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http://www.equis.com/free/taaz/avertrurang.html
else search Alta Vista.
And from a few recent + older exceptional posts :
ATR as seen from a different angle...................
----- Original Message -----
From: CRLeBeau
To: <metastock@xxxxxxxxxxxxx>
Sent: donderdag 13 juli 2000 19:42
Subject: Re: Gap risk = critical?
> << I agree, John. Would it not be more practical and in tune with the market
> to set the exit (I do not use stops) based on the ATR of the stock?
> Volitility of each issue is then factored into the trade. I know that
> Chuck Lebeau has done extensive work on ATR, as have many others. Any
> comments, Chuck?
>
> Al Taglavore
>
>
> I like to use ATR for screening for stocks that I want to watch and also for
> assistance in entries and exits. I find that it is a very valuable tool.
>
> For stock screening I calculate a 20 day or 50 day ATR and divide the ATR by
> the most recent closing price to get a percentage volatility number. For
> short term stock trading I like to see a number between 3% (.03) and 8%
> (.08). Generally the more volatile stocks will produce faster profits which
> is what I am looking for.
>
> I have a lengthy description of some of these methods and their results
> posted on a new web site at StreakingStocks.com. This new site is not really
> open for business yet but some of you may enjoy seeing a preview and maybe
> helping us Beta test it.
>
> I can't explain all I know about using ATR in one brief message but if there
> are any specific questions I would be happy to answer them on the list.
>
> Chuck LeBeau
----- Original Message -----
From: CRLeBeau
To: <metastock@xxxxxxxxxxxxx>
Sent: woensdag 21 juni 2000 22:47
Subject: Re: ranking stocks by volatility
> In a message dated 6/21/00 11:46:58 AM Pacific Daylight Time,
> waxdax writes:
>
> << could some1 tell how to filter out very volatil stocks?
> which formual to use?
>
> regards
> wax
> >>
>
> Try calculating the Average True Range for the period that concerns you and
> then express the ATR as a percentage of the price. Perhaps anything over
> about 8% would be considered too volatile (just guessing). Remember that by
> eliminating volatility you will be eliminating many opportunities for
> exceptional profits.
>
> Chuck LeBeau
> traderclub.com
Below from a previous mailing a few years ago.............
=======================================================
Average True Range - Welles Wilder (for MetaStock v6.5)
-------------------------------------------------------
Written by Ton Maas-981225-Amsterdam-the Netherlands
-------------------------------------------------------
The True range is the greatest of the following differences:
a) Today's high to today's low
b) Today's high to yesterday's close
c) Today's low to yesterday's close
The range is normally the "high - low". However, any time
the value of yesterday's close is not within the range of
today's bar, rule b) or rule c) applies.
As with most other indicators, the periodic value is summed
and smoothed to create the final indicator.
The Average True range is a 1-day Moving Average of the True range.
In Metastock(v6.5):
-Open the Indicator Builder
-Press New
-This will open the IB's Editor and display a new blanc formula layout
-In the "Name"-field type(or Copy+Paste) the name below
-In the "Formula"-field type(or Copy+Paste) the formula below
Note:
The ATR indicator is standard build-in MetaStock(v6.x) and can be used
by typing ATR("periods") as its Syntax in the Formula field.
Example: ATR(20) (=a 20-day True range average)
Mov(ATR(1),20,S) (=a 20-day Moving Average of True range average)
The pre-defined ATR-indicator is prefered over the below printed formula,
as this will require the needed calculation time.
Name:
Average True Range - Welles Wilder
Formula:
TR1:=Abs(H-L);
TR2:=Abs(Ref(C,-1)-H);
TR3:=Abs(Ref(C,-1)-L);
MX1:=Max(TR1,TR2);
MX2:=Max(TR1,TR3);
MX3:=Max(TR2,TR3);
MXTRS:=If(MX1>MX2,
If(MX1>MX3,MX1,
If(MX2>MX3,MX2,MX3)),MX2);
WATR:=Mov(MXTRS,1,S);
WATR
=======================================================
Wilder's Volatility { from www.equis.com }
rev. 01/06/97
In his book New Concepts in Technical Trading Systems, J. Welles Wilder Jr.
talks about volatility and describes his Volatility Index and Volatility
System. Both of these can be performed in MetaStockT for Windows version
6.0. This document describes how to construct both the index and the
system.
