ATR calculations are exactly double the right result (compared to other TA software)
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The ATR functions is implemented as documented by its inventor in the following reference:
New Concepts in Technical Trading Systems
by J. Welles Wilder; Trend Research. ISBN:0894590278
The TA-Lib ATR function has been tested against the examples published in that book. The application ta_regtest included in the C/C++ packages verifies that the algo continue to work as expected (by comparing the result with known value).
Granted you did observed a difference with another software, but how did you establish that TA-Lib is the wrong one?
If convinced that TA-Lib results are incorrect, please provide the following information:
- TA-Lib version used.
- OS and Language interface used.
- The input values and parameter used.
- Values returned by the application you use as reference.
Insufficient information provided. TA-Lib assumed to be correct.
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