Hi Brian, I think I might confuse ATR and StDev. What is the utility of each? Isn't StDev more flexible because you can modify it by changing it to 1, 2 or 3, etc.? How can I profit from each?
Thanks fvor the suggestion about Howard Bandy's book. Is it really worth that 62$ I would spend to get it? I mean: I looked at some extract and it looks interesting but is it only another amibroker tutorial or would it actually help me to build my system? BTW, what is the UKB? Thanks a lot! Louis p.s. I saw your answer about comparing the market but I wasn't sure I understood what you meant. So far I can say I am somehow satisfied having NYSE as the reference index since TSX and comp^ follows it anyway, but sure it would be nice to be able to have tsx for canadian stocks and comp for stocks on the nasdaq. --- In [email protected], "brian_z111" <[EMAIL PROTECTED]> wrote: > > Louis, > > > 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? > > > > No. > > ATR and StDev are both measures of volatility but they measure it in > different ways. Generally you would use one or the other. > > StDev has special uses. > > If you want to use them it would pay off to study them closely first. > > > > 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? > > You could try it e.g. the stop loss can be the close - StDev(C,20). > You can vary the stop loss for one group by using a multiplier so the > stop loss could be close - StDev(C,20) * 1.5 for one group and close - > StDev(C,20) for the other. > > > > > And how do you filter the top > > performers? > > It depends on what you have chosen as your favourite metric for > evaluating systems. As I said in an earlier post I like Power Factor > (I will be explaining this at the UKB soon) but you would be better > served choosing your own. > > If you are not sure on evaluation, and use of the metrics, then > Howard Bandy's book is a good place to start. > > Sorry, I can't help you any further with this. > I have a couple of posts for the UKB I want to get finished. > > BTW did you see the answer I gave you yesterday on "Trying to compare > market and industry" ?. see message # 120270 > > I hopoe that helps you a little and good luck with your trading. > > brian_z > > > --- In [email protected], "Louis Préfontaine" > <rockprog80@> wrote: > > > > 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 <brian_z111@>: > > > > > > 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" <brian_z111@> 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 > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
