Replies to post #37959 on A.I.M. Users Bulletin Board (AIMUSERS)

[The Grabber]

Hi Tom.

a dollar move on a $100 stock is far different from a dollar move on a $10 stock!

True, but Allen was talking about the frequency of 10% moves on high priced securities vs low priced; not $1 moves.

It would be an interesting study. Measure frequency of 10% (or any other increment) moves on any security let's say between 1-5, 5-10, 10-15, 15-20, etc.

Allen's note brought back memories of our discussion in Vegas, 2000, where Mark Hing was presenting Efficient Portfolio Theory, and maybe you were discussing Zig-Zag.

Anyway, I think made a mention of a thought process I had been having about deriving an 'Efficient Volatility Index' value that could could be assigned to any security that was under consideration for AIM insofar as optimizing the volatility capture leg of the AIM stool.
Or at least it would provide guidance on your AIM settings for the issue.

Never quite figured that one out, but I think the W%r could be used to do it. W%r could be used to set the cyclic range and the amount of change between each cycle's crossovers would determine the amplitude.


But I agree with your broader point that a basket won't be nearly as volatile as an individual stock. Too much jockeying around under the covers I think.

That is one of the reasons I chose SLV for my ETF test. It follows Silver prices so in effect, it is a volatile as the underlying commodity.