'No Free Lunch on WallStreet', Louis. So your idea 'Wouldn't it be better simply to scan and avoid high volatily stocks to reduce the drawdown possibility? ' will indeed give you stocks with less risk ... but also a lower return ...
Regards, Ton. ----- Original Message ----- From: Louis Préfontaine To: [email protected] Sent: Tuesday, February 26, 2008 12:30 AM Subject: Re: [amibroker] Re: Absolute value ATR? Hi, Thanks for the suggestion. I must do something wrong however because from the code I wrote _SECTION_BEGIN("ATR"); periods = Param( "Periods", 15, 1, 200, 1 ); Plot( ATR(periods)/Ref(C,-1)*100 , _DEFAULT_NAME(), ParamColor( "Color", colorCycle ), ParamStyle("Style") ); LongPer = Param("Long Period", 50, 10, 100, 5 ); /* select periods with parameter window */ MidPer = Param("Mid Period", 20, 0, 50, 1); ShortPer = Param("Short Period", 10, 3, 10, 1 ); LongEMA = EMA( ATR(periods)/Ref(C,-1)*100, LongPer ); MidEMA = EMA (ATR(periods)/Ref(C,-1)*100, MidPer); ShortEMA = EMA( ATR(periods)/Ref(C,-1)*100, ShortPer ); _SECTION_END(); _SECTION_BEGIN("ema-ATR"); Plot( LongEMA, "EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(LongPer,1)+")", colorBlue, styleLine|styleNoRescale ); Plot( MidEMA, " EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(MidPer,1)+")", colorBrown, styleLine|styleNoRescale ); Plot( ShortEMA, " EMA(ATR(periods)/Ref(C,-1)*100, "+WriteVal(ShortPer,1)+")", colorGreen, styleLine|styleNoRescale ); _SECTION_END(); I get only results of ATR > 3-4. Only Indu.x is under 2; all the other one are over 3-4, and sometimes 6-7 and more. However, are you sure about the idea of entering/exiting a stock when volatility gets too high? Wouldn't it be better simply to scan and avoid high volatily stocks to reduce the drawdown possibility? Thanks, Louis 2008/2/24, brian_z111 <[EMAIL PROTECTED]>: If you want a relative measure of range then you could use ATR%, as suggested by Graham. High volatility stocks would be filtered by e.g. ATR% > 2 etc. In that case your stops would be something like: ProfitStop = Ref(C,-1) * (1 + ATR%/100); StopLoss = Ref(C,-1) * (1 - ATR%/100); If you want to standardise range then you could use: StandardATR = StDev(ATR(1),Periods); An example of a stop would then be: ProfitStop = Ref(C,-1) + StDev(ATR(1),20); Or maybe (for live work): ProfitStop = Ref(C,-1) + Ref(StDev(ATR(1),20),-1); Or something like that. That is only one way of doing it. You can try whatever you like, within the boundaries of your knowledge (plus a little bit more). brian_z *;-) --- 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 > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