The Volatility Index (VI) is described by Wilder as:
VI Today = (13 * VI Prev + TR1) / 14 *where TR1 is today's true range.
He defines the true range as the greatest of the following:
1. The distance from today's high to today's low
2. The distance from yesterday's close to today's high, or
3. The distance from yesterday's close to today's low.
In MetaStock version 6.0 or higher you would use the Prev function and a
one period Average True Range to construct the Volatility Index. The custom
formula is written as:
VI Today = (13 * Prev + ATR(1)) / 14
=======================================================
Relative Volatility Index (RVI) { from www.equis.com }
rev. 01/06/97
The following formulas were taken from the article "The relative volatility
index," written by Dorsey, Donald, in the June 93 issue of Technical
Analysis of STOCKS & COMMODITIES.
Taken from Stocks & Commodities, V. 11:6 (253-256): The Relative Volatility
Index by Donald Dorsey
"The RVI is simply the relative strength index (RSI) with the standard
deviation over the past 10 days used in place of daily price change.
Because most indicators use price change for their calculations, we need a
confirming indicator that uses a different measurement to interpret market
strength. The RVI measures the direction of volatility on a scale of zero
to 100. Readings above 50 indicate that the volatility as measured by the
10-day standard deviation of the closing prices is more to the upside.
Readings below 50 indicate that the direction of volatility is to the
downside. The initial testing indicates that the RVI can be used wherever
you might use the RSI and in the same way, but the specific purpose of this
study is to measure the RVI's performance as a confirming indicator."
The RVI was designed to measure the direction of volatility. It calculates
price strength by measuring volatility rather than price change.
All of the following formulas are required:
@RVI Down
((PREV*13)+If(ROC(C,1,%)<0,Stdev(C,10),0))/14
@RVI Up
((PREV*13)+If(ROC(C,1,%)>0,Stdev(C,10),0))/14
@RVI
(100*Fml("@RVI Up"))/(Fml("@RVI Up")+Fml("@RVI Down"))
=======================================================
December 1997 Trader's Tip - Volatility % Indicator { from http://www.traders.com }
You can easily create the Volatility% Indicator from William Brower's article in MetaStock for Windows. First choose Indicator
Builder from the Tools menu in MetaStock. Next choose New and enter one of the following formulas:
Formula for MetaStock 6.5
Volatility%
Lookback := Input("Time Periods",1,1000,50);
HighVolatility := Input("High Volatility %",.01,100,3);
100 * Sum(100 * ATR(1)/CLOSE > HighVolatility, Lookback)/Lookback
Formula for earlier versions of MetaStock for Windows
Volatility%
100 * Sum(100 * ATR(1)/CLOSE > 3, 50)/50
Now drag the Volatility% from the Indicator QuickList and drop it on the desired chart.
Allan McNichol
Equis International
=======================================================
----- Original Message -----
From: "Wayne"
To: anthmaas
Sent: vrijdag 21 juli 2000 6:57
Subject: Re: Your ATR Comment
> Hi!
>
> Thanks for these brief explanations of indicators. I am curious about one
> in particular:
>
> Average True Range
>
> J. Welles Wilder(known from RSI etc.)'s ATR indicator is based on his
> Weighted Averaging methods and uses his True Range-indicator, eg and is the
> greatest of the following differences:
>
> 1.. Today's high to today's low
> 2.. Today's high to yesterday's close
> 3.. Today's low to yesterday's close
>
> The range is normally the "high - low". However, any time the value of
> yesterday's close is not within the range of today's bar, rule 2) or rule
> 3)
> applies. As with most other indicators, the periodic value is summed and
> smoothed to create the final indicator. Wilder uses his "Weighted
> Smoothing"
> techniques for his ATR.
>
> I believe that the ATR is supposed to be used as some sort of volatility
> indicator. However, I do not see how this is done, aside from somthing
> simple like overlaying it with a moving average (under the moving average
> is low volatility; above is high).
>
> I am wondering if there is any standard example?
>
> I made my own volatility indicator, which is the difference between the
> open and close, divided by the difference between the high and low (gives
> the percent of actual movement within the day itself), with a ten day
> moving average. When it is under this, it means that the distance between
> the open and close, divided by the full movement of the day, is lower than
> its ten-day average. It always highlights very small-range days (which I
> can get anyway just by looking).
>
> Nonetheless, I am curious about the ATR. Any comments?
>
> Regards,
>
> Wayne
>
>
>
>
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