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Sorry Louis, a mistake there.
I am getting my standard deviations mixed up between programs.
In AB StDev is 1 by default and is in $values.
To use AB's StDev at 2,3 deviations etc just multiply StDev(C,10) * 2
etc
To use it as StDev%
StDevPercent = StDev(C,Periods)/MA(C,Periods) * 100;
For STANDARD measures of deviation use StDev.
For relative measures of deviation use ATR as % or StDev as %
One example:
Say you want to compare the performance of a fast horse and a slow
horse. If they both travel 1 StDev in the same time (number of
periods) their performance is equal but the VALUE (QUALITY) of the
fast horses performance is higher - it's a grade one horse compared
to the other horse, which is a grade 2 (using speed as the criteria).
In practice - profit/loss stops might be set at +- 1 standard
devation and then filtered for the top performers. The top performers
could then be segregated into two watchlists - those with 1 stdev >
2% (high volatility stocks) and those with stdev <=2% (low volatility
stocks) - this would allow a comparison of the performance of that
trading signal/stop loss combination on high and low volatility
stocks.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Louis,
>
> >Does anyone know if it is possible to get an absolute value ATR?
>
> The Abs() function serves that purpose but I think you mean
something
> else.
>
> ATR is a measure of volatility and it is specific for each stock (or
> instrument). The whole idea of it (AFAIK) is to use it on an
> individual
> stock basis.
>
> It can be useful to compare volatility:
>
> 1) internally e.g. against an average of the last (x) days OR
against
> the StDev (standard deviation) of the volatility measure OR just use
> StDev of the Close etc on its own.
>
> StDev() function does allow to change the setting between 1 or 2 etc
>
> 2) externally to the volatility of the market OR a sector that the
> stock is a member of OR compared to another stock in the same sector
> etc.
>
> brian_z
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@> wrote:
> >
> > you could try a percentage type
> >
> > ATR(10)/ref(c,-1)*100
> >
> > --
> > Cheers
> > Graham Kav
> > AFL Writing Service
> > http://www.aflwriting.com
> >
> >
> > On 24/02/2008, louisprefontaine <rockprog80@> wrote:
> > > Does anyone know if it is possible to get an absolute value
ATR?
> I
> > > already use the ATR, but it changes from stock to stock,
> depending on
> > > the value of the stock. Would it be possible to get an
absolute
> value
> > > indicator, like CMF, RSI, etc.? Thanks!
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> >
>
Please note that this group is for discussion between users only.
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