|
PureBytes Links
Trading Reference Links
|
I think the (communication) problem is in equating ATR with
volatility. In actuality, I think volatility has to be shown as some
function of price. The volatility measure I used for PositionScore in
the system I mentioned was C/ATR(5). Graham spoke of volatility (not
ATR) when he said "Higher price = lower volatility".
Obviously Berkshire Hathaway has a large ATR (> $1000) while a $1
stock has a small one (pennies). But the low priced one can move a
lot faster :-}.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx> wrote:
>
> Really? I just calculated ATR(14) for stock (Guess?, Inc. on NYSE)
> GES. It is a $12.15 stock and the value was 0.608 and for AMZN
> (Amazon.com Inc., on Nasdaq) which is a $40.13 stock and the value
> was 1.317, more than double.
>
> Because of this, ATR readings can be difficult to compare across a
> range of securities. Even for a single security, large price
> movements, such as a decline from $50 to $10, can make long-term
ATR
> comparisons problematical.
>
> Just a refresher:
>
> Wilder started with a concept called True Range (TR) which is
defined
> as the greatest of the following:
>
> The current high less the current low.
> The absolute value of: current high less the previous close.
> The absolute value of: current low less the previous close.
>
> If the current high/low range is large, chances are it will be used
> as the TR. If the current high/low range is small, it is likely
that
> one of the other two methods would be used to calculate the TR. The
> last two possibilities usually arise when the previous close is
> greater than the current high (signaling a potential gap down
and/or
> limit move) or the previous close is lower than the current low
> (signaling a potential gap up and/or limit move). To ensure
positive
> values, absolute values are to be applied to differences.
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > It is my experience that volatility is normally inverse to price
> > Higher price = lower volatility
> >
> > Cheers,
> > Graham
> > http://e-wire.net.au/~eb_kavan/
> >
> > -----Original Message-----
> > From: Pal Anand [mailto:palsanand@x...]
> > Sent: Monday, December 13, 2004 2:45 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: PositionSize / Capital
> >
> >
> >
> > ATR shows volatility in absolute terms (cannot predict direction
or
> > duration, only activity levels), so, lower price stocks will have
> > lower ATR levels than higher price stocks. A $10 stock would
have
> a
> > much lower ATR value than a $50 stock, hence, one would end up
> buying
> > more shares of the $10 stock than the $50 stock.
> >
> > rgds, Pal
> > --- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > <danielwardadams@xxxx> wrote:
> > >
> > > I was gone most of the day so didn't have a chance to keep up
> with
> > > the posts.
> > >
> > > I agree that the results are the opposite of what one would
> expect.
> > I
> > > think in the cases you cite, the formulas should be
> > 100,000*Risk/ATR.
> > > So if your risk tolerance is 2% and the ATR is 2, the position
> size
> > =
> > > 100,000*.02/2 = 2000/2 = 1000 where the 1000 is shares of stock
> and
> > > is independent of the price of the stock, i.e., you can buy
1000
> > > shares of ANY priced stock that has an ATR of 2 and your risk
> would
> > > be the same. In the case of the $50 stock, your position equity
> > would
> > > be $50*1000 = $50,000 when ATR=2. Similarly, you could buy
> > > twice (not half) as much of the stock when ATR=1.
> > >
> > > Although the position sizing being independent of the price of
> the
> > > stock seems counterintuitive, I just reread the chapter in Van
> > > Tharp's book on this ("Trade Your Way to Financial Freedom")
and
> I
> > > think that's the way it's supposed to be.
> > >
> > > I'm not sure what this means for our 20% maximum position
equity
> > > allocation (to achieve diversification).
