I use Ref (atr(), -1)
On 12/5/2009 9:04 PM, droskill wrote:
> I've got a system that uses the following for sizing:
>
> Size = -2 * BuyPrice/1.5 * ATR(7);
>
> Now this works great for backtesting - takes the buy price (the open in this
> case) and puts an ATR-based sizing to it that uses a max of 2% risk.
>
> But the issue I run into is that when it comes time to trade, if there has
> been any significant change in the ATR value (at the open), it can be
> difficult to calculate on the fly. Now, I can approximate this by using the
> ATR(7) from the prior day.
>
> So a general question - is anyone else using similar code and how do you deal
> with the ATR value changing on the open?
>
> Thanks!
>
>
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
>
