Stop loss/ATR
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     paolo
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| | Tuesday, February 05, 2002 - 09:45 pm: | 
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Tate's excellent book suggests the use of ATR in a stop loss calculation.
How do you find the ATR for a stock - is it by observation or is it available somewhere?
How would you adjust the calculation for trading perpective (ie day trader vs 1 year investor) - increase no of ATR? use ATR over a longer period.
Thanks for any help in advance
Paolo
PS PBB still not shifting from that narrow range.
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shonky
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| | Wednesday, February 06, 2002 - 07:06 am: |
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ATR ? What? Can somebody clarify? Is it a mining share? It's not a compass bearing.
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lepe
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| | Wednesday, February 06, 2002 - 07:52 am: |
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paulo - got me too.
could you please explain an atr or write it in full word? not sure what you mean.
cheers
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lepe
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| | Wednesday, February 06, 2002 - 08:02 am: |
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shonky - to clarify -
the archaic use of atr was 12C aaaiitnaar - a primitive scandinavian form of aye now, which emerged in the 17C as och aye.
Transculturally, this has transformed into 'she'll be right, mate.'
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paolo
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| | Wednesday, February 06, 2002 - 08:53 am: |
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Excellent suggestions chaps as always but in fact I think he means Average Trading Range. A stop loss point of (entry price - 2 * ATR) is suggested as one to consider.
Does that help?
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shonky
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| | Wednesday, February 06, 2002 - 09:54 am: |
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Paolo - should that be ep-(2%atr?)
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Colin Twiggs
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| | Wednesday, February 06, 2002 - 11:14 am: |
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ATR
Average True Range - from J.Welles Wilder Jr.
Wilder suggests a volatility trading system similar to Parabolic SAR. Trailing stops are calculated at 3.0 times 7-Day ATR.
What ATR does Chris Tate use?
Colin
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hari
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| | Wednesday, February 06, 2002 - 05:37 pm: |
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lol, good one lepe. haha.
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hzqt1k
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| | Tuesday, April 16, 2002 - 12:50 am: |
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ATR can be calculated by a 15 day Exp MA of the True Range. Colin shows this ATR calc as Schwager's Volatility. This is what I use, and works very well. I set stops at 2 x ATR and stick to it.
Murray
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Colin Twiggs
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| | Tuesday, April 16, 2002 - 10:07 am: |
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Murray
There are slight differences between ATR and Schwagers volatility:
1) Schwager uses True Range divided by Average True Range
2) Average True Range is calculated using an exponential moving average whereas ATR uses Welles Wilders method of calculating moving averages.
Colin
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matt
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| | Tuesday, April 16, 2002 - 10:38 pm: |
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All,
By coincidence I decided today to look at why Chris Tate might recommend a stop-loss of EP - 2 x ATR (from his Trading Secrets book IIRC). I downloaded a year's data for TLS, NCP, and TAH and built of histogram of the daily High-Low ranges and the "True Range"s for all three.
The figures seem to fall into a Poisson distribution, and somewhere between 90% - 95% of the figures are within 2 x the average, which should mean that there is less than 10% probability that a stock you buy will lose 2 x average in one day's trading. Of course, the slow painful loss of value is harder on the nerves than an obvious sharp fall.
m.
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