> > >
> > > Dan
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Al Venosa <advenosa@xxxx>
wrote:
> > > > Ed:
> > > >
> > > > Your formula doesn't make much sense to me. The term
> stoploss/ref
> > > (C,-1)
> > > > is simply the volatility of the stock, expressed as a
fraction
> of
> > > the
> > > > price, times a multiplier. Thus, for a $50 stock whose ATR
is,
> > say,
> > > 2
> > > > (highly volatile), and if you are using a multiplier of 2
with
> an
> > > equity
> > > > of $100 K, then your positionsize statement specifies that
the
> > > position
> > > > size of the trade will be only $8,000 (100,000 * 4/50). For a
> > less
> > > > volatile stock (one whose ATR is only 1), then your
> positionsize
> > > would
> > > > be only $4,000. So, you are allocating less money for less
> > volatile
> > > > stocks and more money for more volatile stocks, and the
amount
> > > allocated
> > > > in each case is tiny relative to your equity. This is the
> > opposite
> > > of
> > > > what volatility-based trading is all about. Did you leave
> > something
> > > out?
> > > >
> > > > Al Venosa
> > > >
> > > > ed nl wrote:
> > > >
> > > > > well I just mentioned this because the range is rather
> narrow.
> > > When
> > > > > testing this MM stuff on my system I noticed that it
behaved
> > very
> > > poor
> > > > > especially between 1998 and 2001. This is exactly the
period
> > the
> > > > > markets were very volatile. SInce volatility reduces the
> > position
> > > > > size my system hardly invested any money.
> > > > >
> > > > > I tried giving risky trades more weight using (not sure if
> this
> > > is
> > > > > correct but it does approximately what I intended):
> > > > >
> > > > > *PositionSize* = -100 * (stopLoss / Ref(*C*,-1));
> > > > > this as I expected gives a better result than just using a
> > > constant
> > > > > percentage over the last 3 year and also better than the
> > correct
> > > MM
> > > > > approach. Between 1998 and 2001 however it performs worse,
> > > suffering
> > > > > when the market goes crazy.
> > > > >
> > > > > rgds, Ed
> > > > >
> > > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > *From:* danielwardadams <mailto:danielwardadams@x...>
> > > > > *To:* amibroker@xxxxxxxxxxxxxxx
> > > <mailto:amibroker@xxxxxxxxxxxxxxx>
> > > > > *Sent:* Sunday, December 12, 2004 4:06 PM
> > > > > *Subject:* [amibroker] Re: PositionSize / Capital
> > > > >
> > > > >
> > > > > I love it. This also helps avoid the tiny positions
> > somebody
> > > (Al?)
> > > > > mentioned yesterday (and I've experienced also). But
why
> do
> > > you say
> > > > > it will usually probably use the 10 or 20% sized
> positions?
> > > Shouldn't
> > > > > that mean you're setting your risk parameter
> > unrealistically
> > > low?
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx
> > > > > <mailto:amibroker@xxxxxxxxxxxxxxx>, "ed nl" <ed2000nl@x
> > > > > <mailto:ed2000nl@x>...> wrote:
> > > > > > This way you can use a range: Maximum 20% minimum 10%
> of
> > > equity:
> > > > > >
> > > > > > rsk = -2; // 2%
> > > > > > PositionSize = Min(-10,Max(-20,rsk * Ref(C,-1) /
> > stopLoss));
> > > > > >
> > > > > > In practice it most of the time it probably either
uses
> > 10%
> > > or 20%.
> > > > > >
> > > > > > Ed
> > > > > >
> > > > > >
> > > > > >
> > > > > > ----- Original Message -----
> > > > > > From: danielwardadams
> > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > Sent: Sunday, December 12, 2004 3:40 PM
> > > > > > Subject: [amibroker] Re: PositionSize / Capital
> > > > > >
> > > > > >
> > > > > >
> > > > > > Al & Ed,
> > > > > > This is exactly where I ended up yesterday (hours
> after
> > > my post).
> > > > > > When I tried it, though, I always ended up taking
the
> > 20%
> > > > > positions
> > > > > > rather than those defined by my risk. Thinking it
> > wasn't
> > > working,
> > > > > I
> > > > > > gave up and went to bed.
> > > > > >
> > > > > > But since someone else thinks this should work,
> > obviously
> > > I need
> > > > > to
> > > > > > play with it some more.
