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Is this the one from Connors research?
(pdf download link)
http://connorsresearch.com/wp-content/uploads/2015/01/CR_Historical_Volatility.pdf
I read a paper the other day to do with volatility, basically for trend following you are better off with low volatility stocks compared to higher volatility. Can't remember where or who it was though.... not real handy lol
Is this the one from Connors research?
(pdf download link)
http://connorsresearch.com/wp-content/uploads/2015/01/CR_Historical_Volatility.pdf
Not wholly true! Price is also an anticipation of better (or worse) future company success, mediocrity or failure. In other words unknown information. Not the "majority of the market participants" either but the majority of securities held in one place.What is price? It’s essentially a culmination of all the known information of a company. Therefore, price is real as it represents what the majority of the market participants know at that given time.
Came across this in my travels.
Search "soy" in...
https://authoritynutrition.com/optimize-omega-6-omega-3-ratio/
I read a paper the other day to do with volatility, basically for trend following you are better off with low volatility stocks compared to higher volatility. Can't remember where or who it was though.... not real handy lol
Here's an interesting statistic, after 500 minutes of morning trend, there is a 62% chance the that the 6A will reverse the trend.
Nick Radge made mention of this on his Facebook page recently if I recall correctly. Someone (Alverez?) had commented on combining Radge's Weekend trend trader with volatility screening/metrics. Its an interesting idea. For my longer term trend following there is a lot to support gut feel for less volatile trending stocks (per unit price).
Suspect ATR/price is just the tip of the iceberg though Canoz - probably need someway to incorporate linearity /correlation and rate of change in price. Arguably then too much at risk of lagging moving average sort of situation. Will have to play more in Amibroker when some quiet time comes along. Might add some value/edge to new high screens perhaps?
p.s. Seem to also recall Pixel commenting previously on using %ATR successfully in his trading over many years. Would have to go digging for the thread though. Not something I succeeded in distilling into a useful approach last time I played with it - which is of course usually the way until you invest a lot of effort, experience and thought into these things!
What sort of % returns and DD are you looking at with these system CanOz?
This one looks to hve some deep and sustained DD's. Could be tough to trade
500 minutes (8.33 hours) of morning trend? Typo?
My trend-following system is constructed from two custom indicators (self designed/constructed - unaware of any other indicators that are similar). One of the indicators is a trend-strength + volatility indicator. Trading high volatility is perfectly acceptable, given the volatility has consequentially resulted in a comparatively strong trend.
Here is the link http://bettersystemtrader.com/037-cesar-alvarez-studies-stop-losses/Nick Radge made mention of this on his Facebook page recently if I recall correctly. Someone (Alverez?) had commented on combining Radge's Weekend trend trader with volatility screening/metrics. Its an interesting idea. For my longer term trend following there is a lot to support gut feel for less volatile trending stocks (per unit price).
Suspect ATR/price is just the tip of the iceberg though Canoz - probably need someway to incorporate linearity /correlation and rate of change in price. Arguably then too much at risk of lagging moving average sort of situation. Will have to play more in Amibroker when some quiet time comes along. Might add some value/edge to new high screens perhaps?
Suspect ATR/price is just the tip of the iceberg though Canoz - probably need someway to incorporate linearity /correlation and rate of change in price. Arguably then too much at risk of lagging moving average sort of situation. Will have to play more in Amibroker when some quiet time comes along. Might add some value/edge to new high screens perhaps?!
Here is the link http://bettersystemtrader.com/037-cesar-alvarez-studies-stop-losses/
Apparently, Volatility (ATR) based position sizing for trend following systems is a 2 edge sword, it will lower your drawdowns but also your returns at times.
Trendnomics system gives his stocks lots of time and room to move, so that when the inevitable dips occur, the loss or reduced profit is not taken at that time if the dip recovers within the shorter term. The attached chart shows some of the benefits of such concepts. Interestingly, on this model, the Feb '16 D/D was more acute than any other during the period.
View attachment 67763
Here is the link http://bettersystemtrader.com/037-cesar-alvarez-studies-stop-losses/
Apparently, Volatility (ATR) based position sizing for trend following systems is a 2 edge sword, it will lower your drawdowns but also your returns at times.
Trendnomics system gives his stocks lots of time and room to move, so that when the inevitable dips occur, the loss or reduced profit is not taken at that time if the dip recovers within the shorter term. The attached chart shows some of the benefits of such concepts. Interestingly, on this model, the Feb '16 D/D was more acute than any other during the period.
View attachment 67763
Sorry Newt, just saw this ...
I like ATR% because for most of my momentum systems, that are equity index, they rely of volatility to drive the big moves. The problem with indices like the Dax and the NK is that they get expensive as well as volatile. I just want volatile. With a filter then yeah of course its lagging and i'll miss out on some...only testing will tell if that still keeps things trade-able for me...
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