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AVERAGE TRUE RANGE
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AVERAGE TRUE RANGE

  #1 (permalink)
Trading Apprentice
louisville ky usa
 
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AVERAGE TRUE RANGE

how would you use ATR as a stop loss on the es.


Last edited by louisville; March 28th, 2013 at 10:40 PM. Reason: s/b ATR not ATM on top
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  #3 (permalink)
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Not 100% what you are asking, but supertrend is probably the best known atr trailing stop indicator. Several threads on it if you do a search.

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If you're using tradestation the StopsFlexible indicator (and function) is a nice possibility.

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There are several possibilities:


(1) Use the SuperTrend indicator as explained above.

(2) Use a modified Keltner Channel

(3) Use a chandelier stop (see Chuck Le Beau for definition)

http://www.remisiers.org/cms_images/guppyspeaks/ATR_CHANDELIER_VOLATILITY_EXIT_MANAGEMENT.pdf

(4) Use a simple trailing stop based on ATR

For further information see Technical Analysis of Stocks & Commodities, June 2009, Sylvain Vervoort - Average True Range Trailing Stops. The article can be downloaded from STOCKS & COMMODITIES Magazine.

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ATR

I use an intitial stop of 2 ATR for swing trades, then trail the stop up in another fashion. But thats a whole other topic.

FW

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I have used ATR before to no avail.

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motowater View Post
I have used ATR before to no avail.

Both the Keltner Channel and the SuperTrend make use of the ATR. The ATR is definitely a powerful concept. It is difficult to trade without it.

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I read an interesting paper today in my downtime.

Forecasting the Technical Range Volatility with Moving Average (TRV-MA) model.
-Haibin Xie, Guohua Zou, Shouyang Wangy


"If I agreed with you, we'd both be wrong."
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AVERAGE TRUE RANGE-ssrn-id1505782.pdf  
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A.T.R. is an arrow in your quiver


ATR is another arrow in your quiver. How you use it depends on your strategy.

Are you buying pullbacks at support? You know the market may not bounce right at support, so you can use the ATR so you can buy as close to support as possible but are not stopped out by run of the mill, everyday volatility.

Some people use it as a trailing stop. I think most people use it as their initial stop. 2 times ATR or 2.5 times ATR etc.
The Turtles moved up their ATR stops as they laddered into positions, like a trailing stop only they set one after the last position was entered and never moved it up again. When they had a full position and the price moved far enough in their favor they used different exit strategies to give price a little more room.

I believe Van Tharp's book "Trade Your Way to Financial Freedom" discusses using volatility stops to find your position size. It's a pretty dense book but worth a read. Fat tails advice on reading Svylvain Vervoort's work is a great suggestion. I think he came up with an alternative to ATR that takes more factors into consideration when calculating.

This is more of a trend following/position trading answer. Mean-reverters would look at it differently, like using channels etc. That was a mouthful, I hope it helped.

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