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



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Oops. Sorry, I meant Chuck, not Graham. 

Al

--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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.
> 
> 
>   ----- Original Message ----- 
>   From: Graham 
>   To: 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 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@x...] 
>   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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