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Title: Message
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You
can also measure the ATR in terms of percent of price which should normalize
across most securities.
Pal Anand wrote:
Really? I just calculated ATR(14) for stock
(Guess?, Inc. on NYSE)
GES. It is a $12.15 stock and the value was 0.608
and for AMZN
(Amazon.com Inc., on Nasdaq) which is a $40.13 stock and
the value
was 1.317, more than double.
Because of this, ATR
readings can be difficult to compare across a
range of securities. Even
for a single security, large price
movements, such as a decline from $50
to $10, can make long-term ATR
comparisons
problematical.
Pal: if you want to compare stocks in
terms of their volatility, just do it with ATR normalized to price. You are
right about comparing ATRs of different stocks in absolute terms; this is
meaningless. But comparing stocks on the basis of ATR/C makes much more sense.
Sorry everyone for forgetting to delete the repeated past messages of
previous posters in my last post. I noticed the size of that message was 130
Kb. I'll try to remember to repeat only the most recent message when I'm
answering.
Al Venosa
Check AmiBroker web page at:
http://www.amibroker.com/
Check
group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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