Developing IntraDay Strategies Using ATR for Risk

Discussion in 'Automated Trading' started by SimpleMeLike, Dec 27, 2017.

  1. