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Combine ATR stop with Hard Stop
Started:January 26th, 2015 (01:31 PM) by robz75 Views / Replies:348 / 1
Last Reply:January 26th, 2015 (01:31 PM) Attachments:0

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Combine ATR stop with Hard Stop

Old January 26th, 2015, 01:31 PM   #1 (permalink)
Elite Member
baltimore md/usa
Futures Experience: Beginner
Platform: TradeStation
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Combine ATR stop with Hard Stop

I am trying to implement an atr stop in conjunction with a hard stop. I am using this on the S&P emini. My problem is 2 things:

1. ATR uses bars to calculate its numbers so I could be caught in a big drop in the market over a 60 min time frame. I want to use the ATR most of the time because it is variable.
2. I want to also implement a hard stop of X emini ticks to cover for a big drop in the market as well as protect me from an ATR calculation that would sell at more than 40 ticks or something to that affect.

3. The Hard stop needs to use intrabar order generation for me to protect myself from a big intra bar drop.

So is there someone that could provide some code that would do the ATR stop as well as a hard stop? ATR needs to be optimizable as well as the hard stop in ticks. Hard stop needs Intrabar order generation.

The atr I am using is below but I am not sure how good it is.

Thanks for your help!
ATRLen( 5 ),
NumATRs( 2 ) ;

Once SetStopContract ;

SetStopLoss ( AvgTrueRange(ATRLen) * NumATRs * BigPointValue ) ;


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Old January 26th, 2015, 01:31 PM   #2 (permalink)
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