> > > > > >
> > > > > > Dan
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "ed nl"
> > <ed2000nl@xxxx>
> > > wrote:
> > > > > > > Al,
> > > > > > >
> > > > > > > about the part: "Your suggestion to limit
> > > positionsize not to
> > > > > > exceed any more than 20% of equity may be the
> solution
> > > since it
> > > > > goes
> > > > > > hand in hand with the philosophy of money
management.
> > > That is, do
> > > > > not
> > > > > > allow any one position to exceed, say, 10 or 15
> percent
> > > of your
> > > > > > equity. The Turtles did that, and I think lots of
> > traders
> > > do
> > > > > that,
> > > > > > too. So, I see nothing wrong with that. Have you
> coded
> > > this in
> > > > > AFL"
> > > > > > >
> > > > > > > I think you can solve this using:
> > > > > > >
> > > > > > > rsk = -2; // 2%
> > > > > > > PositionSize = Max(-20,rsk * Ref(C,-1) /
stopLoss);
> > > > > > >
> > > > > > > now it will never use more than 20% of equity.
> > > > > > >
> > > > > > > About the minimum number of trades I don't know.
In
> > my
> > > system
> > > > > that
> > > > > > would be impossible because sometimes good entries
> just
> > > dry up
> > > > > and I
> > > > > > can't find even find 5.
> > > > > > >
> > > > > > > rgds, Ed
> > > > > > >
> > > > > > > ----- Original Message -----
> > > > > > > From: Al Venosa
> > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > Sent: Sunday, December 12, 2004 3:11 PM
> > > > > > > Subject: Re: [amibroker] Re: PositionSize /
> Capital
> > > > > > >
> > > > > > >
> > > > > > > Dan:
> > > > > > >
> > > > > > > Thanks for the ideas. You're not rambling;
you're
> > > thinking,
> > > > > and
> > > > > > this discussion is healthy. Good ideas may stem
from
> the
> > > > > discussion,
> > > > > > so by all means, keep posting.
> > > > > > >
> > > > > > > I don't think you need a new built-in function
> > called
> > > MinPos.
> > > > > > Maybe TJ came up with a solution the other day by
> > > suggesting you
> > > > > set
> > > > > > the max open positions to some large value like 10
of
> > 15,
> > > even
> > > > > though
> > > > > > you plan to take on no more than 5 at any time. So,
> if
> > > you don't
> > > > > use
> > > > > > up all your equity using volatility-based
> > positionsizing,
> > > you
> > > > > might
> > > > > > add on new positions with this approach. I haven't
> > tested
> > > this
> > > > > idea
> > > > > > yet, but I will. The problem occurs when the
opposite
> > > happens,
> > > > > > namely, all your equity is used up before you are
> able
> > to
> > > add
> > > > > your
> > > > > > 4th and 5th positions. Your suggestion to limit
> > > positionsize not
> > > > > to
> > > > > > exceed any more than 20% of equity may be the
> solution
> > > since it
> > > > > goes
> > > > > > hand in hand with the philosophy of money
management.
> > > That is, do
> > > > > not
> > > > > > allow any one position to exceed, say, 10 or 15
> percent
> > > of your
> > > > > > equity. The Turtles did that, and I think lots of
> > traders
> > > do
> > > > > that,
> > > > > > too. So, I see nothing wrong with that. Have you
> coded
> > > this in
> > > > > AFL?
> > > > > > I'm like Yuki: good with concepts buy lousy with
> > creative
> > > > > > programming.
> > > > > > >
> > > > > > > Al Venosa
> > > > > > >
> > > > > > > danielwardadams wrote:
> > > > > > >
> > > > > > >
> > > > > > > After thinking about this some more, I think
> all
> > > I've
> > > > > described
> > > > > > is
> > > > > > > what could be accomplished with two more
built-
> in
> > > > > variables.
> > > > > > MinPos
> > > > > > > could say you want no less than some minimum
> > number
> > > of
> > > > > > positions (5
> > > > > > > in my example) and MaxPositionSize could say
> you
> > > want to
> > > > > > allocate no
> > > > > > > more than X% of capital to any one position
> (20%
> > in
> > > my
> > > > > example).
