Average True Range (ATR) – Plot Stops on Charts, Enable use as a Custom/Calculated Field and Enable Use for Volatility Based Position Sizing
There are a range of ATR requests so this is to some extent duplication.
VV currently offers the use of ATR as a stop in back tests with variables being the lookback period and ATR multiplyer. Can this facility be extended to allow plotting such stops on stock and index charts please?
Please introduce the capability to use ATR as a calculted/custom field in Watch Lists, Viewers, Portfolios and Backtests.
Can VectorVest implement the use of ATR volatility to generate volatility based position sizes for backtests and portfolio management.
Much has been written about the importance of correct Position Sizing by writers such as van Tharp - “Position Sizing is the Key to Meeting Your Trading Objectives” & “90% of Performance Variation Among Professional Traders Is Due to Position Sizing Strategies” - http://www.vantharp.com/tharp-concepts/position-sizing.asp#How & http://www.vantharp.com/products/definitive-guide-position-sizing.asp.
Offering VV subscribers the opportunity to move away from equally weighted 5 or 10 stock portfolios/backtests with percentage based stops towards volatility based position sizing and stops such as Chuck Lebeau’s Chandelier Stop (https://community.tradestation.com/discussions/data/20050225165005lebeau.pdf
) would be a major service enhancement for VectorVest.
Derek Goodyer
shared this idea
1 comment
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Paul Alexander
commented
This is a big deal for me. I've discovered that a 4, 5 or 6 day period with a 2.56 multiplier is by far the best stop of all other choices (The multiplier is very sensitive, and it's hard to get the multiplier dead on 2.56, so that's another programming problem that could be solved). It's a money making formula. The problem is that I can't find a way to see the stop price to know how close I am to the trigger. I need a field for this. Please make it happen!!!