problem with ATR and MACD indicators

[rdft4e]

Hi! thank you for vectorbt!

According to the documentation, the MACD defaults are defined as: def run(close, fast_window=26, slow_window=12,...
is it really fast_window=12, slow_window=26 ??

Also, I had hard times trying to find why the ATR(14) from vectorbt does not match with calculated from tradingview.
Do you mind to check the code ? I check and I see it ok. The strange thing is that ATR(28) (and using ewm = true) here in vectorbt matchs ok the ATR(14) from tradingview.

Thank you again!!

[polakowo]

You're right, defaults for MACD should be reversed. Regarding ATR, there are different smoothing methods (see ATR Calculation Methods and Formulas) - vectorbt uses SMA and EMA, while ta, talib and probably TradingView use Wilder’s method. There is no right or wrong method. If you want to use Wilder, you can use vbt.IndicatorFactory.from_talib('ATR').

[rdft4e]

Thank you! It is exactly how you say and the information in the link. The "translation" to TradingView would be the window times 2n-1. In this case ATR(27) from vectorbt is mostly equivalent to ATR(14) from Wilder's, talib, tradingview.