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RE: [EquisMetaStock Group] ATR-based volatility



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Title: Message
can you tell more about your approach?
 
thanks

Dr. Torque

-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of Manuel Cabedo
Sent: Monday, May 16, 2005 2:49 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] ATR-based volatility

Hi Marco,

 

I don’t know a great deal about Philippe Caen, only the reference of John Bollinger in his book (pages 66-67). Bollinger’s ideas are interesting but I wonder if his method (or rather methods...) does actually work in the real trading world. Perhaps someone in this forum could provide a real experience.

 

Basically, I use the volatility (in fact an implementation of the standard deviation) in my own trailing stop, and it works very, very well. Much better than the ATR, I must say it.

 

Kind regards.

 

Manuel

----- Original Message -----
From: Khamsina
Sent: Monday, May 16, 2005 2:33 PM
Subject: Re: [EquisMetaStock Group] ATR-based volatility


Hi Manuel,

What do you think about Philippe Cahen's work ?

Regards,

Marco



Manuel Cabedo a écrit :

>From my own chart observations, I think that the ATR is probably the
best measure of volatility.


 

I don’t think so, Jose. Volatility is a kind of dispersion, and the best measure of dispersion is the standard deviation. It is a simple question of statistics. With standard deviation you can do quantitative assertions about the probability of breaking a channel, for instance, or being exited of an operation by a stop.

Speaking of securities, I particularly like the standard deviation of daily returns. The distribution of this quantity is not normal, of course, but you can study it on a heuristics base.

The work of Bollinger is interesting (I am the translator of his book in Spain) because he always justifies (or tries to…) his methods from a statistical point of view. If someone likes his bands, then reading his book is a must.

Once more, thank you, Jose. Your contributions to this forum are always highly valuable (including the one about ATR...).

Kind regards.

Manuel

 


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