Re: [amibroker] Re: Absolute value ATR?---> and some hope for building a system, AmiBroker Email List Archive

2008/2/26, Howard B <howardbandy@xxxxxxxxx>:

Greetings all --

Not to pour too much cold water on the expectations of gain being mentioned here -- but ---

A profit of 1% per day, every trading day, grows so fast that the account balance is larger than all the real estate in the US in just a few years.

Any time someone suggests a growth of more than about 40% per year, take that with a very large grain of salt.

Thanks,
Howard

On Mon, Feb 25, 2008 at 6:24 PM, Louis Préfontaine <rockprog80@xxxxxxxxx> wrote:

Hi Brian,

I understand what you say: each has his own forces... and weaknesses. However, it seems to me that the best way to perform (or should I say outperform) in the market is to be able to be "the" man who is in charge. My goal is to be able to build a code that is working, experiment it, and making it better while experimenting with it. I want something that works.

Surely it must help to have a friend like Tomasz who can help you learn, and I sure appreciate the advices you give me. However I have the feeling I start from scratch and it will be more difficult without any "live" help. The only thing that can help me on that is that I learn very very fast and I did learn a lot of things on my own.

You talked about psychology; this is interesting because this is probably half the reason why I want a system rather than indicators which can be used with my own judgment. Too often, I can take bad decision because of a psychological bias (fear, greed, etc.) while if I had a system I would be immune from this (as long as I would have tested and retested the system long enough to have total faith in it). Again, to me this is like chess: when you site in front of the chessboard with a book you can take the best decisions; but in the middle of the action sometimes you just don't make it. This is why I want a system so badly.

I know me either that I was not born to be a programmer. My real strenght (in everything) is to get the ideas; to "make something out of something". I sure like to do some programmation but this is not the easiest part for me. But if it was the same for you I guess I could get the same results someday (assuming you get the results you wanted to get).

Thanks,

Louis

2008/2/25, brian_z111 <brian_z111@xxxxxxxxx>:

Louis,

I like your ideas very much.

When you were beaten you were beaten from within.

You only didn't become even better because you didn't believe you
could or because you didn't really want it anymore.

I think you will find a lot of chess players in this forum or amongst
programmers (I bet Tomasz plays a fair game too).

> I see trading in the same way. My girlfriend's sister husband is a
> professional trader, trading with a 35% gain per year for over 10
>years, and
> he used to play chess. However, how he trades is not possible for
>me; he is
> a day trader and I want to trade on slightly longer time frame
because I
> have other occupations and it's too much energy. This is why I am
>lookingt
> at a system.
>
> Are you serious it is possible to get 50% profit a year with such
>system?
>

30% is quite easy for people who want to, or have to, go to work, or
do something else all day, and then after tea spend a couple of hours
updating data and scanning for their trades.

Lots of people automate their data update/scan then later on pick
their stocks, or whatever, and enter a trade for the next day via
their online brokers.

I don't know the answer to your question - it is not relevant to me
as I am full time.

Theoretically I think a consistent 300-400% PA is possible - I
haven't done it yet though.

> You said you do some code but you prefer to work with programmers
>as they
> need you and you need them. Could you develop a bit on that? Do
>you mean
> that those programmers lack the intuition and talent you have to
>recognize
> profitable indicators and patterns and that you lack the ability to
>program
> as well as they do?

Know yourself!

We are not complete on our own (none of us).
How could an intuitive like me go to the shops if the engineers
didn't design and build the roads/bridges etc.

I have my function in society to perform - I know who I am and what
my role is.

I definitely wasn't born to write a computer program.

I joke that Tomasz is the head of my computing department.

At a trading level - I share trading ideas in the forum and help with
training for newcomers (two things I am good at) and in return I
learn programming/computers etc from Tomasz and the coders (they have
taken me a long way - to places I didn't think I would ever go -
maybe there is a couple of more quantum programming leaps ahead - it
is healthy for me to get pushed out of my comfort zone now and then -
they are stretching me and I am stretching them - ask Tomasz if he
thinks I don't put the stretch on him sometimes - when we have
constant exposure to things we are a little scared of our fear goes
away).

