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Difference between adr and atr6/13/2023 ![]() Most commonly these are daily returns, taken off closing prices. We start off with some returns at some time frequency. Measuring standard deviation is relatively easy. It will also help ameliorate the image of ATR as a poor mans volatility measure, and the standard deviation as some kind of quant witchcraft unsuited to trading in the real world.Ī quick primer on the standard deviation (SD) Can we reconcile the two measures? This is an important thing to do - it will help us understand the pros and cons of each estimator, and help people using different measures to communicate with each other. Amateur traders tend to use a funky little number called the ATR: 'Average True Range'.īoth try and achieve the same aim: summarise the typical movement in the price of something using a single number. Professional traders tend to measure risk and target risk using standard deviation. Let's begin this post with a gross generalisation:
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