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Ok Al
Just thought to add this, I have also been looking at using dollars traded
as alternative to straight price. I feel this a better measure of what is
truly happening as sometimes the price can move with very little volume, or
an unusual large amount. By using the traded dollars it provides a measure
of the relative interest. There was a good thread centred around this not so
long ago, just cannot remember details of it.
So I am looking at the normal indicators of volatility and replacing price
with traded dollars. Unfortunately cannot get exact quantities of this, so I
use the average price against volume. This should be close enough for my
purposes.
One thing I have been viewing is the OBV, but have modified to be the MACD
of the OBV which is giving, to me at least, a measurable plot and signals.
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: Al Venosa [mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday, 1 April 2003 10:30 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Efficiency & ATR (Al V. & Jayson)
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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