> > > > > > >
> > > > > > > Within these constraints, your actual
position
> > > sizing
> > > > > methond
> > > > > > could
> > > > > > > be anything you want.
> > > > > > >
> > > > > > > I'm probably rambling .........
> > > > > > >
> > > > > > > Dan
> > > > > > >
> > > > > > > --- In
> > amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > > > > > > <danielwardadams@xxxx> wrote:
> > > > > > > >
> > > > > > > > Al & Anthony,
> > > > > > > > I've also seen the lower returns for
> volatility
> > > based
> > > > > versus
> > > > > > equal
> > > > > > > > equity position sizing in the past and
didn't
> > > know what
> > > > > to do
> > > > > > about
> > > > > > > > it (assuming I wanted more positions for
more
> > > > > > diversification).
> > > > > > > >
> > > > > > > > I'm not sure how one would code it in .AFL,
> but
> > > would the
> > > > > > following
> > > > > > > > represent a reasonable compromise?
> > > > > > > >
> > > > > > > > (1) Start with an equal equity based model
> > based
> > > on,
> > > > > say, 5
> > > > > > > > positions (position size = -20). So each
part
> > of
> > > the pie
> > > > > > equals 20%
> > > > > > > > of total equity.
> > > > > > > > (2) Determine actual position size within
> each
> > > piece of
> > > > > the
> > > > > > pie
> > > > > > > based
> > > > > > > > on volatility based sizing. So, depending
on
> > your
> > > risk
> > > > > > parameter,
> > > > > > > one
> > > > > > > > might use only 17% of one piece of the pie,
> 13%
> > of
> > > > > another
> > > > > > piece,
> > > > > > > and
> > > > > > > > 20%, 8%, and 11% of the other pieces.
> > > > > > > > (3) Sum the used portions of the pie (in
this
> > case
> > > > > > 17+13+20+8+11 =
> > > > > > > > 69%) and see what you have left. 31% in
case.
> > > > > > > > (4) Allocate the remaining cash according
to
> > the
> > > equal
> > > > > equity
> > > > > > > model.
> > > > > > > > This means you get one more 20% piece of
pie
> > and
> > > only
> > > > > have
> > > > > > 11% cash
> > > > > > > > remaining.
> > > > > > > > (5) Apply the above using your ATR based
> > position
> > > sizing
> > > > > > > recursively
> > > > > > > > until your cash is minimized. So if you
only
> > are
> > > able to
> > > > > use
> > > > > > 9% of
> > > > > > > > the piece of pie left in (4) you take the
11%
> > > left from
> > > > > that
> > > > > > piece
> > > > > > > > plus the 11% cash and you have 22% --
enough
> > for
> > > another
> > > > > > position.
> > > > > > > So
> > > > > > > > in this case you end up with 7 positions
and
> > only
> > > 2% left
> > > > > in
> > > > > > cash.
> > > > > > > > So your cash is minimized and all your
> > positions
> > > adhere
> > > > > to
> > > > > > the ATR
> > > > > > > > based position sizing.
> > > > > > > >
> > > > > > > > Like I say, I have no idea how to code it
but
> > > intuitively
> > > > > it
> > > > > > makes
> > > > > > > > sense to me.
> > > > > > > >
> > > > > > > > Thoughts/comments?
> > > > > > > >
> > > > > > > > Dan
> > > > > > > >
> > > > > > > > (And, yes, I'm sure I'm not the first
person
> to
> > > think of
> > > > > it
> > > > > > so my
> > > > > > > > apologies to those who have gone before).
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony
> > > Faragasso"
> > > > > > > <ajf1111@xxxx>
> > > > > > > > wrote:
> > > > > > > > > Hello Al,
> > > > > > > > >
> > > > > > > > > You stated:
> > > > > > > > >
> > > > > > > > > "the lower the volatility, the lower the
> risk
> > > and
> > > > > > therefore, the
> > > > > > > > smaller the positionsize for that stock. "
> > > > > > > > >
> > > > > > > > > Is this a correct assumption ? ...Would
you
> > > want a
> > > > > larger
> > > > > > > > positionsize on a less risk position , and
a
> > > smaller
> > > > > position
> > > > > > on a
> > > > > > > > more volatile one ?
