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> I think I might confuse ATR and StDev. What is the utility of
> each?
Yes, I think you are confusing them a little.
I'm sorry but there is no way for any of us to avoid the humdrum of
getting out the textbooks and doing our homework.
Genius is 99% perspiration and 1% inspiration.
Mark Knopfler (Dire Staits) was a genuius rock musician - he was self
taught and couldn't read music - he was an exception.
On the other hand, Mozart, the greatest musician composer who ever
lived, was tutored in the rudiments of music by his expert father
from the time he was an infant.
Understanding is a mysterious quality.
Can we buy it?
I don't know any short cut to understanding, for the average person.
Only theory followed by practice followed by performance and then
(repetitively) back to theory again brings understanding (fortunately
at a point we somehow make a quantum leap - no one knows how that
happens).
Isn't StDev more flexible because you can modify it by
> changing it to 1, 2 or 3, etc.?
Yes, to me it is but I don't want to put you off ATR - ATR is also
good when used in the right time and place.
It is more flexible because it is portable and also because it is the
basis of volatility as used in other places in trading e.g. options
pricing.
How can I profit from each?
>
See my previous post on stops for examples on ways to use it.
Sorry but I am not a trading commentator and I don't give advice on
making profit as such - only on how to use AB and the
theory/philosophy behind trading etc (I only post educational and
resource material or enjoy friendly discussion with other traders).
> Thanks fvor the suggestion about Howard Bandy's book. Is it really
> worth that 62$ I would spend to get it? I mean: I looked at some
> extract and it looks interesting but is it only another amibroker
> tutorial or would it actually help me to build my system?
>
No one can answer this question except you.
It is a question of values - what we value is different for us all.
I like the philosophy of Carlos Castaneda (Tales of Don Juan) very
much.
He said:
"For me there is only the travelling on PATHS that have heart, on any
PATH that may have heart.
There I travel, and the only worthwhile challenge is to tranverse its
full length.....
.....and there I travel looking, looking, breathlessly".
For me Howard's book is cheap.
I always assumed he wasn't making a lot of money out of it (there's
no money in books and training because the returns, for the hours
that go into it, are a pittance).
The value is beyond money.
It is not the Holy Grail of trading, AB or system design.
Howard wouldn't say that it is either.
You have to learn your evaluation somewhere.
When I started trading I made the mistake of playing around on my own
too much (you need a balance).
I haven't been to school/college, as such, since I was 16 (40 years
ago) and I had forgotten how to 'learn hard' (in Australia we say
that I went to the 'University of Hard Knocks').
When I started 'trading' I wasted years, and a few thousand dollars,
that I could have saved by reading three good trading books
thoroughly and carefully.
At the UKB I give a short list of the 3-4 best system design and
trading books that I have read so far.
refer to "Statistics Resources for Traders".
> BTW, what is the UKB?
http://www.amibroker.org/userkb/
> p.s. I saw your answer about comparing the market but I wasn't sure
> I understood what you meant. So far I can say I am somehow
> satisfied having NYSE as the reference index since TSX and comp^
> follows it anyway, but sure it would be nice to be able to have tsx
> for canadian stocks and comp for stocks on the nasdaq.
You 'saw' my answer but you didn't understand it (to understand we
have to move it from the eyes to the forebrain and then from the
forebrain to the HEART).
It is very easy if you understand that basic example.
Then you can change the code to get anything you want (within reason
for a 'middle of the road' coder like me).
brian_z *:-)
--- In amibroker@xxxxxxxxxxxxxxx, "louisprefontaine" <rockprog80@xxx>
wrote:
>
> Hi Brian,
>
> I think I might confuse ATR and StDev. What is the utility of
> each? Isn't StDev more flexible because you can modify it by
> changing it to 1, 2 or 3, etc.? How can I profit from each?
>
> Thanks fvor the suggestion about Howard Bandy's book. Is it really
> worth that 62$ I would spend to get it? I mean: I looked at some
> extract and it looks interesting but is it only another amibroker
> tutorial or would it actually help me to build my system?
>
> BTW, what is the UKB?
>
> Thanks a lot!
>
> Louis
>
> p.s. I saw your answer about comparing the market but I wasn't sure
> I understood what you meant. So far I can say I am somehow
> satisfied having NYSE as the reference index since TSX and comp^
> follows it anyway, but sure it would be nice to be able to have tsx
> for canadian stocks and comp for stocks on the nasdaq.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
> wrote:
> >
> > Louis,
> >
> > > only thing I need to know is simply to set the STdev at 2 or 3
> (if
> > it's what
> > > I want to do) and then automatically ATR will be use that new
> StDev?
> > >
> >
> > No.
> >
> > ATR and StDev are both measures of volatility but they measure it
> in
> > different ways. Generally you would use one or the other.
> >
> > StDev has special uses.
> >
> > If you want to use them it would pay off to study them closely
> first.
> >
> >
> > > I like your idea to make two groups; one with high volatility
> and
> > one with
> > > low volatility. Would you consider it would be possible to
> adjust
> > the
> > > stop-loss differently for each group?
> >
> > You could try it e.g. the stop loss can be the close - StDev
(C,20).
> > You can vary the stop loss for one group by using a multiplier so
> the
> > stop loss could be close - StDev(C,20) * 1.5 for one group and
> close -
> > StDev(C,20) for the other.
> >
> >
> >
> > > And how do you filter the top
> > > performers?
> >
> > It depends on what you have chosen as your favourite metric for
> > evaluating systems. As I said in an earlier post I like Power
> Factor
> > (I will be explaining this at the UKB soon) but you would be
> better
> > served choosing your own.
> >
> > If you are not sure on evaluation, and use of the metrics, then
> > Howard Bandy's book is a good place to start.
> >
> > Sorry, I can't help you any further with this.
> > I have a couple of posts for the UKB I want to get finished.
> >
> > BTW did you see the answer I gave you yesterday on "Trying to
> compare
> > market and industry" ?. see message # 120270
> >
> > I hopoe that helps you a little and good luck with your trading.
> >
> > brian_z
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Hi Brian,
> > >
> > > Thanks for those explanation. I will experiment with this
> tonight
> > and
> > > tomorrow. However, I am not sure about something: are you
> saying
> > that the
> > > only thing I need to know is simply to set the STdev at 2 or 3
> (if
> > it's what
> > > I want to do) and then automatically ATR will be use that new
> StDev?
> > >
> > > I like your idea to make two groups; one with high volatility
> and
> > one with
> > > low volatility. Would you consider it would be possible to
> adjust
> > the
> > > stop-loss differently for each group? And how do you filter
the
> top
> > > performers?
> > >
> > > As always, thanks for your help!
> > >
> > > Louis
> > >
> > > 2008/2/24, brian_z111 <brian_z111@>:
> > > >
> > > > 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 <amibroker%
40yahoogroups.com>,
> > > > "brian_z111" <brian_z111@> 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 <amibroker%
> 40yahoogroups.com>,
> > 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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