|
PureBytes Links
Trading Reference Links
|
Hi, Mr. Valley:
Sorry for waiting more than a week to respond. I completely forgot. Good
think I kept your email. Anyway, Amibroker uses ATR(10), which uses
Wilder's smoothing to compute it, a bastardized form of exponential moving
average, whereas MA(ATR(1),10) is a simple moving average of daily ranges.So,
they give slightly different results. I really don't think it matters a whole
hell of a lot which one you use, but the classical usage is Wilder's. Both are
correct; some traders use the SMA, others use EMA, and others use Wilder's. It's
what your choice is and what works best for you. In AB, since it's a built-in
function, it's easy just to use ATR(x). Now, regarding volatility stops like 3%
ATR, I'm not sure I follow what it is you are asking, but if you mean ATR as a
percent of the price, like ATR(10)/C, you can certainly use that as a filter
(i.e, only buy stocks whose ATR/C is between, say, 2% and 9%). But I don't know
what you mean when you refer to a %ATR stop. Can you expand upon your question a
little more? Thanks, and sorry again for being so tardy in responding.
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>
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version:
6.0.543 / Virus Database: 337 - Release Date:
11/21/2003Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|