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What do you mean by dollars traded? Closing price times volume?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, March 31, 2003 9:41
PM
Subject: RE: [amibroker] Re: Efficiency
& ATR (Al V. & Jayson)
Ok AlJust thought to add this, I have also been looking
at using dollars tradedas alternative to straight price. I feel this a
better measure of what istruly happening as sometimes the price can move
with very little volume, oran unusual large amount. By using the traded
dollars it provides a measureof the relative interest. There was a good
thread centred around this not solong ago, just cannot remember details of
it.So I am looking at the normal indicators of volatility and replacing
pricewith traded dollars. Unfortunately cannot get exact quantities of
this, so Iuse the average price against volume. This should be close
enough for mypurposes.One thing I have been viewing is the OBV, but
have modified to be the MACDof the OBV which is giving, to me at least, a
measurable plot and signals.Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia-----Original
Message-----From: Al Venosa [mailto:advenosa@xxxxxxxxxxxx] Sent:
Tuesday, 1 April 2003 10:30 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[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> <A
href="">http://groups.msn.com/ASXShareTrading>
<A
href="">http://groups.msn.com/FMSAustralia>
> -----Original Message-----> From: Fred
[mailto:fctonetti@xxxx] > 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.> > >
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