My speciality is personal transformation (in a trading environment
that is trading psychology). Occasionally, if some one is interested,
I will do some for them, right out in the open, in full public view
(only a little bit though because I don't want to abuse the tolerance
of the forum).

Subjective analysis is like the herbs in cooking - I sprinkle it in
where it is needed.

> I wonder how far I can go without having to become a
> programmer and wasting too much time on this instead of winning the
trade.

All the way if you want to.

Since my secondary psychic function is logic I like the analytical
side of rule based/objective trading.
I am quite at home there.

I went looking for AB because I needed a good computing tool to help
with my trading analysis.

A word of caution.

To master anything you have to make constant love to it - whispering
sweet nothings to each other night and day.
Every mistress I have known was always a jealous mistress.
I don't think a part time lover makes a very good lover.

Also, trading isn't the least bit important.

It is what Carlos Castenda called my "controlled folly".

brian_z

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Brian,
>
> From what I understand you look like someone who has accomplised a
lot...
> and not only in trading. As a personal piece of wisdom I really
believe in
> the virtue of establishing goals and doing whatever one has to do
to reach
> those goals. And the important thing is that the path to reach
those goals
> must be nearly as enjoyable as the goal itself.
>
> That was how it was for chess to me. As you said about
programming, a big
> puzzle. I had so much fun looking at all those games, learning
every move
> and every variation of a particular opening up to the 16th move, or
learning
> all the possibilities of an Endgame, etc. I really like to play
with
> concepts and to adapt them to create something new. Somehow, I
always
> played chess like it was an art; an art of perfection where the
mind created
> something that didn't exist before. This is how I got a draw at
my second
> tournament game at 21 against an expert, and this is how I defeated
several
> masters and won some tournaments. I always tried to surprise
myself and get
> that "ahah!" that made the game look beautiful to me. I think I
enjoyed the
> aesthetic of the game.
>
> I see trading in the same way. My girlfriend's sister husband is a
> professional trader, trading with a 35% gain per year for over 10
years, and
> he used to play chess. However, how he trades is not possible for
me; he is
> a day trader and I want to trade on slightly longer time frame
because I
> have other occupations and it's too much energy. This is why I am
lookingt
> at a system.
>
> Are you serious it is possible to get 50% profit a year with such
system?
>
> You are right about the possibility of been too focused on the code
itself
> to forget the trading activity. I compare this again to ches when
I lost
> some games because I didn't want to give the fatal blow because I
was so
> amazed that my opponent had nothing to play because my position was
so
> strong... Or some games I lost because I wanted so hard to punish
my
> opponent for getting out of theory, etc. Sometimes I forgot that
the goal
> was to win the game.
>
> You said you do some code but you prefer to work with programmers
as they
> need you and you need them. Could you develop a bit on that? Do
you mean
> that those programmers lack the intuition and talent you have to
recognize
> profitable indicators and patterns and that you lack the ability to
program
> as well as they do?
>
> What I really would like to do, for me, is to build a system that
would
> allow me to simply scan and buy/sell/short/cover when I have to,
and that's
> it. On a daily basis and maybe later on a hourly basis. But it
seems like
> a long way and I wonder how far I can go without having to become a
> programmer and wasting too much time on this instead of winning the
trade.
>
> Thanks,
>
> Louis
>
> 2008/2/25, brian_z111 <brian_z111@xxx>:

