|
PureBytes Links
Trading Reference Links
|
Thanks Chuck, yes it is on my list to research. I have
always tried to use price moves in relation to the price levels of the stocks.
I rarely use things in raw form. One reason for this is the weird way the ASX
has different trading ticks for various price ranges 0-10c= 0.1 10-50c =0.5c
50c-$100 = 1.0c and another above $100, but cannot remember it. A lot of what I
research is based on tick moves which requires a little manipulation in the
explorations eg $1.00 is 230 ticks (100+80+50). I also look at ratios of change
to price etc.
<font size=3 color=teal
face="Times New Roman">Cheers,
Graham
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/ASXShareTrading
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/FMSAustralia
<span
>-----Original Message-----
From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Tuesday, 1 April 2003 9:22
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Efficiency & ATR (for <span
>Graham<span
>)
<font size=2
face="Times New Roman">
<font size=2 color=blue
face=Arial>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).
-----Original
Message-----
From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]
Sent: Monday, March 31, 2003 8:11
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Efficiency & ATR (Al V. & Jayson)
<font size=2
face="Courier New">I have been looking into
volatility of charts recently and alternatives to<font
face="Courier New">
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@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.
>
> 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: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
> <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at:
<a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to <a
href="">http://docs.yahoo.com/info/terms/
Send BUG REPORTS to bugs@xxxxxxxxxxxxx<font
face="Courier New">
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <a
href="">Yahoo! Terms of Service.
<font size=2
face="Times New Roman">
Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <a
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|