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ATR Range by Mike Lucero
-----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.

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);

 

Mike

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