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Yes, Graham. Perhaps a good use of Stdev of closing prices as a means of
tracking volatility is if you trade mutual funds, which don't report OHLC data.
In that case, if you want to use volatility as a way of controlling position
size, stdev or a multiple of stdev would work well.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, March 31, 2003 8:10
PM
Subject: 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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