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dear,
you said aronson is very good at sytem design. can you be more spacific about aronson.
web address or book name or full name of author ?
asit.
> To: amibroker@xxxxxxxxxxxxxxx
> From: brian_z111@xxxxxxxxx
> Date: Tue, 26 Feb 2008 05:47:19 +0000
> Subject: [amibroker] Re: Absolute value ATR?
>
> Re Bandy versus Aronson.
>
> They are doing different things.
>
> Howard is an AmiBroker teacher - everything is transcribed into the
> AFL idiom. AB is huge - the unofficial training manual is thousands
> of pages already and still growing. Howard couldn't fit it all in one
> book. He probably can't even fit it all into three books.
>
> Aronson is 100% pure system design and evaluation, but not in AFL.
> I rate him very highly.
> A fine mind, simplified explanations and entertaining to boot.
>
> No single book does it for me.
>
> I am always left wanting more.
>
> I get bits and pieces from different sources.
>
> I will be adding some more to that list and including reviews later
> on.
> There are some more good authors around.
> Ralph Vince is another one who should be there.
>
> Don't underestimate our resident specialists, who can also take years
> off the learning curve. (Graham - code, Herman - AutoTrading, Fred -
> Optimization).
>
> There is also Thomas - pattern recognition, Bill Barack - training
> and Bill Seward - trading mentor.
> I haven't sampled their work yet but I would like to one day when I
> get a chance.
>
> FWIW I will also be giving away a lot of my original work at the UKB.
> The only thing is I am a very slow writer - it takes me quite a while
> to write some of those posts - so it is only coming out a little bit
> at a time (it is just the way I work, with the early drafts being
> thrown out followed by successive research, checking references,
> cutting and pruning etc).
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
> <rockprog80@xxx> wrote:
> >
> > Hi Brian,
> >
> > Ok thanks. I ordered his book today... I hope it will help me and
> if I
> > like it I will order his next book as well.
> >
> > Louis
> >
> > p.s. Is the Aronson's book as good?
> >
> >
> > 2008/2/25, brian_z111 <brian_z111@xxx>:
> > >
> > > Howard's book has a chapter on issue selection (filtering by
> > > liquidity). The concepts are the same so it should help in that
> > > regard.
> > >
> > > The main function of this forum is to help learn and apply
> AmiBroker
> > > so most of the time you will get an answer if you have a
> > > specific "how to do such and such in AB".
> > >
> > > I can't show you how to do volatility bands at the moment.
> > > Maybe another day or I will post on it at the UKB (I found it
> useful
> > > for benchmarking signals - Howard also gives a method for
> > > benchmarking signals in his book).
> > >
> > > He is writing another AB training book that will be out soon.
> > >
> > > He has talked about a third book.
> > > Those of us who have been around awhile are waiting for that one.
> > >
> > > brian_z
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com>, "Louis
> > > Préfontaine"
> > > <rockprog80@> wrote:
> > > >
> > > > Hi again Brian,
> > > >
> > > > I think I understand what you mean. Do you think that reading
> > > Howard's book
> > > > will help me splitting the stocks betweeen high volatility and
> low
> > > > volatility and then be able to work with that? I sure would like
> > > to get a
> > > > different stop-loss % for each of those groups.
> > > >
> > > > I tried to make groups but ran into some problems. I
> experimented
> > > with
> > > > "setoption" to build a custom backtesting procedure but I just
> > > can't filter
> > > > groups/industry/index so I don't have every stocks in the
> > > backtesting (it
> > > > isn't useful to get NYSE trin as a buy/sell signal...).
> > > >
> > > > I tried
> > > >
> > > > Filter=0;
> > > > Filter = IndustryID(0) == 254;
> > > >
> > > >
> > > > (I want to exclude the Industry number 254 (that is, the one
> before
> > > the last
> > > > one in the group) from the scan... I think I really get this
> > > wrong... Will
> > > > Howard's book help me with this kind of issues?)
> > > >
> > > > I had a look to the UKB to the books you recommanded. I might
> buy
> > > the first
> > > > one on the list as well. I really need to catch up very fast! ;-
> )
> > > >
> > > > Louis
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > 2008/2/25, brian_z111 <brian_z111@>:
> > > > >
> > > > > 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 <amibroker%
> 40yahoogroups.com><amibroker%
> > > 40yahoogroups.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@xxxxxxxxxxxxxxx <amibroker%
> 40yahoogroups.com><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><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><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><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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> > > > > > > > >
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> > > > > > >
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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
> 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
>
> <*> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> <*> Your email settings:
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>
> <*> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
>
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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
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
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