This blog post introduces a new custom study to Sierra Chart which adds two popular risk metrics: value at risk (VAR) and conditional value at risk (CVAR). The study does a historical VAR and CVAR calculation given the length of the look back period and the confidence interval.

This blog post will cover how to submit orders and get position data using Sierra Chart’s ACSIL. It also includes back testing results from a RSI strategy.

This post will include the source code for a Sierra Chart study which will show the current bar’s range as a percentage of a historical ATR. The length and moving average type of the historical ATR can be chosen through the inputs.