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Not a bad idea, Whit.
Both bands may be compared with the aid of a combined Keltner &
Bollinger Bands MetaStock indicator, available from:
http://www.metastocktools.com/#metastock
"Keltner Bands" link.
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, Whit <whit688@xxxx> wrote:
>
> Here is a related idea, picking up on this interesting theme.
> That is, rather than using Bollinger Bands, which are based on a
> StDev function, you can use Keltner Channels, which are based on
> ATR. For example, you can set your upper and lower K-Channel bands
> to be 2 Average True Ranges (over the past 20 bars, say) above and
> below the MA. This gives a very nice measure of volitility and is
> very helpful in assessing an impulse move out of a consolidation.
> When price penetrates the K-Channel after a consolidation, you have
> good odds of an impulse move and follow through in the direction of
> the penetration. (I'm sorry i can't give you the code for this --
> I am a Trade Station convert and just beginning to learn MS code).
>
> Whit
>
>
> Jose Silva <josesilva22@xxxx> wrote:
> Manuel, Andrew, staying away from mathematical jargon if possible,
> let's concentrate on what seems to work best on the markets.
>
> Plot and compare these two indicators below any volatile chart:
>
> ATR(1);
>
> Stdev(C,2);
>
>
> It may be a subtle difference, but I know which one I'd prefer.
>
> And introduce Standard deviation to a large price gap over say, 21
> periods [Stdev(C,21)], and the *increasing volatility* shown by Std
> Dev *after* the event, is simply wrong.
> Compare to Mov(ATR(1),21,E).
>
> Again, from *my own chart observations*, my view is that the ATR is
> probably the more natural measure of price volatility.
>
> My observations and thoughts may not be mathematically correct, but
> that is the way I view volatility in charts - not as a bunch of
> abstract numbers to be manipulated mathematically, but rather, data
> points representing mass psychology at work.
>
>
> jose '-)
> http://www.metastocktools.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Manuel Cabedo"
> <manelcabedo@xxxx> wrote:
>
>> 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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