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I didn't answer that before because Bob Jagow already answered it. ATR(10)
uses Wilder's original modified exponential ma of the TR, whereas ma(ATR(1),10)
calculates a simple moving average of the last 10 TR's. It's a different
calculation, that's all. Standard usage is Wilder's method, which is what AB
uses.
What do you mean by 3% ATR? If you elaborate, I will be bettter able
to answer.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Mr Valley
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 29, 2003 10:11
AM
Subject: RE: [AmiBroker] AmiBroker Tharp
System Testing Template
<FONT face=Arial color=#0000ff
size=2>Al,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks,
<FONT face=Arial color=#0000ff
size=2>Why the difference between ATR(10) and MA(ATR(1),10)? They
plot differently...???
/*ATR TEST */<FONT
size=1>
aa = ATR<FONT
face=Tahoma size=1>(<FONT face=Tahoma color=#ff00ff
size=1>10);
bb = MA<FONT
face=Tahoma size=1>(<FONT face=Tahoma color=#0000ff
size=1>ATR(<FONT face=Tahoma
color=#ff00ff size=1>1),<FONT
face=Tahoma color=#ff00ff size=1>10<FONT face=Tahoma
size=1>);<FONT face=Tahoma color=#0000ff
size=1>
Plot(aa,<FONT face=Tahoma
color=#ff00ff size=1>"aa",<FONT
face=Tahoma color=#ff00ff size=1>1<FONT face=Tahoma
size=1>,4<FONT
face=Tahoma size=1>);
Plot(bb<FONT
size=1>,"<FONT face=Tahoma
color=#ff00ff size=1>bb"<FONT
size=1>,2<FONT
size=1>,4);
<FONT face=Arial color=#0000ff
size=2>Also regarding volatility stops, e.g. 3% ATR?
<FONT face=Arial color=#0000ff
size=2>Thanks,
<FONT face=Arial color=#0000ff
size=2>Mr Valley
<FONT face=Tahoma
size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Saturday, November 29, 2003
7:44 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] AmiBroker Tharp System Testing Template
Mr. V:
Try this one-liner: PositionSize = -1 * BuyPrice/(n*ATR(10),m);
The minus 1 says to risk 1% of current equity ($1000 on a $100,000
portfolio), which is Tharp's recommendation. The rest of the equation says
to adjust that risk by the buyprice/volatility. The volatility denominator
determines how many shares to buy. Thus, if the ATR multiplier, n, is 2,
then the no. of shares is 1000/2ATR, and when you multiply that by the
buyprice, you get the actual dollars invested by Amibroker.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Mr
Valley
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">Amibroker
Sent: Friday, November 28, 2003 10:46
PM
Subject: [amibroker] AmiBroker Tharp
System Testing Template
<SPAN
class=125580103-29112003>Has anyone coded a Tharp
Volatility based template for AmiBroker they are willing to
share?
<SPAN
class=125580103-29112003>
I would like
to test Tharp's expectancy, position sizing @ 1% risk and % volatility
entry and exit stops based on Equity() and R-Multiples
...Like the
book, to begin with...
<FONT face=Arial
size=2>
I'm not good
at coding Stops, yet.
<FONT face=Arial
size=2>
As an aside,
Why is there a difference between ATR(239) and MA(ATR(1),239) ?
Which is
correct, the MA?
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Thanks,
Mr.
Valley
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>
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