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@xxxxxxxxxps.com,
"Louis Préfontaine"
<rockprog80@...> 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@...>:
> >
> > 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@xxxxxxxxxps.com
<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@xxxxxxxxxps.com
<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@xxxxxxxxxps.com
<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@xxxxxxxxxps.com
<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.
> > > > > > > >
> > > >
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> > > directly to
> > > > > > >
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> > > > > > >
>
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