> > > > > > > > >
> > > > > > > > > Anthony
> > > > > > > > > ----- Original Message -----
> > > > > > > > > From: Al Venosa
> > > > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > > > Sent: Saturday, December 11, 2004 7:53
AM
> > > > > > > > > Subject: Re: [amibroker] PositionSize /
> > > Capital
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > Ed,
> > > > > > > > >
> > > > > > > > > I, too, have confirmed many times with
> > > backtesting
> > > > > what
> > > > > > you
> > > > > > > > report, viz,, that positionsize = -x gives
> > better
> > > > > performance
> > > > > > > results
> > > > > > > > than using volatility-based MM
> positionsizing.
> > > The non-MM
> > > > > > code I've
> > > > > > > > used in the past is:
> > > > > > > > >
> > > > > > > > > posqty = Optimize
("posqty",5,2,10,1); //
> > no.
> > > of
> > > > > stocks
> > > > > > active
> > > > > > > at
> > > > > > > > any given time
> > > > > > > > > PositionSize = -100/posqty; //equal
> equity
> > > model
> > > > > > > > >
> > > > > > > > > I think I know what the problem is, but
I
> > > have not as
> > > > > yet
> > > > > > > figured
> > > > > > > > out how to solve the problem with AFL. If
you
> > use
> > > the MM-
> > > > > > based
> > > > > > > > positionsize statement as we have discussed
> > (equal
> > > > > volatility
> > > > > > > model),
> > > > > > > > i.e., PositionSize = -1 * C/StopAmt, and
> > examine
> > > the
> > > > > > tradelist, you
> > > > > > > > will likely discover that, often, not all 5
> > > stocks are
> > > > > active
> > > > > > all
> > > > > > > the
> > > > > > > > time. In other words, either you have idle
> > capital
> > > > > earning
> > > > > > nothing
> > > > > > > or
> > > > > > > > you have fewer active stocks than you want.
> Why
> > > is this?
> > > > > > Because
> > > > > > > some
> > > > > > > > stocks, which might not be as volatilie as
> > > others, use up
> > > > > > more of
> > > > > > > > your capital to initiate a position than a
> more
> > > volatile
> > > > > > stock.
> > > > > > > > Consequently, your capital is used up
before
> > you
> > > have a
> > > > > > chance to
> > > > > > > > enter into your 4th or 5th stock. Instead
of
> > > having 5
> > > > > open
> > > > > > > positions,
> > > > > > > > you might only have 3 because of this.
> Checking
> > > > > positionsize
> > > > > > > > shrinking doesn't help because you'll
> discover
> > > you might
> > > > > have
> > > > > > tiny
> > > > > > > > positions in your 5th stock. The fewer
stocks
> > you
> > > have,
> > > > > the
> > > > > > less
> > > > > > > > diversified you are, and therefore the more
> > risky
> > > your
> > > > > > portfolio.
> > > > > > > The
> > > > > > > > more risk, the higher the DDs. This problem
> > > cannot happen
> > > > > > with the
> > > > > > > > equal equity model since all positions are
> > equal
> > > in size,
> > > > > by
> > > > > > > > definition.
> > > > > > > > >
> > > > > > > > > One possible way around this might be
to
> > > increase
> > > > > your
> > > > > > margin
> > > > > > > so
> > > > > > > > that equity is expanded enough to allow
full
> > > funding of
> > > > > all
> > > > > > > > positions. But, again, this also increases
> your
> > > risk.
> > > > > Another
> > > > > > way
> > > > > > > > might be dynamically setting your risk to
fit
> > the
> > > > > volatility
> > > > > > of
> > > > > > > each
> > > > > > > > stock individually (the lower the
volatility,
> > the
> > > lower
> > > > > the
> > > > > > risk
> > > > > > > and
> > > > > > > > therefore, the smaller the positionsize for
> > that
> > > stock).
> > > > > > However,
> > > > > > > > this changes your model so that you no
longer
> > > have equal
> > > > > > > > volatility/equal risk (getting closer to
the
> > > equal equity
> > > > > > model).
