Comments on: Revisiting the impact of these markets on traders and investors http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/ Information and resources for those looking to learn about trading and the markets Wed, 23 May 2012 13:10:54 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: John http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/#comment-13268 John Thu, 08 Jan 2009 14:55:51 +0000 http://www.theessentialsoftrading.com/Blog/?p=689#comment-13268 Rod - ATR looks at period ranges, not closes. As such, there it isn't a direct relationship between N-ATR and the StdDev of closing price. For example, ranges could be expanding but close may not move far from it's average. Or you could have the opposite where the close deviates widely from the average, but the period ranges are quite narrow. Rod – ATR looks at period ranges, not closes. As such, there it isn’t a direct relationship between N-ATR and the StdDev of closing price. For example, ranges could be expanding but close may not move far from it’s average. Or you could have the opposite where the close deviates widely from the average, but the period ranges are quite narrow.

]]> By: Rod http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/#comment-13267 Rod Thu, 08 Jan 2009 12:26:25 +0000 http://www.theessentialsoftrading.com/Blog/?p=689#comment-13267 Hi John, What is the mathematical relation, if any, of normalized ATR to the standard deviation of daily price changes? Hi John,

What is the mathematical relation, if any, of normalized ATR to the standard deviation of daily price changes?

]]> By: John http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/#comment-13099 John Mon, 24 Nov 2008 15:07:22 +0000 http://www.theessentialsoftrading.com/Blog/?p=689#comment-13099 Rod - ATR (the base, not the normalized version) is used by many people for the placement of stops, and in some case targets. Van Tharp discusses this sort of thing in <a href="http://www.amazon.com/exec/obidos/ASIN/007147871X/anduril-20" rel="nofollow">Trade Your Way to Financial Freedom</a>. Also, ATR was used by the famous Turtles in their position sizing, as Curtis Faith talks about in <a href="http://www.amazon.com/exec/obidos/ASIN/007148664X/anduril-20" rel="nofollow">Way of the Turtle</a>. I recommend both books. As for whether I can suggest a specific N-ATR beyond which you don't want to trade, I can't. My general point is that you should be adjusting your stops to account for the volatility in the market (not using the same old fixed ones when vol is up, for example). That, in turn, impacts your position sizing, maybe to the point where you cannot do a certain trade because the risk implied by where you'd need to put your stop would be beyond your acceptable risk level. Rod – ATR (the base, not the normalized version) is used by many people for the placement of stops, and in some case targets. Van Tharp discusses this sort of thing in Trade Your Way to Financial Freedom. Also, ATR was used by the famous Turtles in their position sizing, as Curtis Faith talks about in Way of the Turtle. I recommend both books.

As for whether I can suggest a specific N-ATR beyond which you don’t want to trade, I can’t. My general point is that you should be adjusting your stops to account for the volatility in the market (not using the same old fixed ones when vol is up, for example). That, in turn, impacts your position sizing, maybe to the point where you cannot do a certain trade because the risk implied by where you’d need to put your stop would be beyond your acceptable risk level.

]]> By: Rod http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/#comment-13092 Rod Sat, 22 Nov 2008 00:10:43 +0000 http://www.theessentialsoftrading.com/Blog/?p=689#comment-13092 Forgot one: Is it possible to use this indicator for profit by itself (as opposed to using it for filtering out volatile periods) Forgot one: Is it possible to use this indicator for profit by itself (as opposed to using it for filtering out volatile periods)

]]> By: Rod http://theessentialsoftrading.com/Blog/index.php/2008/11/21/revisiting-the-impact-of-these-markets-on-traders-and-investors/#comment-13091 Rod Sat, 22 Nov 2008 00:05:25 +0000 http://www.theessentialsoftrading.com/Blog/?p=689#comment-13091 John, The thing I find most difficult is how do you establish a limit, an N-ATR percentage where we stop trading. Also, if you are trading on daily data, am I supposed to check N-ATR on the same timeframe or may be longer ones? Ideally this should be part of an automated strategy, but I am not sure which way to go in terms of setting the filters. John,

The thing I find most difficult is how do you establish a limit, an N-ATR percentage where we stop trading. Also, if you are trading on daily data, am I supposed to check N-ATR on the same timeframe or may be longer ones? Ideally this should be part of an automated strategy, but I am not sure which way to go in terms of setting the filters.

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