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-----Original Message----- From: Mike Lucero [mailto:mikelu@xxxxxxxxxxxxxxx] Sent: Wednesday, July 07, 1999 1:10 AM To: metastock@xxxxxxxxxxxxx Subject: ATR stop or DEVSTOP Does anyone have tips on using volatility stops with stocks? I've read about using CLOSE-3*ATR ad programmed tests using that and Kase DEVSTOP into Technifilter. The gross numeric results of my testing didn't show the volatility stops outperforming using a stop below a 20-day low. What am I missing? Thanks, Mike RE: ATR stop or DEVSTOP . To: "Mike Lucero" <mikelu@xxxxxxxxxxxxxxx>, <metastock@xxxxxxxxxxxxx> . Subject: RE: ATR stop or DEVSTOP . From: "mikelu" <mikelu@xxxxxxxxxxxxxxx> . Date: Tue, 20 Jul 1999 19:08:12 -0700 . Importance: Normal . Reply-To: metastock@xxxxxxxxxxxxx . Sender: owner-metastock@xxxxxxxxxxxxx Here's what I think a DEVSTOP is in Metastock language, described in Kase's "Trading with the Odds", and better described in Kaufman's "Trading Systems and Methods". It uses a 2-day range, 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. |
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ATR Range 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); |
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