Welles Wilder Volatility System

This function calculates the componants of the Welles Wilder Volatility System. The components are as follows:

ARC - the Average True Range (ATR) times a constant.
SIC - SIgnificant Close, the extreme favorable close price reached while in the trade.
SAR - Stop And Reverse point, a point defined by the distance between the ARC and SIC. The point at which a trade should be made close the current position and open a new position in the opposite direction. This occurs when the price breaks above/below the SAR.

The Volatility System was developed by J. Welles Wilder and is described in his 1978 book New Concepts In Technical Trading Systems.

Formula:




Copyright © 2016, FM Labs, Inc.