[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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



PureBytes Links

Trading Reference Links

Chandelier like ( ATR based ) entries can also be made to work pretty 
well given the right vehicle and time frame.

--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Monday, March 31, 2003 7:17 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Efficiency & ATR (Al V. & Jayson)
> 
> 
> I Agree that Raw ATR numbers are of little use.
> 
> 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.
> 
> Al V.
> 
>       Yahoo! Groups Sponsor
>             ADVERTISEMENT
> 
> 
> 
> 
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> 
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.


------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs Online-No late fees! Try Netflix for FREE!
http://us.click.yahoo.com/YKLNcC/oEZFAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->

Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html 

Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/