> > > > > > > So,
> > > > > > > > the problem remains unsolved for the
moment.
> I
> > > have not
> > > > > had
> > > > > > time to
> > > > > > > > devote to cracking this problem yet, but
some
> > day
> > > I hope
> > > > > to
> > > > > > do
> > > > > > > this.
> > > > > > > > If you have any ideas, I'm all ears.
> > > > > > > > >
> > > > > > > > > Al Venosa
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > ed nl wrote:
> > > > > > > > > Thanks for your effort Al. It is very
> > clear,
> > > > > > > > >
> > > > > > > > > In one of my earlier posts I posted
> > > > > > > > >
> > > > > > > > > // money management block
> > > > > > > > > stopLoss = Ref(bbb*ATR(20),-1);
> > > > > > > > > // trade risk
> > > > > > > > > tr = IIf(Buy,(stopLoss /
> > > BuyPrice),stopLoss /
> > > > > > (ShortPrice +
> > > > > > > > stopLoss));
> > > > > > > > > // renormalisation coefficient
> > > > > > > > > rc = 0.02 / tr;
> > > > > > > > > // positionsize
> > > > > > > > > PositionSize = rc * -100
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > it actually gives the same result as
> your:
> > > > > > > > > PositionSize = -2.0 * IIf
> > > > > (Buy,BuyPrice,ShortPrice) /
> > > > > > stopLoss
> > > > > > > > > except for short positions. Exact the
> > same
> > > it would
> > > > > be
> > > > > > if I
> > > > > > > > use: tr = IIf(Buy,(stopLoss /
> > BuyPrice),stopLoss /
> > > > > > (ShortPrice));
> > > > > > > > >
> > > > > > > > > Unfortunatelly I do not get better
> > results
> > > this
> > > > > way.
> > > > > > Using
> > > > > > > just
> > > > > > > > a simple PositionSize = -10 still gives
> > somewhat
> > > better
> > > > > > results.
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > rgds, Ed
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > ----- Original Message -----
> > > > > > > > > From: Al Venosa
> > > > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > > > Sent: Saturday, December 11, 2004
> 4:19
> > AM
> > > > > > > > > Subject: Re: [amibroker]
> PositionSize /
> > > Capital
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > ed nl wrote:
> > > > > > > > >
> > > > > > > > > Al,
> > > > > > > > >
> > > > > > > > > but how do you implement the risk
> > > factor now?
> > > > > > > > >
> > > > > > > > > ed
> > > > > > > > > Ed:
> > > > > > > > >
> > > > > > > > > Let us suppose you have established
> > your
> > > risk as
> > > > > 1%
> > > > > > (i.e.,
> > > > > > > > the maximum you are willing to lose on a
> > trade).
> > > Let us
> > > > > also
> > > > > > > suppose
> > > > > > > > your initial equity is $100,000. So, if the
> > stock
> > > you buy
> > > > > (or
> > > > > > > short)
> > > > > > > > goes down by the amount based on your
system,
> > you
> > > lose
> > > > > only
> > > > > > $1000,
> > > > > > > > keeping you in the game. Now, let us say
you
> > > defined your
> > > > > > > volatillty-
> > > > > > > > based stop in terms of 2*ATR(20), which you
> > > incorrectly
> > > > > > assigned to
> > > > > > > > the variable TrailStopAmount. I
> > say 'incorrectly'
> > > because
> > > > > the
> > > > > > > > TrailStop in AB was designed to mimic the
> > > Chandelier
> > > > > exit,
> > > > > > which is
> > > > > > > > basically a profit target type of stock (it
> > hangs
> > > down
> > > > > like a
> > > > > > > > chandelier from the highest high since the
> > trade
> > > was
> > > > > > initiated, if
> > > > > > > > long). I don't think you want the TrailStop
> to
> > be
> > > your
> > > > > money
> > > > > > > > management stop. Rather, the MM stop is the
> max
> > > stoploss,
> > > > > > defined
> > > > > > > as:
> > > > > > > > >
> > > > > > > > > StopAmt = 2*ATR(20);
> > > > > > > > > ApplyStop(0,2,StopAmt,1);
> > > > > > > > >
> > > > > > > > > So, if your stock declines by 2*ATR
> (20)
> > > from your
> > > > > > entry,
> > > > > > > you
> > > > > > > > exit with a 1% loss. Let's take an example.
