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Louis,
Have you seen Tomasz's code for % bands (charts >> bands >> percent
bands
P = ParamField("Price field",-1);
Periods = Param("Periods", 15, 2, 100, 1 );
Width = Param("Width%", 2, 0, 10, 0.05 );
Color = ParamColor("Color", colorCycle );
Style = ParamStyle("Style");
CenterLine = MA( P, Periods );
Plot( (1 + Width * 0.01) * CenterLine, "%EnvTop" + _PARAM_VALUES(),
Color, Style );
Plot( (1 - Width * 0.01) * CenterLine, "%EnvBot" + _PARAM_VALUES(),
Color, Style );
I think it is a fine example of bands - the same thing can be done
with StDev% - add or subtract it from a MA to form the bands.
I have used MA +_ smoothed StDev% as stops (profit and loss).
One of the hard choices is what type of smoothing/periods to use for
the bands OR should we use them in short time frames (less lag but
the stops jump around more)? - always hard decisions to make.
> StDevPercent = StDev(C,Periods)/Ref (C,-1) * 100;
Since StDev is constructed using variance from a arithmetic average I
feel StDevPercent = StDev(C,Periods)/MA (C,Periods) * 100; is
technically more correct but, IMO, it doesn't matter as long as
consistency is maintained and, more importantly,it works.
See how you get on along those lines.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Hi Brian,
>
> I kind of missed your reply, and got on other projects.. But I'm
back at the
> Stdev problem, and here is the formula I got for Stdev:
>
> _SECTION_BEGIN("Stdev");
> SetChartOptions (0,0,Chartgrid0);
> P = ParamField("Price field",-1);
> Periods = Param("Periods", 15, 2, 200, 1 );
> StDevPercent = StDev(C,Periods)/Ref (C,-1) * 100;
> Plot( StDevpercent, _DEFAULT_NAME(), ParamColor( "Color",
colorCycle ),
> ParamStyle("Style") );
> _SECTION_END();
>
> I re-read your previous posts, and I think you may be able to help
me with
> what I am trying to do.
>
> I would like to be able to set a different profit stop (33%) and
stop-loss
> (100%) depending on the results. I don't know where to start to do
this. I
> am confident in writing simple rules like "buy = ... AND ...
or ...
> ,etc." but I think I may need to do something more complex to do
what I
> need to do with this.
>
> Do you have any idea?
>
> Thanks,
>
> Louis
>
> 2008/2/26, brian_z111 <brian_z111@xxx>:
> >
> > 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 <amibroker%
40yahoogroups.com>, "LouisPréfontaine"
> > <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>,
> > > > "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
> > > > > > > > > >
> > > > > > > > > > For NEW RELEASE ANNOUNCEMENTS and other news
always
> > check
> > > > > > > DEVLOG:
> > > > > > > > > > http://www.amibroker.com/devlog/
> > > > > > > > > >
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> > > > > > > > > > http://www.amibroker.com/support.html
> > > > > > > > > >
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> >
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> >
>
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