Keltner Day Trade Strategy

[BenOsborn]

Probably stating the obvious, but I always find it interesting looking at the impact different ranking formulas have.  The 10 below (ran one twice) show the vast differences they can have on a system:
  

[BenOsborn]

Sorry, every time I try and delete it just reposts it.

[ScottBilton]

Thanks Glen,

A good catch! I find too that the ratio StdDev(ATR5,50)/StdDev(ATR5,200) is <5 for all stocks with the liquidity and price criteria.

I put the ratio in a charting package and looking at many charts of popular growth stocks I didn’t see the ratio go >1.9

A good learning to not take shortcuts and chart stuff to be honest. I find it hard to code something without look at a bunch of chart examples where it makes sense to me.

[ScottBilton]

yes, the universe selection and ranking are just as important as the setup

[Nick Radge]

Quote:

A good catch! I find too that the ratio StdDev(ATR5,50)/StdDev(ATR5,200) is <5 for all stocks with the liquidity and price criteria.

I put the ratio in a charting package and looking at many charts of popular growth stocks I didn’t see the ratio go >1.9

Quote:

 

The original tweet referred to this anomaly.

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[Author]

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