Hi Brian, Ok thanks. I ordered his book today... I hope it will help me and if I like it I will order his next book as well.
Louis p.s. Is the Aronson's book as good? 2008/2/25, brian_z111 <[EMAIL PROTECTED]>: > > Howard's book has a chapter on issue selection (filtering by > liquidity). The concepts are the same so it should help in that > regard. > > The main function of this forum is to help learn and apply AmiBroker > so most of the time you will get an answer if you have a > specific "how to do such and such in AB". > > I can't show you how to do volatility bands at the moment. > Maybe another day or I will post on it at the UKB (I found it useful > for benchmarking signals - Howard also gives a method for > benchmarking signals in his book). > > He is writing another AB training book that will be out soon. > > He has talked about a third book. > Those of us who have been around awhile are waiting for that one. > > brian_z > > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>, "Louis > Préfontaine" > <[EMAIL PROTECTED]> wrote: > > > > Hi again Brian, > > > > I think I understand what you mean. Do you think that reading > Howard's book > > will help me splitting the stocks betweeen high volatility and low > > volatility and then be able to work with that? I sure would like > to get a > > different stop-loss % for each of those groups. > > > > I tried to make groups but ran into some problems. I experimented > with > > "setoption" to build a custom backtesting procedure but I just > can't filter > > groups/industry/index so I don't have every stocks in the > backtesting (it > > isn't useful to get NYSE trin as a buy/sell signal...). > > > > I tried > > > > Filter=0; > > Filter = IndustryID(0) == 254; > > > > > > (I want to exclude the Industry number 254 (that is, the one before > the last > > one in the group) from the scan... I think I really get this > wrong... Will > > Howard's book help me with this kind of issues?) > > > > I had a look to the UKB to the books you recommanded. I might buy > the first > > one on the list as well. I really need to catch up very fast! ;-) > > > > Louis > > > > > > > > > > > > 2008/2/25, brian_z111 <[EMAIL PROTECTED]>: > > > > > > I won't look at your code too closely. > > > > > > > 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. > > > > > > 2% was an off the cuff example. > > > Move that wherever you want to achieve whatever it is you want to > do > > > (if you can). > > > > > > > However, are you sure about the idea of entering/exiting a stock > > > >when > > > > volatility gets too high? > > > > > > No, I didn't say that (that is another story). > > > > > > I gave one example of using volatility in trading i.e. volatility > > > stops (Tomasz uses an ATR example as his trailing stop in the help > > > manual so it synched with that). > > > > > > > Wouldn't it be better simply to scan and >avoid > > > > high volatily stocks to reduce the drawdown possibility? > > > > > > You might have one strategy for low vol stocks and another for > high > > > or you might find volatility too hard to handle and avoid it. > > > > > > The key factor, in theory, is Reward/Risk. > > > With volatility stops in place a higher volatility stock might > have, > > > say twice the risk. If it has three times the Reward then it can > > > absorb the extra Risk (there is more to it than that but that is > the > > > basic starting point). > > > > > > brian_z > > > > > > --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com>, "Louis > > > Préfontaine" > > > <rockprog80@> wrote: > > > > > > > > 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 <brian_z111@>: > > > > > > > > > > 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 amibroker@yahoogroups.com > > > > > <amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com><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 amibroker@yahoogroups.com > > > > > > <amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com><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 > > > > > > > > amibroker@yahoogroups.com<amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com><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 > > > > > > > > > amibroker@yahoogroups.com<amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com><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! 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