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I won't look at your code too closely.
> 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.
2% was an off the cuff example.
Move that wherever you want to achieve whatever it is you want to do
(if you can).
> However, are you sure about the idea of entering/exiting a stock
>when
> volatility gets too high?
No, I didn't say that (that is another story).
I gave one example of using volatility in trading i.e. volatility
stops (Tomasz uses an ATR example as his trailing stop in the help
manual so it synched with that).
> Wouldn't it be better simply to scan and >avoid
> high volatily stocks to reduce the drawdown possibility?
You might have one strategy for low vol stocks and another for high
or you might find volatility too hard to handle and avoid it.
The key factor, in theory, is Reward/Risk.
With volatility stops in place a higher volatility stock might have,
say twice the risk. If it has three times the Reward then it can
absorb the extra Risk (there is more to it than that but that is the
basic starting point).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> 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@xxx>:
> >
> > 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 <amibroker%40yahoogroups.com>,
> > "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 <amibroker%
40yahoogroups.com>, "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><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><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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