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Dollar vs ATR Stop Losses
Last Activity 7/6/2020 12:05 PM
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Posts: 107

Joined: 10/22/2010
Location: Columbia, MD

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Subject : Dollar vs ATR Stop Losses
Posted : 6/16/2020 8:57 PM
Post #31161

Hi All,

I am searching for a soul discovery on a Stop in a OL code that will provide a balance between an ATR choice and a Dollar value whereupon not much risk outweighs based on a ATR value choice only during these high volatility market environment.

Please advise / guide the best pracice or methodology to use and/or develop in OT. Thanks.


... this is an interesting read ... if anyone has an OT Stop code related close to willing to share to N community ?

“Dynamic ATR Threshold” and “ATR Trailing Threshold”

The Science Behind Stop-Loss & Target Gain – Learn When to Exit a Position


Dollar vs ATR Stop Losses

.... Another option is illustrated above in Fig. 2 above the label "Sqrt ATR". This bar shows the range of stop values for a protective stop calculated the same way as the ATR stop on 15 min bars but using the square root of ATR, rather than the ATR itself. The square root function tends to attenuate the high and low values, compressing the range. This can compensate to some extent for the wide variation in ATR values on time-based bars, leading to a stop that still varies with market noise but not as widely as the basic ATR stop. The range compression will be greater for larger ranges of ATR.

... and another insight read based on backtests:

Algorithmic Trading Tip – Dollar Based Stop Losses Vs. Average True Range Based Stop Losses

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