> > Stock
> > > A is
> > > > > > selling for
> > > > > > > > $40/share. It's ATR(20) is $1/shr or 2.5%
of
> > 40.
> > > Your
> > > > > stop
> > > > > > amount
> > > > > > > is
> > > > > > > > 2*ATR(20), which is $2/shr. How much stock
do
> > you
> > > buy?
> > > > > You
> > > > > > simply
> > > > > > > > divide your risk, $1000, by 2*1, which is
500
> > > shares.
> > > > > This
> > > > > > amounts
> > > > > > > to
> > > > > > > > an investment of $40/shr * 500 shrs or
> $20,000.
> > > All of
> > > > > this
> > > > > > can be
> > > > > > > > coded in one simple line of AFL plus the 2
> > lines
> > > above
> > > > > > defining the
> > > > > > > > MM stoploss:
> > > > > > > > >
> > > > > > > > > PositionSize = -1 *
BuyPrice/StopAmt;
> > > > > > > > >
> > > > > > > > > where -1 is 1% of current equity
> (0.01
> > *
> > > 100,000
> > > > > or
> > > > > > $1000),
> > > > > > > > BuyPrice = $40/shr, and StopAmt is 2. Keep
in
> > > mind that a
> > > > > > negative
> > > > > > > > sign means 1% of CURRENT equity, which
means
> > > compounded
> > > > > > equity, not
> > > > > > > > just a constant initial equity of $100,000.
> If
> > > you carry
> > > > > > through
> > > > > > > the
> > > > > > > > above math with your renormalization
> coefficient
> > > > > notation,
> > > > > > you wind
> > > > > > > > up with the exact same answer.
> > > > > > > > >
> > > > > > > > > One more thing. When you place your
> > order,
> > > > > assuming
> > > > > > you are
> > > > > > > > trading with EOD data, you do not know what
> the
> > > buyprice
> > > > > is
> > > > > > until
> > > > > > > you
> > > > > > > > buy the stock, which is the next day. So,
> what
> > > most
> > > > > traders
> > > > > > do is
> > > > > > > > base their positionsize on the closing
price
> of
> > > the night
> > > > > > before
> > > > > > > the
> > > > > > > > entry. Therefore, to place an order in the
> > > evening to be
> > > > > > filled in
> > > > > > > > the morning at the open, your positionsize
> > > statement
> > > > > would
> > > > > > actually
> > > > > > > > be:
> > > > > > > > >
> > > > > > > > > PositionSize = -1 * C/StopAmt;
> > > > > > > > >
> > > > > > > > > where C is the closing price on the
> > night
> > > before
> > > > > you
> > > > > > buy.
> > > > > > > So,
> > > > > > > > if you use the code SetTradeDelays
(1,1,1,1),
> > then
> > > the
> > > > > above
> > > > > > formula
> > > > > > > > is OK. However, if you use SetTradeDelays
> > > (0,0,0,0), then
> > > > > you
> > > > > > have
> > > > > > > to
> > > > > > > > ref the C back a day.
> > > > > > > > >
> > > > > > > > > This is probably more information
> than
> > > you were
> > > > > > asking
> > > > > > > about,
> > > > > > > > but I hope it helps.
