Return Standard Deviation of ATR?

[Kila Akil]

I want to return the standard deviation of the ATR over a given period. 

Trying to do this, but it isn't working.

double my_ATR = iATR(NULL, 0, my_ATR_period, 0); 
double my_ATR_stddev = iStdDevOnArray(my_ATR, 0, my_ATR_period, 0, 0, 0);

Any Ideas?

[Anthony Garot]

Any Ideas?

See if setting the number of elements to non-zero helps.

double  iStdDevOnArray(
   double       array[],          // array with data
   int          total,            // number of elements
   int          ma_period,        // MA averaging period
   int          ma_shift,         // MA shift
   int          ma_method,        // MA averaging method
   int          shift             // shift
   );

[William Roeder]

Kila Akil: Trying to do this, but it isn't working.

Don't post code what won't even compile. Obviously the first argument must be an array. So get an array of values.

[Kila Akil]

whroeder1:

Don't post code what won't even compile. Obviously the first argument must be an array. So get an array of values.

Sorry.

How do I create an array that contains ATR values for the last x candles? (Array must update with each new bar). 

i.e when a new bar is formed, the least-recent element of the array is dropped, all elements are then shifted back an index, and then a new ATR value is added as the final element.

example:

original array = a, b, c, d, e, f, g, h, i, j

**new bar forms**

updated array = b, c, d, e, f, g, h, i, j, k

**new bar forms**

updated array = c, d, e, f, g, h, i, j, k, l

etc.

[William Roeder]

No dropping, no shifting, no thinking. Just fill the array each time you need it.

[Kila Akil]

whroeder1:
No dropping, no shifting, no thinking. Just fill the array each time you need it.

Have I done this correctly?

int ATRPeriod = 10;
double ATR_Array[];

double AverageTrueRange = iATR(NULL, 0, ATRPeriod, 0);
//Creating the ATR
      
int Array_Size = ArraySize(ATRPeriod);
//Defining the variable to set the ATR array size      

ArrayResize(ATR_Array, size+1);
//Add an element to the array for a new value
      
ATR_Array[size] = AverageTrueRange; 
//Add the ATR value to the new element of the Array
      
ArraySetAsSeries(ATR_Array, True);
//Reverse the Array
      
double ATR_StdDev = iStdDevOnArray(ATR_Array, ATRPeriod, ATRPeriod , 0, 0, 0);
//Calculate the standard deviation of the 10 most recent elements
      
ArraySetAsSeries(ATR_Array, False);
//Reset the order of the Array

[Anthony Garot]

Kila Akil:

Have I done this correctly?

No, not really.

Try something like this:

   const int ATR_PERIOD = 10;              // averaging period
   const int STDEV_MA_PERIOD = 10;
   const int NUM_VALUES_TO_FILL = 100;    // How many ATR values I want to put in my array
   double ATR_Array[];
   
   // Size the array
   ArrayResize(ATR_Array, NUM_VALUES_TO_FILL);
   
   // Loop over how many values to fill the array
   for(int i = 0; i<NUM_VALUES_TO_FILL; i++)
   {
      // Fills each ATR value
      ATR_Array[i] = iATR(NULL, 0, ATR_PERIOD, i);
      Print(StringFormat("iATR for [%d] is [%.4f]", i, ATR_Array[i]));
   }
   
   // StDev is as StDev does.
   double ATR_StdDev = iStdDevOnArray(ATR_Array, NUM_VALUES_TO_FILL, STDEV_MA_PERIOD, 0, 0, 0);
   Print(StringFormat("StDev is [%.4f]", ATR_StdDev));