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Hi,
Thanks for the suggestion. I must do something wrong however because from the code I wrote
_SECTION_BEGIN("ATR");
periods = Param( "Periods", 15, 1, 200, 1 );
Plot( ATR(periods)/Ref(C,-1)*100
, _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") );
LongPer = Param("Long Period", 50, 10, 100, 5 ); /* select periods with
parameter window */
MidPer = Param("Mid Period", 20, 0, 50, 1);
ShortPer = Param("Short Period", 10, 3, 10, 1 );
LongEMA = EMA( ATR(periods)/Ref(C,-1)*100, LongPer );
MidEMA = EMA (ATR(periods)/Ref(C,-1)*100, MidPer);
ShortEMA = EMA( ATR(periods)/Ref(C,-1)*100, ShortPer );
_SECTION_END();
_SECTION_BEGIN("ema-ATR");
Plot( LongEMA, "EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(LongPer,1)+")", colorBlue,
styleLine|styleNoRescale );
Plot( MidEMA, " EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(MidPer,1)+")", colorBrown,
styleLine|styleNoRescale );
Plot( ShortEMA, " EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(ShortPer,1)+")", colorGreen,
styleLine|styleNoRescale );
_SECTION_END();
I get only results of ATR > 3-4. Only Indu.x is under 2; all the other one are over 3-4, and sometimes 6-7 and more.
However, are you sure about the idea of entering/exiting a stock when volatility gets too high? Wouldn't it be better simply to scan and avoid high volatily stocks to reduce the drawdown possibility?
Thanks,
Louis
2008/2/24, brian_z111 <brian_z111@xxxxxxxxx>:
If you want a relative measure of range then you could use ATR%, as
suggested by Graham.
High volatility stocks would be filtered by e.g. ATR% > 2 etc.
In that case your stops would be something like:
ProfitStop = Ref(C,-1) * (1 + ATR%/100);
StopLoss = Ref(C,-1) * (1 - ATR%/100);
If you want to standardise range then you could use:
StandardATR = StDev(ATR(1),Periods);
An example of a stop would then be:
ProfitStop = Ref(C,-1) + StDev(ATR(1),20);
Or maybe (for live work):
ProfitStop = Ref(C,-1) + Ref(StDev(ATR(1),20),-1);
Or something like that.
That is only one way of doing it.
You can try whatever you like, within the boundaries of your
knowledge (plus a little bit more).
brian_z *;-)
--- 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
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > >
> > >
> > >
> >
>
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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