Hello ,
I am thinking of creating the following scans but my coding experience is unfortunately limited to script languages like VBA. No experience with C#. Perhaps some of you guys can point me into the right direction:
1. Todays True range in % divided by Daily standard deviation of price returns in %. Unfortunately the available indicators within the software (ATR and Standard deviation) are based on price and not price returns. The idea:
l= log (Close/Close[1] // daily returns calculated for lets say 200 days
StDin% = STD[200] (l) // standard deviation of those daily returns
Result = ATR in % / STD in %
2. Ranking of Todays True Range (ATR with period 1) over a defined period . For instance over period of 200 days.
rnkCount = 0
For i = 1 To 200 Do
If ATRin% > ATRin% Then
rnkCount = rnkCount + 1
endif
Next
ATRPctRank = rnkCount / 200
Thanks.
.