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Gosub:
I think you have an error in parentheses preference. <FONT
face="MS Sans Serif">Your formula: GM_Vol = (MA(ATR(14),5) /
MA((H+L/2),14))*100;Shouldn't it be: GM_Vol =
(ma(ATR(14),5)/ma(((H+L)/2),14))*100;
In the denominator of your formula, the division of L/2 occurs, then the
quotient is added to the high. I think you meant the range divided by 2 or
(H+L)/2, right?
Chuck LeBeau, in his Traderclub.com forum, has said in the past he likes to
trade stocks whose ATR is somewhere between ~3 to 9% of its price. Too low and
you don't get enough action. Too high and volatility kills you.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
GM
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">Amibroker Forum
Sent: Sunday, March 30, 2003 11:16
PM
Subject: [amibroker] Efficiency & ATR
(Al V. & Jayson)
Hi guys,
In an attempt to use the ATR in
"Personality"recognition, I made a slight mod to the ATRindicator. I
would appreciate your commentsand suggestions. (Don't hold any
punches)Is this a useful tool ?
Anyone else please feel free to
comment,
Gosub283
Picture attached:Notice how
"GMVolatility" climbs just beforethe "V" bounce reversals in the
QQQ.
Description: The standard
Average True Range (ATR) indicator is only useful as a reference over
the period which it is set. As the stock price climbs
or drops significantly, previous ATR value are useless when
compared to current values. This makes it impossible to set ATR
thresholds in software systems. The GM Volatility indicator divides
the ATR value by the average close price over the same
period, thereby showing range volatility as a percentage of
the average price regardless of time or $ value. Values less than 3
are normal while value greater than 5 indicate high daily
volatility. The GM_Volatility indic. is useful at all
times and floats between 0 and +10% regardless of price
change over time.
Generally, a value less than 3%
indicates LOW volatility. Values above 5% indicate HIGH
volatility.
EG: A value of 2% means that the
Low-to-High fluctuates 2% of the average
price over the last 14 days. (lower
volatility)
A value of 7% means
that the Low-to-High fluctuates 7% of the average
price over the last 14 days. (Higher
volatility)*****************************************************/
GM_Vol = (MA(ATR(14),5) /
MA((H+L/2),14))*100;Graph0 = GM_Vol;Graph1 =
MA(GM_Vol,10);Send
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