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There is a very good article in TASC magazine June 2001 re: ATR and
Standard Deviation on S&P 500. The author's conclusion "While the
ATR system does not make as much money, on a risk adjusted basis it
is far superior"
This is one of the better articles to make its way into the magazine.
In terms of Standard Error, Steve Karnish is trading Standard error
Bands on Eminis in real time in his room Teach Talk trade at
cedarcreektrading.com, well worth checking out. To the best of my
knowledge he is the only person that has developed a trading system
with Standard Error Bands.
GG
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Why not just plot them together and see the differences, strengths
and
> weaknesses
>
> Cheers,
> Graham
> http://e-wire.net.au/~eb_kavan/
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Sunday, 15 February 2004 6:13 AM
> To: AmiBroker list
> Subject: [amibroker] StDev, StdError and ATR
>
>
> I know this is a broad and somewhat lazy question, but can someone
give me a
> gut-level intuitive feel for the difference in behavior between
StDev,
> StdError and ATR? What differences would you expect in their
response to
> changes in volatility? For instance, if you were interested in
> volatility-based entries, exits, or stops, which of them would be
the best
> underlying metric to use, and why?
>
> Dave Merrill
>
>
>
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