> > > > > > > > >
> > > > > > > > > Cheers,
> > > > > > > > >
> > > > > > > > > Al Venosa
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > Check AmiBroker web page at:
> > > > > > > > > http://www.amibroker.com/
> > > > > > > > >
> > > > > > > > > Check group FAQ at:
> > > > > > > >
> > > > >
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > Yahoo! Groups Sponsor
> > > > > > > > > ADVERTISEMENT
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > ------------------------------------------
--
> --
> > --
> > > --------
> > > > > ----
> > > > > > ------
> > > > > > > --
> > > > > > > > ----------
> > > > > > > > > Yahoo! Groups Links
> > > > > > > > >
> > > > > > > > > a.. To visit your group on the web,
go
> to:
> > > > > > > > >
http://groups.yahoo.com/group/amibroker/
> > > > > > > > >
> > > > > > > > > b.. To unsubscribe from this group,
> send
> > an
> > > email
> > > > > to:
> > > > > > > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > > > > > > >
> > > > > > > > > c.. Your use of Yahoo! Groups is
> subject
> > to
> > > the
> > > > > Yahoo!
> > > > > > Terms
> > > > > > > of
> > > > > > > > Service.
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > Check AmiBroker web page at:
> > > > > > > http://www.amibroker.com/
> > > > > > >
> > > > > > > Check group FAQ at:
> > > > > >
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > Check AmiBroker web page at:
> > > > > > > http://www.amibroker.com/
> > > > > > >
> > > > > > > Check group FAQ at:
> > > > > >
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > >
> > > > > > >
> > > > > > > Yahoo! Groups Sponsor
> > > > > > > ADVERTISEMENT
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --------------------------------------------------
--
> --
> > --
> > > --------
> > > > > ----
> > > > > > ----------
> > > > > > > Yahoo! Groups Links
> > > > > > >
> > > > > > > a.. To visit your group on the web, go to:
> > > > > > > http://groups.yahoo.com/group/amibroker/
> > > > > > >
> > > > > > > b.. To unsubscribe from this group, send an
> email
> > > to:
> > > > > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > > > > >
> > > > > > > c.. Your use of Yahoo! Groups is subject to
the
> > > Yahoo!
> > > > > Terms of
> > > > > > Service.
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > Check AmiBroker web page at:
> > > > > > http://www.amibroker.com/
> > > > > >
> > > > > > Check group FAQ at:
> > > > >
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > >
> > > > > >
> > > > > > Yahoo! Groups Sponsor
> > > > > > ADVERTISEMENT
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > ------------------------------------------------------
--
> --
> > --
> > > --------
> > > > > ----------
> > > > > > Yahoo! Groups Links
> > > > > >
> > > > > > a.. To visit your group on the web, go to:
> > > > > > http://groups.yahoo.com/group/amibroker/
> > > > > >
> > > > > > b.. To unsubscribe from this group, send an email
> to:
> > > > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > > > >
> > > > > > c.. Your use of Yahoo! Groups is subject to the
> > Yahoo!
> > > Terms of
> > > > > Service.
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Check AmiBroker web page at:
> > > > > http://www.amibroker.com/
> > > > >
> > > > > Check group FAQ at:
> > > > >
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Check AmiBroker web page at:
> > > > > http://www.amibroker.com/
> > > > >
> > > > > Check group FAQ at:
> > > > >
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > >
> > > > >
> > > > > *Yahoo! Groups Sponsor*
> > > > > ADVERTISEMENT
> > > > > click here
> > > > >
> > >
> >
>
<http://us.ard.yahoo.com/SIG=1295sokvr/M=294855.5468653.6549235.300117
> > >
> >
>
6/D=groups/S=1705632198:HM/EXP=1102952992/A=2455396/R=0/SIG=119u9qmi7/
> > > *http://smallbusiness.yahoo.com/domains/>
> > > > >
> > > > >
> > > > >
> > > > > --------------------------------------------------------
--
> --
> > --
> > > ----------
> > > > > *Yahoo! Groups Links*
> > > > >
> > > > > * To visit your group on the web, go to:
> > > > > http://groups.yahoo.com/group/amibroker/
> > > > >
> > > > > * To unsubscribe from this group, send an email to:
> > > > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > > > > <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?
> > > subject=Unsubscribe>
> > > > >
> > > > > * Your use of Yahoo! Groups is subject to the
Yahoo!
> > > Terms of
> > > > > Service <http://docs.yahoo.com/info/terms/>.
> > > > >
> > > > >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
------------------------ Yahoo! Groups Sponsor --------------------~-->
$4.98 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/Q7_YsB/neXJAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|