RE: [amibroker] Re: PositionSize / Capital, AmiBroker Email List Archive

Al I use it within explorations, so averaging over a range of stocks each time would consume too much time for all explorations.

To help understand what my ATR study produces here are a couple of charts of similar prices. The trend chart is upper price chart and ATR is below.

ATR chart – Red lines are upper and lower range (~80% of values), Blue is mean line, Black solid is actual ATR and grey is long term MA of ATR

I have not yet tried sorting between rises and falls, but I could try that after also producing a fairly accurate means of trend direction. As far as sudden moves due to announcements etc nothing is very useful for predicting future moves, but the more constructive indications you can have the better you are able to control your trading.

Cheers,
Graham
http://e-wire.net.au/~eb_kavan/

-----Original Message-----
From: Al Venosa [mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday, December 14, 2004 9:23 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: PositionSize / Capital

Graham wrote:

I originally did the study for finding stocks with low or high volatility compared to a norm. It progressed as after plotting the C v ATR I noticed that there was a common pattern over a wide range of stocks. I now have a defined measure of whether a stock is trading with high or low volatility relative to its peers.

But Graham, as I wrote in answer to Pal's message, if all you want to do is compare the volatility of a stock with its peers, you can do that very quickly by exploring on 100*ATR()/C and sorting the result in descending order. Have you found your relationship applies at all times, bullish, bearish, and sideways regardless of market forces, economic conditions, earnings reports, announcements, etc.?

Al V.

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