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If you
want to have something similar to ATR, but using closing prices only, you should
consider using StDev. Like ATR, it needs to be coverted from a raw
number to a percentage of price in order to be of any use. Most
people try to use both of these tools in the raw form and only fool
themselves. They end up with systems that work well for stocks in a
narrow price range. StdErr is also very useful. Some of my
best systems rely solely on StdErr (converted to percent of
price).
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Monday, March 31, 2003 8:11
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Efficiency & ATR (Al V. & Jayson)I have
been looking into volatility of charts recently and alternatives toATR. I
feel ATr is ok, but for my trading based on the close price only itis
little value having the H-L as a criteria. One simple model is just
basedon the H & L from previous close. I am looking at others as well,
but notsufficiently yet to go into details. For a pure EOD day trading
even justclose from previous close could be used as a basis, as the
intradaymovements would be of lesser importance.Just some thoughts to
throw into the ring.Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia-----Original
Message-----From: Fred [mailto:fctonetti@xxxxxxxxx] Sent: Tuesday, 1
April 2003 9:03 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [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@xxxx]> 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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