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Hi Al,
Thanks for pointing out the extra parentheses required
in my formula. Very astute !
(That's what happens when you program at
12:00 midnight on Saturday) :-)
I'll make the changes.
This formula is usefull for comparing the ATR at different
points is the stocks history. Normalizing if you will.
However, I do agree with you that the raw ATR is also
very usefull. I use it as a basis for my trailing stops.
Cheers,
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> Gosub:
>
> I think you have an error in parentheses preference. Your formula:
GM_Vol = (MA(ATR(14),5) / MA((H+L/2),14))*100;
> Shouldn't it be: GM_Vol = (ma(ATR(14),5)/ma(((H+L)/2),14))*100;
>
> In the denominator of your formula, the division of L/2 occurs,
then the quotient is added to the high. I think you meant the range
divided by 2 or (H+L)/2, right?
>
> Chuck LeBeau, in his Traderclub.com forum, has said in the past he
likes to trade stocks whose ATR is somewhere between ~3 to 9% of its
price. Too low and you don't get enough action. Too high and
volatility kills you.
>
> Al V.
> ----- Original Message -----
> From: GM
> To: Amibroker Forum
> Sent: Sunday, March 30, 2003 11:16 PM
> Subject: [amibroker] Efficiency & ATR (Al V. & Jayson)
>
>
> Hi guys,
>
> In an attempt to use the ATR in "Personality"
> recognition, I made a slight mod to the ATR
> indicator. I would appreciate your comments
> and suggestions. (Don't hold any punches)
> Is this a useful tool ?
> Anyone else please feel free to comment,
> Gosub283
>
> Picture attached:
> Notice how "GMVolatility" climbs just before
> the "V" bounce reversals in the QQQ.
>
> Description:
> The standard Average True Range (ATR) indicator
> is only useful as a reference over the period
> which it is set. As the stock price climbs or
> drops significantly, previous ATR value are useless
> when compared to current values. This makes it
> impossible to set ATR thresholds in software systems.
> The GM Volatility indicator divides the ATR value
> by the average close price over the same period,
> thereby showing range volatility as a percentage
> of the average price regardless of time or $ value.
> Values less than 3 are normal while value greater
> than 5 indicate high daily volatility.
> The GM_Volatility indic. is useful at all times
> and floats between 0 and +10% regardless
> of price change over time.
>
> Generally, a value less than 3% indicates
> LOW volatility. Values above 5% indicate
> HIGH volatility.
>
> EG: A value of 2% means that the Low-to-High
> fluctuates 2% of the average price
> over the last 14 days. (lower volatility)
>
> A value of 7% means that the Low-to-High
> fluctuates 7% of the average price
> over the last 14 days. (Higher volatility)
>
*****************************************************/
>
> GM_Vol = (MA(ATR(14),5) / MA((H+L/2),14))*100;
> Graph0 = GM_Vol;
> Graph1 = MA(GM_Vol,10);
>
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