I'm trying to do some research. I'd like to calculate the average daily range (High-Low) for a data set over time (daily) and then output the dates and average ranges to a .csv file. I can create a dataseries with the range for one stock. But averaging in all the stocks in a data set is stumping me...thanks!

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Perhaps we'll even stick it in the Wiki FAQ someday. It's really easy if you follow this code pattern:

Multiple Symbol Examples?
Percent of stocks above 200d moving average

Run this code on a single symbol (not in portfolio backtest mode), it will correctly do the rest:

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Sidenote: Index Manager (Index-Lab) is coming in the summer release.

Thanks...works great! BTW, in case you do stick it in the wiki, technically, this is just an average range calculation. I guess we reserve the term Average True Range for the Wilder approach.

Hi,

I have a similar task, but instead of the average daily range of the set I need an average daily range of each given Symbol in the Dataset. In other words, I have a set of 14 Symbols in a set, each symbol is different, time period is almost the same for everyone. I want to have a table with all the symbols and their average daily ranges (see below).

Symbol 1 - Average daily range = X (Where X is the Sum of Daily ranges (High - Low) divided by the number of days)
Symbol 2 - Average daily range = Y
Symbol 3 - Average daily range = Z

Dates are not important.

I would really appreciate if some one could suggest a solution. I just started to code and things are a lit complicated for me.

Thanks.

Hi Anton,
At first glance this seems to be what you're looking for:

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Hi Eugene,

Thanks. It works, but results are not the same compared to Ecxel. I took two symbols from the set and calculated the average in Excel (time period is the same). The results are 50-100% different. Any ideas why it happens?

Regards,
Anton

Sorry Anton, I have little idea as to what may be wrong with your Excel calculation.

Eugene,

I was saying that the code perfomed the wrong calculation, not Excel. I double checked with ATR and it showed that Excel was correct. My question was what could be wrong in the code.

Anton,

And I was implying that I've double checked my code and the output was correct. This discussion is going nowhere without providing facts.