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RE: [amibroker] Efficiency & ATR (Al V. & Jayson)



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<SPAN 
class=907094200-01042003>Perhaps I misspoke.  I use ATR all the time but 
generally as it relates to the stocks value. An ATR of $3 is a far different 
animal on a $50 stock than it is on a $10 stock. Simply scanning for raw ATR 
numbers has little value (to me) Scanning for stocks whose 14 day ATR represents 
a 5% value of the stocks closing price may represent a universe of stocks worthy 
of further exploration. While I have used ATR for exit strategy I have never 
looked at it for position sizing. This is an interesting 
approach....
 Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Al Venosa 
[mailto:advenosa@xxxxxxxxxxxx]Sent: Monday, March 31, 2003 7:17 
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
Efficiency & ATR (Al V. & Jayson)
I 
Agree that Raw ATR numbers are of little use. 
<SPAN 
class=706564004-31032003> 
<SPAN 
class=706564004-31032003>Jayson, I presume you mean 'of little use' in relation 
to defining efficient stocks. However, ATR can be very useful in establishing 
positionsize. For example, many traders use a multiple of ATR to establish not 
only a max stoploss point but also to help calculate how big of an 
investment to make in a trade. Thus, risking 1% of current equity in a trade, 
you can decide to take a position using the formula: PositionSize = -1 * 
BuyPrice/(2*ATR(15)). Here, raw ATR is very useful because if you happen to buy 
during a highly volatile time, your position size is lower because the 2*ATR is 
in the denominator. Conversely, if the volatility is low at the time of the buy, 
your position size is higher. This is a very effective position sizing strategy. 

<SPAN 
class=706564004-31032003> 
Al V.Send 
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