Hi Brian, Thanks for your last message. Somehow, it inspired me. I still don't understand if I should use ATR or StDev and what is the difference between them, but I feel confident I can learn how to write better codes in the future. Tell me, what is your experience with programming in AFL and did you start from scratch?
As for me, I always achieve what I want to achieve. I am 28, and I started playing chess seriously at 21, and I wanted to be an expert. At age 25 I was expert. And now I want to build a nice working code and even if I knew nothing about coding one month ago I feel confident I will be able to do it before I turn 30. But you are right, this is a lot of work! I will buy Howard Bandy's book and I hope I will be able to build something good. But I have no background in programming; do you think it is possible with a lot of hard work to achieve something profitable? Did you build a system that is working for yourself? Thanks, Louis 2008/2/24, brian_z111 <[EMAIL PROTECTED]>: > > > I think I might confuse ATR and StDev. What is the utility of > > each? > > Yes, I think you are confusing them a little. > > I'm sorry but there is no way for any of us to avoid the humdrum of > getting out the textbooks and doing our homework. > > Genius is 99% perspiration and 1% inspiration. > > Mark Knopfler (Dire Staits) was a genuius rock musician - he was self > taught and couldn't read music - he was an exception. > > On the other hand, Mozart, the greatest musician composer who ever > lived, was tutored in the rudiments of music by his expert father > from the time he was an infant. > > Understanding is a mysterious quality. > > Can we buy it? > > I don't know any short cut to understanding, for the average person. > Only theory followed by practice followed by performance and then > (repetitively) back to theory again brings understanding (fortunately > at a point we somehow make a quantum leap - no one knows how that > happens). > > Isn't StDev more flexible because you can modify it by > > changing it to 1, 2 or 3, etc.? > > Yes, to me it is but I don't want to put you off ATR - ATR is also > good when used in the right time and place. > > It is more flexible because it is portable and also because it is the > basis of volatility as used in other places in trading e.g. options > pricing. > > How can I profit from each? > > > See my previous post on stops for examples on ways to use it. > > Sorry but I am not a trading commentator and I don't give advice on > making profit as such - only on how to use AB and the > theory/philosophy behind trading etc (I only post educational and > resource material or enjoy friendly discussion with other traders). > > > 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? > > > > No one can answer this question except you. > It is a question of values - what we value is different for us all. > > I like the philosophy of Carlos Castaneda (Tales of Don Juan) very > much. > > He said: > > "For me there is only the travelling on PATHS that have heart, on any > PATH that may have heart. > > There I travel, and the only worthwhile challenge is to tranverse its > full length..... > > .....and there I travel looking, looking, breathlessly". > > For me Howard's book is cheap. > > I always assumed he wasn't making a lot of money out of it (there's > no money in books and training because the returns, for the hours > that go into it, are a pittance). > > The value is beyond money. > > It is not the Holy Grail of trading, AB or system design. > Howard wouldn't say that it is either. > > You have to learn your evaluation somewhere. > > When I started trading I made the mistake of playing around on my own > too much (you need a balance). > > I haven't been to school/college, as such, since I was 16 (40 years > ago) and I had forgotten how to 'learn hard' (in Australia we say > that I went to the 'University of Hard Knocks'). > > When I started 'trading' I wasted years, and a few thousand dollars, > that I could have saved by reading three good trading books > thoroughly and carefully. > > At the UKB I give a short list of the 3-4 best system design and > trading books that I have read so far. > > refer to "Statistics Resources for Traders". > > > BTW, what is the UKB? > > http://www.amibroker.org/userkb/ > > > 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. > > You 'saw' my answer but you didn't understand it (to understand we > have to move it from the eyes to the forebrain and then from the > forebrain to the HEART). > > It is very easy if you understand that basic example. > > Then you can change the code to get anything you want (within reason > for a 'middle of the road' coder like me). > > brian_z *:-) > > --- In [email protected] <amibroker%40yahoogroups.com>, > "louisprefontaine" <[EMAIL PROTECTED]> > wrote: > > > > > 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] <amibroker%40yahoogroups.com>, > "brian_z111" <brian_z111@> > > 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] <amibroker%40yahoogroups.com>, "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><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><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 > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
