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Can we plot ATR as a
% instead of points?
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx] Sent: Monday, March 31, 2003 6:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Efficiency & ATR (Al V. & Jayson)
<SPAN
class=907094200-01042003>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
<FONT face=Tahoma
size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Monday, March 31, 2003 7:17
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Efficiency & ATR (Al V. & Jayson)
I
Agree that Raw ATR numbers are of little use.
<SPAN
class=706564004-31032003>
<SPAN
class=706564004-31032003>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.
<SPAN
class=706564004-31032003>
Al V.Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
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