.
  2. MT4 uses a SMA of the differences. Some other platforms use EMA
 
venerik:

Yes, as far as I know, I did. Have a look at the images below. There is a slight difference between the first two images because the first displays the ATR(30) of today but while the second displays yesterday's value. The third displays a significant difference 0.0114 as opposed to 0.0130.


If I see those charts of you then I think there is a timedifference between the brokers.

This means that the brokers have not the same beginning of the day and so also not the same ending of the day

this makes the data for the day different....

If you can then test the ATR for those brokers on a hourly chart and look if there is a great difference on the hourly chart

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