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> I guess ATR, using three values where STDEV uses one per day, is a
> lot quicker to adjust.
The difference has nothing to do with reaction time.
Compare these two on a volatile chart:
Mov(ATR(1),60,E);
Stdev(C,21);
The higher the number of periods used in the Std Dev, the more
disconnected to the base price that Std Dev becomes.
MG, what is the GARCH model you like so much supposed to represent?
I see a chart with a big gap followed by a relatively flat period, and
yet this "model" shows increasing and high volatility even in the flat
period. And then, the model's volatility drops off suddenly after the
100 periods or so.
Adding complexity to a flawed application of a statistical tool
doesn't necessarily make it useful in trading. Sub optimal indeed...
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> I guess ATR, using three values where STDEV uses one per day, is a
> lot quicker to adjust.
>
> Here is a suboptimal GARCH model. The parameters (a0, a1 etc)
> should be optimised per market, but you'll get the idea and can play
> around with them if you like. It uses the first 100 values to get
> going.
> This is actually an asymmetric GARCH model called a GJR model, and
> we like it a lot. But, as it goes with fashion, there are so many
> varieties on the theme and lots of zealots for each variety.
>
> {Sample GARCH model}
> {MG Ferreira}
> {http://www.ferra4models.com}
> {For personal use only}
> DRet:=C/Ref(C,-1)-1;
> SqrRet:=DRet*DRet;
> a0:=Stdev(SqrRet,100);
> a1:=0.8;
> a2:=0.1;
> a3:=0.1;
> ht:=a0+a1*PREV+a2*Ref(SqrRet,-1)+a3*(Ref(DRet,-1)>0)*Ref(SqrRet,-1);
> Sqrt(ht*250);
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xx
..>
> wrote:
>
> MG, both of your StdDev solutions still suffer from the same
> delayed/increasing volatility plot problem, which becomes evident
> on large volatility (price gaps).
>
> jose '-)
> http://www.metastocktools.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
> wrote:
> OK, I haven't done this test, not participated in this debate, but
> to get a *real* feel for the statistical standard deviation, you
> should calculate it in the percentage change in the close, something
> like
>
> Stdev(C/Ref(C,-1)-1,30);
>
> You probably need to also annualise this, something like
>
> Stdev(C/Ref(C,-1)-1,30) * Sqrt(250);
>
> using a 250 day year. Note that I use 30 days. To get the standard
> deviation to have any validity (or most other indicators for that
> matter) you should use 30 or more days. There is a (deep)
> theoretical reason for this - I think you can maybe take this number
> down to 20 but do so at your own risk.
>
> I also *think* that to do any sensible comparison, you have to use
> the same number of periods for both. Now, the ATR uses H, L and C,
> so *maybe* you can use 10 for the ATR when you use 30 for STDEV, but
> maybe not.
>
> Anyhow, looking forward to comments on how this one compares to the
> ATR.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xx
> ..> 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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