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Replicating ATR calculation in IG charts




Hopefully this is an easy question that someone knows the answer to.

I am trying to replicate the ATR calculation in the IG app but I am struggling a bit. Based on OHLC data, I can replicate the TR for a given set of dates i.e. ATR(1), however I cannot replicate ATR(2) and wondered if anyone knew how this was calculated by IG. I am looking at ATR(2) as ultimately I will be coding up ATR(14) but I want to make sure I understand this first!

As an example, based on AUD/USD for 21/09/20 (simply as that's the data I am working on), I see the following:


In this screen dump:

- forex data in the first 5 columns

- TR = True Range and equals =MAX(ABS(current high - previous close), ABS(current low - previous close), current high - current low)

- IG-TR = data taken from IG calculated values from mobile app for ATR(1), differences I presume are due to rounding in OHLC data. Therefore I know that my calculation of TR agrees to IG.

- ATR_2 = AVERAGE (current TR, previous TR) - I believe this is the technically correct interpretation of ATR for period 2, please correct me if I am wrong. It is quite different to IG's numbers (IG_ATR_2)

- ATR_2 _alternative = AVERAGE(current TR, AVERAGE(previous TR, previous -1 TR)) - this gets much closer to "IG_ATR_2", however I am not convinced that this is correct - do you agree?

- IG_ATR_2 = data taken from IG calculated values from mobile app for ATR(2). I can see that the dps are at least 5 significant figures, which surprises me on a period of 2! Are these rolled forward time period to time period?

Hopefully someone can help and apologies if this doesn't make any sense.

Best wishes


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