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[amibroker] Re: Absolute value ATR?



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Louis,

> Thanks for the suggestion.  I must do something wrong however 
>because from
> the code I wrote
> 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.

I tried your code and didn't see any problems.
For the Dow constituents most are around 1.25 - 2% for ATR(15) in the 
period I looked at.

Are you sure you didn't have Weekly selected instead of Daily?

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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