> >
> > Louis,
> >
> > I guessed you were special - that is why I took some extra time to
> > help you.
> >
> > You have a lot of good qualities that will hold you in good steed,
> > anywhere. I tried to help you focus on your weaker spots (I find
that
> > we can make faster gains by improving our weaknesses, since our
good
> > points are already close to maximized).
> >
> > When you play a lot of chess like that one aspect of your mind
> > becomes highly developed at the expense of other parts (intense
> > academic study also does that).
> >
> > The other side of life is also nice (art, music, daydreaming, al
> > fresco dining, a glass of wine etc).
> >
> > >I still don't
> > > understand if I should use ATR or StDev and what is the
difference
> > >between
> > > them,
> >
> > Don't worry.
> > That is normal.
> >
> > My teacher taught me that an apple doesn't ripen overnight.
> >
> > Patience is a virtue.
> >
> > Sometimes I just leave it a while and move on - later I go back
to it
> > or it suddenly starts to click all by itself.
> >
> > The stockchart site at the end of Thomas Ludwigs post is a very
good
> > free site for indicator definitions - it has survived for quite a
> > while also.
> >
> > Standard Deviation, and the bell curve, are intrinsic to trading
> > evaluation, although lots of successful traders don't know the
first
> > thing about it. It is quite difficult to understand without
pictures
> > and a good deal of contemplation over time.
> >
> > This won't mean anything to you now but in the shortest possible
> > terms:
> >
> > StDev and ATR are similar - they measure the movement in the
stock -
> > the main difference is that StDev tells us how SIGNIFICANT the
> > movement is (significance is an important concept that you will
come
> > across later).
> >
> > > Tell me, what is your experience with programming in AFL and did
> > > you start from scratch?
> >
> > Yes, I started from scratch.
> >
> > I virtually had no programming experience before buying AB approx
two
> > years ago.
> >
> > I had a good laymans knowledge of Excel, and Excel functions, and
> > that helped me a lot (AmiBroker is array programming and
> > arrays 'look' just like a row in Excel).
> >
> > The example, on automating relative performance plots, that I gave
> > you is simple enough. The top programmers can go a lot further
than
> > that. After the simple methods I use run out they can go on and
> > virtually automate anything they care to (assuming it is worth the
> > effort).
> >
> > You don't have to be a programmer, as such, to be a good trader.
> >
> > > As for me, I always achieve what I want to achieve. I am 28,
and I
> > >started
> > > playing chess seriously at 21, and I wanted to be an expert. At
> > >age 25 I
> > > was expert. And now I want to build a nice working code and even
> > >if I knew
> > > nothing about coding one month ago I feel confident I will be
able
> > >to do it
> > > before I turn 30. But you are right, this is a lot of work!
> > >
> >
> > Trading is a huge field.
> > No one can conquer it all.
> > As time goes on you start to specialize.
> > I am now becoming an expert (I know more and more about less and
> > less).
> >
> > I do set ambitious goals but I never put a time frame on achieving
> > them (I like to let the subjective mind decide what path to take
and
> > when to take it. I also allow the subjective mind to suggest new
> > goals, or adjustments to my conscious objectives. I have trained
> > myself to trust my intuition because it always pays off).
> >
> > Yes, the capacity to achieve goals and chess playing are a near
> > perfect background for a top trader (trading is a game and it is
all
> > about strategies).
> >
> > You should make an excellent programmer - look at the AFL
Reference
> > manual - it is a kind of cryptic puzzle and the function
definitions
> > are the clues - it is good fun and a challenge - you appear to
have
> > the right wiring for the job.
> >
> > Programming is like a puzzle - youi know the start and the end but
> > you have to put all of the pieces in place to create the picture.
> >
> > I am actually not the ideal type for programming.
> > My primary psychic function is intuition, with logic as my
secondary
> > function, so I tend to 'guess' the answer first and prove it
later.
> >
> > I can still program enough to get by.
> >
> > I actually deliberately don't go all the way.
> > That is the coders turf.
> > I need them, and they need me, so I don't need to try to be what
I am
> > not.
> >
> > > But I have no background in programming; do you think it is
