Spydertrader's Jack Hershey Equities Journal II

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Quote from ilganzo:
Maybe not. ...
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Maybe I don't understand what you're looking for. Here it is:

"Average True Range or ATR is a measurement of volatility. It measures the average of true price ranges over time. The True Range is the greatest distance between today's high to today's low, yesterday's close to today's high, or yesterday's close to today's low. The Average True Range is a moving average of the True Ranges."

It can be equal to a percentage of the underlying price only by chance.
 
Quote from mrpace:

Sold my RATE today, with a very nice profit. Could have been a lot nicer, but for some reason, at 11:03am when I decided to sell, Ameritrade would NOT let me cancel my trailing stop order (it was listed as PENDING CANCEL for 5-6 minutes). I needed to cancel the trailing stop so I could enter a sell order to get rid of my shares at the current price.

Of course, wouldn't you know, as my Trailing Stop was frozen at PENDING, RATE started to DROP like a rock, from near 35 to 34 in a matter of MINUTES.....

By the time I got Ameritrade Customer Service on the phone (and miraculously, the trailing stop order unfroze itself and was listed as CANCELLED the second I explained my dilemma to the Ameritrade rep), and the order was unfrozen, I was able to sell my freakin shares at 34.05....still a handsome profit, and above my 10% target, but at the time I ORIGINALLY tried to cancel my trailing stop, the stock was sitting at 34.90!!!!!!!

I'm going to write Ameritrade a nice long letter and let them tell me why this happened, and how they are going to make me whole again.....lol
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Congrats on your profitable trade mrpace,

I've been pimped by Ameritrade as well. Good luck on getting whole... If you start an account transfer to another broker you might get it though.:) When I moved from them to MB Trading, they wanted to talk suddenly. I just have an IRA with them now that I may trade once or twice per month.

G87
 
Quote from cnms2:

Maybe I don't understand what you're looking for. Here it is:

"Average True Range or ATR is a measurement of volatility. It measures the average of true price ranges over time. The True Range is the greatest distance between today's high to today's low, yesterday's close to today's high, or yesterday's close to today's low. The Average True Range is a moving average of the True Ranges."

It can be equal to a percentage of the underlying price only by chance.
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What I'm trying to verify is if most of the stocks in the Hershey universe have a similar Price/ATR ratio. If the observation holds true, I can use this number to calculate my stop losses more efficiently. For example, apply a trailing stop loss of 1.5 ATR to each trade.

I guess what you see as chance I interpret as a probability.
 
Quote from ilganzo:

What I'm trying to verify is if most of the stocks in the Hershey universe have a similar Price/ATR ratio. If the observation holds true, I can use this number to calculate my stop losses more efficiently. For example, apply a trailing stop loss of 1.5 ATR to each trade.

I guess what you see as chance I interpret as a probability.
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IN the spreadsheet I posted earlier, I list the truerange/close for all the stocks in my JH universe. This varies from a low of 0.62% to a high of 2.1%, a large spread.

Doug
 
Quote from dougcs:

IN the spreadsheet I posted earlier, I list the truerange/close for all the stocks in my JH universe. This varies from a low of 0.62% to a high of 2.1%, a large spread.

Doug
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Indeed a large spread. Did you calculate the ATR(100) on 30 minutes bars or daily?
 
Quote from martys:

I think it might be difficult to use MSA for a method like this. How does one assume the risk (stop) per trade? 5% (worst case)? You might try it if you recorded a good sample of trades and use worst or average stop as the input? I used the first version and like both the product and the price but it is mainly for mental masturbation unless you already have a solid edge (worked thru various cycles in real time and not backtesting) and try to milk it more (increasing size).
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I use my trade records. I record my stop for each trade in Excel along with entry, exit, target, size and dates. 5% could be used for this - if you just have the entry and exit prices.
 
How did it turn out for Jack Hershey? It's workable but with the assumed 5% worst case which doesn't happen a lot I assume... since it is not an accurate representation therefore you can't see the true "whale" curve (position size vs. profits??) (See Market Wizard William Eckhart's interview) and push as hard. I think you can probably work with the worst case and average case to get a feel? :confused:
 
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