A good explanation for ATR can be found on http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr , and for STD on http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:standard_deviation_v
> 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 > > 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 > > >