> > >possible with a
> > > lot of hard work to achieve something profitable? Did you build
a
> > >system
> > > that is working for yourself?
> >
> > Yes, it is.
> >
> > Like anything, a lot of people try but only a few become
brilliant at
> > it.
> > There is no guarantee for anyone.
> > A lot of people who think they should be good at it aren't.
> >
> > My personal opinion is that anyone, with average intelligence, who
> > perseveres WITH SELF HONESTY will succeed - traders in the forum
in
> > the past have said that >50% PA is the norm for them.
> >
> > Certainly 20-30%PA is easily attainable.
> >
> > IMO there is a catch to trading - it seems so hard but actually
it is
> > quite easy once you can do it. It is so simple that people can't
> > believe that is possible and keep looking for the hard solutions.
> >
> > When I first started I used Profit Factor as an easy catch all
> > measurement of a systems value. I read books by traders who said
that
> > they won't trade any system with less than PF 2-3.
> > I couldn't believe this - I thought it was a lie because no matter
> > how hard I tried I couldn't get above 1.6.
> >
> > It took me 3-4 years to start to find PF 3+ trades.
> >
> > Yes, I have systems that work for me.
> >
> > I think you have to be careful though because AmiBroker is a
> > seductive place - it can quickly start to turn you into a
> > programmer/developer rather than a trader.
> >
> > Academics are obsessed with being published in a journal.
> > Mathmeticians are obsessed with solving equations.
> > Programmers are obsessed with writing code.
> > Brokers are obsessed with selling.
> > Investment professionals are obsessed with their careers.
> >
> > Traders are obsessed with winning the game.
> >
> > If you really want to be a programmer/developer fine - it would
make
> > a great career and it would be a lot of fun.
> >
> > One tip for you:
> >
> > The rules of the game aren't what'they' (non-traders) say they are
> > (99% of them are just myths).
> >
> > The real rules of the game are unwritten secrets that you have to
> > find out for yourself (like the Matrix - "How deep does the rabbit
> > hole go?)
> >
> > A trader is a person who makes their living by buying and selling.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Hi Brian,
> > >
> > > Thanks for your last message. Somehow, it inspired me. I still
> > don't
> > > understand if I should use ATR or StDev and what is the
difference
> > between
> > > them, but I feel confident I can learn how to write better
codes in
> > the
> > > future. Tell me, what is your experience with programming in AFL
> > and did
> > > you start from scratch?
> > >
> > > As for me, I always achieve what I want to achieve. I am 28,
and I
> > started
> > > playing chess seriously at 21, and I wanted to be an expert. At
> > age 25 I
> > > was expert. And now I want to build a nice working code and even
> > if I knew
> > > nothing about coding one month ago I feel confident I will be
able
> > to do it
> > > before I turn 30. But you are right, this is a lot of work!
> > >
> > > I will buy Howard Bandy's book and I hope I will be able to
build
> > something
> > > good.
> > >
> > > But I have no background in programming; do you think it is
> > possible with a
> > > lot of hard work to achieve something profitable? Did you build
a
> > system
> > > that is working for yourself?
> > >
> > > Thanks,
> > >
> > >
> > > Louis
> > >
> > >
> > >
> > >
> > >
> > > 2008/2/24, brian_z111 <brian_z111@>:
> > > >
> > > > > I think I might confuse ATR and StDev. What is the utility
of
> > > > > each?
> > > >
> > > > Yes, I think you are confusing them a little.
> > > >
> > > > I'm sorry but there is no way for any of us to avoid the
humdrum
> > of
> > > > getting out the textbooks and doing our homework.
> > > >
> > > > Genius is 99% perspiration and 1% inspiration.
> > > >
> > > > Mark Knopfler (Dire Staits) was a genuius rock musician - he
was
> > self
> > > > taught and couldn't read music - he was an exception.
> > > >
> > > > On the other hand, Mozart, the greatest musician composer who
ever
> > > > lived, was tutored in the rudiments of music by his expert
father
> > > > from the time he was an infant.
> > > >
> > > > Understanding is a mysterious quality.
> > > >
> > > > Can we buy it?
> > > >
> > > > I don't know any short cut to understanding, for the average
> > person.
> > > > Only theory followed by practice followed by performance and
then
> > > > (repetitively) back to theory again brings understanding
> > (fortunately
