Maybe I don't understand what you're looking for. Here it is: "Average True Range or ATR is a measurement of volatility. It measures the average of true price ranges over time. The True Range is the greatest distance between today's high to today's low, yesterday's close to today's high, or yesterday's close to today's low. The Average True Range is a moving average of the True Ranges." It can be equal to a percentage of the underlying price only by chance.
Congrats on your profitable trade mrpace, I've been pimped by Ameritrade as well. Good luck on getting whole... If you start an account transfer to another broker you might get it though. When I moved from them to MB Trading, they wanted to talk suddenly. I just have an IRA with them now that I may trade once or twice per month. G87
What I'm trying to verify is if most of the stocks in the Hershey universe have a similar Price/ATR ratio. If the observation holds true, I can use this number to calculate my stop losses more efficiently. For example, apply a trailing stop loss of 1.5 ATR to each trade. I guess what you see as chance I interpret as a probability.
IN the spreadsheet I posted earlier, I list the truerange/close for all the stocks in my JH universe. This varies from a low of 0.62% to a high of 2.1%, a large spread. Doug
I use my trade records. I record my stop for each trade in Excel along with entry, exit, target, size and dates. 5% could be used for this - if you just have the entry and exit prices.
How did it turn out for Jack Hershey? It's workable but with the assumed 5% worst case which doesn't happen a lot I assume... since it is not an accurate representation therefore you can't see the true "whale" curve (position size vs. profits??) (See Market Wizard William Eckhart's interview) and push as hard. I think you can probably work with the worst case and average case to get a feel?