Al I
use it within explorations, so
averaging over a range of stocks each time would consume too much time
for all
explorations.
To
help understand what my ATR study
produces here are a couple of charts of similar prices. The trend chart
is
upper price chart and ATR is below.
ATR
chart – Red lines are
upper and lower range (~80% of values), Blue is mean line, Black solid
is actual
ATR and grey is long term MA of ATR
I have
not yet tried sorting between
rises and falls, but I could try that after also producing a fairly
accurate
means of trend direction. As far as sudden moves due to announcements
etc
nothing is very useful for predicting future moves, but the more
constructive indications
you can have the better you are able to control your trading.
-----Original
Message-----
From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday,
December 14, 2004
9:23 AM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: Re:
[amibroker] Re:
PositionSize / Capital
Graham
wrote:
Al
I
originally did the study for finding stocks with low or high volatility
compared to a norm. It progressed as after plotting the C v ATR I
noticed that
there was a common pattern over a wide range of stocks. I now have a
defined
measure of whether a stock is trading with high or low volatility
relative to
its peers.
But
Graham, as I wrote in
answer to Pal's message, if all you want to do is compare the
volatility of a
stock with its peers, you can do that very quickly by exploring on
100*ATR()/C
and sorting the result in descending order. Have you found your
relationship
applies at all times, bullish, bearish, and sideways regardless of
market
forces, economic conditions, earnings reports, announcements, etc.?
Al V.
Check AmiBroker web page
at:
http://www.amibroker.com/
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Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