> > > > at a point we somehow make a quantum leap - no one knows how
that
> > > > happens).
> > > >
> > > > Isn't StDev more flexible because you can modify it by
> > > > > changing it to 1, 2 or 3, etc.?
> > > >
> > > > Yes, to me it is but I don't want to put you off ATR - ATR is
also
> > > > good when used in the right time and place.
> > > >
> > > > It is more flexible because it is portable and also because
it is
> > the
> > > > basis of volatility as used in other places in trading e.g.
> > options
> > > > pricing.
> > > >
> > > > How can I profit from each?
> > > > >
> > > > See my previous post on stops for examples on ways to use it.
> > > >
> > > > Sorry but I am not a trading commentator and I don't give
advice
> > on
> > > > making profit as such - only on how to use AB and the
> > > > theory/philosophy behind trading etc (I only post educational
and
> > > > resource material or enjoy friendly discussion with other
> > traders).
> > > >
> > > > > 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?
> > > > >
> > > >
> > > > No one can answer this question except you.
> > > > It is a question of values - what we value is different for us
> > all.
> > > >
> > > > I like the philosophy of Carlos Castaneda (Tales of Don Juan)
very
> > > > much.
> > > >
> > > > He said:
> > > >
> > > > "For me there is only the travelling on PATHS that have
heart, on
> > any
> > > > PATH that may have heart.
> > > >
> > > > There I travel, and the only worthwhile challenge is to
tranverse
> > its
> > > > full length.....
> > > >
> > > > .....and there I travel looking, looking, breathlessly".
> > > >
> > > > For me Howard's book is cheap.
> > > >
> > > > I always assumed he wasn't making a lot of money out of it
> > (there's
> > > > no money in books and training because the returns, for the
hours
> > > > that go into it, are a pittance).
> > > >
> > > > The value is beyond money.
> > > >
> > > > It is not the Holy Grail of trading, AB or system design.
> > > > Howard wouldn't say that it is either.
> > > >
> > > > You have to learn your evaluation somewhere.
> > > >
> > > > When I started trading I made the mistake of playing around
on my
> > own
> > > > too much (you need a balance).
> > > >
> > > > I haven't been to school/college, as such, since I was 16 (40
> > years
> > > > ago) and I had forgotten how to 'learn hard' (in Australia we
say
> > > > that I went to the 'University of Hard Knocks').
> > > >
> > > > When I started 'trading' I wasted years, and a few thousand
> > dollars,
> > > > that I could have saved by reading three good trading books
> > > > thoroughly and carefully.
> > > >
> > > > At the UKB I give a short list of the 3-4 best system design
and
> > > > trading books that I have read so far.
> > > >
> > > > refer to "Statistics Resources for Traders".
> > > >
> > > > > BTW, what is the UKB?
> > > >
> > > > http://www.amibroker.org/userkb/
> > > >
> > > > > 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.
> > > >
> > > > You 'saw' my answer but you didn't understand it (to
understand we
> > > > have to move it from the eyes to the forebrain and then from
the
> > > > forebrain to the HEART).
> > > >
> > > > It is very easy if you understand that basic example.
> > > >
> > > > Then you can change the code to get anything you want (within
> > reason
> > > > for a 'middle of the road' coder like me).
> > > >
> > > > brian_z *:-)
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%

40yahoogroups.com><amibroker%40yahoogroups.com>,

> > > > "louisprefontaine" <rockprog80@>
> > > > wrote:
> > > >
> > > > >
> > > > > 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 <amibroker%

40yahoogroups.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@xxxxxxxxxxxxxxx <amibroker%

40yahoogroups.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@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.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@xxxxxxxxxxxxxxx<amibroker%
40yahoogroups.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.
> > > > > > > > > > >
> > > > > > > > > > > To get support from AmiBroker please send an e-
mail
> > > > > > directly to
> > > > > > > > > > > SUPPORT {at} amibroker.com
> > > > > > > > > > >
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always
> > > > check
> > > > > > > > DEVLOG:
> > > > > > > > > > > http://www.amibroker.com/devlog/
> > > > > > > > > > >
> > > > > > > > > > > For other support material please check also:
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> > > > > > > > > > >
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