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A good explanation for ATR can be found on
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr ,
and for STD on
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:standard_deviation_v
> 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@xxx>
>
> 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.
>
> 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.
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:
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For other support material please check also:
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