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Chuck,
I made a "quick and dirty" indicator some time ago
that does a similar thing as your candle height vs.
average body height.
This one uses ATR over time.
I posted it last week but it had a minor error.
(Thanks Al V.) So I'll re-post it now.
Like yours, this one normalizes the ATR value and
allows one to compare it to previous values.
It converts the ATR to a percentage of the close price.
Cheers,
Gosub283
Description:
The standard Average True Range (ATR) indicator
is only usefull 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 4 indicate high daily volatility.
The GM_Volatility indic. is usefull at all times
and floats between 0 and approx.+10% regardless
of price change over time.
EG: A value of 2% means that the daily Low-to-High
fluctuates 2% of the average close price
over the last 14 days. (lower volatility)
A value of 7% means that the daily 'Low-to-High'
fluctuates 7% of the average close 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);
====================================================
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I mentioned to you one of the things that I have learned after many
years of
> developing trading systems. I told you that I filter stocks using
the
> ratio of total candle height to candle body size over some period
of time.
>
> Have a look at two charts: AAR and ABJ
>
> I have no idea what these companies do or who runs them, but I
think that
> most traders would prefer to trade AAR and not ABJ, if given the
choice.
> Why do you suppose that is the case? It's kind of hard to put in
words,
> but I sure don't like the look and feel of ABJ. So, I try to
quantify it
> so that I can use AB, MetaStock or TradeStation to filter out ABJ
for the
> time being. I may want to look at again later, but not right
now. In
> fact, my systems will have a fresh look every day. But, we've
already beat
> that to death.
>
> In order to quantify why I don't like the look of ABJ, I discovered
that I
> can calculate the ratio of total candle height to candle body
height over
> some number of days and if the ratio is "high", I simply won't
trade it.
> You'll have to figure out for yourself how many days to look at and
what
> kind of value is "high".
>
> Of course, there are those people who would like to trade ABJ for
the very
> reason that I don't want to trade it. But their systems or
methods would
> be quite different from mine. When ABJ takes on the look of AAR
(next
> week, next month or next year), I will automatically have a look at
it using
> my systems. Until then, it flunks test number 23.
>
> Perhaps I've just saved someone 40 years of research? I hope so.
>
> Cheers
> -----Original Message-----
> From: gosub283 [mailto:gosub283@x...]
> Sent: Saturday, March 29, 2003 7:27 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TESTING THE UNIVERSE ? (for GoSub)
>
>
> Chuck,
>
> Thanks again.
>
> That Candle height...Candle body thing...
> I looks like an "efficiency" criteria that
> I saw using "average true range vs. time".
> In other words, you are looking for efficient,
> low volatility (low atr) markets.
>
> Cheers,
> gosub 283
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > I think I approach this problem in a different way. I agree
with
> you on
> > all three points (A,B,C) mentioned below. Why then, you might
> ask, do I
> > still want my system to look at all of the stocks in the
universe?
> >
> > To me the answer is easy. I don't want to sit down daily,
weekly
> or monthly
> > and portion the stocks out to nice little groups of "tradeable"
> and "not
> > tradeable". I don't think that I'm smart enough and I surely
> don't have
> > the time.
> >
> > However, I can write systems that will do all of this for me.
In
> order for
> > these systems to do the intended job, however, they need to see
all
> of the
> > stocks every day. I let the system decide whether the each
> stock "appears"
> > to be tradeable or not. By letting the system do the
deciding, I
> can be
> > fishing instead of perusing charts. I've been trading for 40
years
> and have
> > yet to look at a chart to make any sort of trading decision. I
> have looked
> > at charts in order to transfer the look and feel of a chart to
my
> trading
> > systems, but not for making actual trading decisions.
> >
> > So, I'm a single-click trader and I'm trading on behalf of
several
> hedge
> > funds. My systems make a single pass through all of the active
> stocks and
> > decide which ones to trade and in which direction. I blindly
> enter the
> > orders before the market opens and I'm done (trading) for the
> day. I spend
> > the rest of the day doing research on how to improve my systems.
> If the
> > sun is shining and it's not too windy, I'm fishing!
> >
> >
> > -----Original Message-----
> > From: gosub283 [mailto:gosub283@x...]
> > Sent: Saturday, March 29, 2003 5:28 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] TESTING THE UNIVERSE ?
> >
> >
> > Hi everyone,
> >
> > Please bear with me on this subject because
> > it's one which I have not yet found the answer
> > and one which I am not an expert. This question is based
> > on my current assumptions and is open to comment,
> > correction, or debate.
> >
> > (This has been discussed before but, as an onlooker,
> > I did not see a solution.)
> >
> > Here it is:
> >
> > What is the point of testing the whole universe
> > of stocks with a trading system if it is generally
> > understood that..
> > A) Some stocks are just not "system" tradeable
> > B) Some systems are best suited to certain markets.
> > C) Some stocks have unique "personalities" which work
> > with some trading techniques but not others.
> >
> > It seems to me that a test of the whole universe will give
> > a squewed result because the performance of the system
> > will be lowered by the "untradeables" and the ones with
> > the "wrong personality".
> >
> > I have written filters which divide up the universe into two
> > personality groups.(Good ones on the left...bad ones on the
right)
> > This has helped to narrow down the basket a little.
> > But maybe there's another reason to test the whole universe
> > that I m not aware of. Any comments on this ? (for or against)
> >
> > PS: I think the focus should be on devising ways to define
> > and catagorize "personalities", then go exploit them.
> > (Definately easier said than done) ;-(
> >
> > Cheers,
> > Gosub283
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
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