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 <[EMAIL PROTECTED]>: > > 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 [email protected] <amibroker%40yahoogroups.com>, > "brian_z111" <[EMAIL PROTECTED]> 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 [email protected] <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/ > > > > > > > > For other support material please check also: > > > > http://www.amibroker.com/support.html > > > > > > > > Yahoo! Groups Links > > > > > > > > > > > > > > > > > > > > > > > >
