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Al:
ARF ARF. Sorry, couldn’t
resist. ART should be ATR and FidoMFs are my list of Mutual Funds
available at Fidelity with no ERFs (gasp – Early Redemption Fees).
AB happily calculates ATR(x) on mutual
funds, so no problem there. I assume the routine uses the O=H=L=C that is
true for all MFs. BTW, ranking by SD and ATR does not produce the same
order of funds. Similar in places, very different other places.
You never stated the conclusion from Tharp’s
experiment.
Ken
-----Original Message-----
From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Monday, December 01, 2003
9:03 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Mutual
Fund Money Management
First of all, like I said, I'm not an expert on MFs. So, when you use
terms like FidoMFs and ART (do you mean ATR?), I don't know what they are (are
these dog mutual funds?). :-)) Second, since MFs don't have OHLC
data, only NAV closing prices, how do you calculate an ATR? I can see using
stdev of C's, but ATR? Nonetheless, I'd let Amibroker decide which length to
use by simply optimizing on periods.
As for your second question, I see absolutely nothing wrong at all with
selecting nearby support and resistance levels to establish your stops. Lots of
people do this. If by 3*ART, you mean 3*ATR, that, of course, is dependent on
your system. Does your system dictate using 3ATRs as your stop point? Again,
the larger your stop is, the more room you give your security to move in.
However, the downside of that is that you buy less, so your profit potential is
proportionately less. Last year, Tharp tried an experiment using a 25% stoploss
on stocks! Yes, that's not a typo. If you buy a $100 stock, the stoploss is set
at $75. Lots of room for error there. The 25% stoploss equated to 1% risk
(which he terms 1R, R being risk multiple) using the same calculation as I gave
before. But in order for you to profit by 1R, the stock has to move to
$125/share. That could take a long time. But nonetheless, it's just another
example of multitudes that can be used to manage risk. Sorry for the rambling,
but I hope some of this makes sense.
AV
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