No I was responding earlier to what
had been written about comparing high and low priced stocks. I went off the
track, sorry as I am more concerned with how a stock is trading compared to others
in its price range. My chart was just to demonstrate in response again as to
what I am doing it for. Won’t go one more as have found little interest
from others in what I am doing anyway
-----Original
Message-----
From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday, December 14, 2004
10:36 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re:
PositionSize / Capital
Hello
again, Graham:
It appears your ATRs didn't change much over the 6 months shown in your graphs.
So, I'm not sure what you are trying to demonstrate. The ATR/C for both stocks
is close to 2%. That's about it. So, what is there to learn from this? I
thought in your earlier messages you were trying to compare a high-priced stock
with a low-priced stock in terms of volatility.
AV
Graham wrote:
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.
-----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:
Al
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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