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I have been looking into volatility of charts recently and alternatives to
ATR. I feel ATr is ok, but for my trading based on the close price only it
is little value having the H-L as a criteria. One simple model is just based
on the H & L from previous close. I am looking at others as well, but not
sufficiently yet to go into details. For a pure EOD day trading even just
close from previous close could be used as a basis, as the intraday
movements would be of lesser importance.
Just some thoughts to throw into the ring.
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: Fred [mailto:fctonetti@xxxxxxxxx]
Sent: Tuesday, 1 April 2003 9:03 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Efficiency & ATR (Al V. & Jayson)
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.
>
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