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Jose - here's what I found on the web:
As can be seen from the formula, she uses standard deviations for the user to decide at what point to exit a position. Stops are set where there isincreasing statistical probability of reversal against the trend. This is supposedly based on the log normal shape of the curve of the range curve.The manual which describes how to operate the software is at http://www.fimi.com/Kase/k0.htm
Philosophy:
The DevStop is the closest we can come to an ideal stop level in the real world. The indicator mathematics accounts for volatility (which is directly proportional to risk), and also for the variance of volatility (how much risk changes from bar to bar) and volatility skew (the propensity for volatility to spike higher from time to time).
Specifically, the DevStop places exit points at 1, 2 and 3 standard deviations over the mean two bar true range, corrected for skew. So we can take profit or cut losses at levels at which the probability of a trade remaining profitable is low, without taking more of a loss or cutting profits any sooner than necessary.
Interpretation:
The stop consists of four exit points, a Warning line and Dev 1, 2 and 3. Two closes against the warning count as Dev 1.
Source / From:TOP
http://purebytes.com/archives/metastock/ http://www.guppytraders.com
Here's what I think a DEVSTOP is in MetaStock language,described in Kase's "Trading with the Odds", calculates an average range and SD of the range,and then draws 4 lines below the high, at 1 range and 0,1,2, and 3 SD's. "2.2"and "3.6"are corrections for skew of the distribution.
Kase DevStop I
AVTR:=Mov(HHV(H,2) - LLV(L,2),20, S);
SD:=Stdev(HHV(H,2) - LLV(L,2),20);
HHV(H-AVTR-3.6*SD, 20);
HHV(H-AVTR-2.2*SD,20);
HHV(H-AVTR-SD,20);
HHV(H-AVTR,20);
I found all of the above info at: http://trader.online.pl/MSZ/e-w-Kase_DevStop.html
Shelley
----- Original Message ----
From: Jose Silva <josesilva22@xxxxxxxxx>
To: equismetastock@xxxxxxxxxxxxxxx
Sent: Monday, November 6, 2006 1:05:19 PM
Subject: [EquisMetaStock Group] Re: How to determine the stability of volatility for a long periods of time?
Shelley, post the code here and we'll see.
jose '-)
--- In equismetastock@ yahoogroups. com, Shelley Gould <sfgmail@xxx >
wrote:
>
> Jose - Doesn't Kase's devstop take into account the variance on the
> volatility?
>
> Shelley
>
>
> ----- Original Message ----
> From: Jose Silva <josesilva22@ ...>
> To: equismetastock@ yahoogroups. com
> Sent: Sunday, November 5, 2006 6:44:02 PM
> Subject: [EquisMetaStock Group] Re: How to determine the stability
> of volatility for a long periods of time?
>
> Volatility itself is volatile. ;)
>
> Forget Std Dev - it only works on well-distributed bell-like data,
> and not that well on market data.
>
> Use HHV(ATR(1),periods) , and don't expect volatility to remain
> constant over time.
>
> jose '-)
> http://www.metastoc ktools.com
>
>
>
> --- In equismetastock@ yahoogroups. com, chichungchoi <no_reply@ .>
> wrote:
>
> I would like to determine which stock is more stable and less
> volatility for a long period of time, does anyone have any idea on
> this issue?
> Stdev(C, 60) can be defined as a unit to determine the volatility
> of price movement for a specific length of periods, but how to
> determine the stability of this volatility for a long period of
> time? such as 10 years.
>
> If there are two stocks A and B,
> Stdev(C, 60) for A is more volatile then Stdev(C, 60) for B in term
> of price movement, but Stdev(C, 60) for A is more stable then
> Stdev(C, 60) for B for 10 periods of time.
>
> Does anyone know how to measure the stability of volatility?
> Should I measure Stdev(Stdev( C, 60), 2500) to determine the
> volatility for 10 years? I could be wrong on this approach, does
> anyone have any suggestion?
>
> Thank you for any suggestion
> Eric
[Non-text portions of this message have been removed]
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