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Sorry, I don't know what Tharp's conclusion was because I didn't subscribe
to his newsletter. I got busy with AB instead. Not enough hours in a day. Now,
as to ATR, how in the world does AB calculate ATR if O=H=L=C? There would be no
daily range at all, so TRs would always be zero each day. The only range would
be the difference between the NAV from one day to the next (like C - ref(C,-1),
where C == NAV). Is that what you mean by a mutual fund's ATR?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, December 01, 2003 9:13
PM
Subject: RE: [amibroker] Mutual Fund
Money Management
<SPAN
>Al:
<SPAN
>
<SPAN
>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).
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>You never stated the
conclusion from Tharp’s experiment.
<SPAN
>
<SPAN
>Ken
<SPAN
>
<SPAN
>-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] <SPAN
>Sent: Monday, December 01, 2003 9:03
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: [amibroker] Mutual Fund
Money Management
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>AV
<SPAN
>
<SPAN
>
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