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I use the daily average price x volume
<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: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday, 1 April 2003 11:26
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
Efficiency & ATR (Al V. & Jayson)
<font size=2
face="Times New Roman">
<font size=2
face="Times New Roman">What do you mean by
dollars traded? Closing price times volume?
<span
>----- Original Message -----
<font
size=2 face=Arial>From: <a
href="" title="gkavanagh@xxxxxxxxxxxxx">Graham
<span
>To:<font
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
<span
>Sent:<font
face=Arial> Monday, March 31, 2003 9:41 PM
<span
>Subject:<font
face=Arial> RE: [amibroker] Re: Efficiency
& ATR (Al V. & Jayson)
<font size=2
face="Times New Roman">
<font size=2
face="Courier New">Ok Al<font
face="Courier New">
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
> <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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> >
> >
> >
> > Send BUG REPORTS to
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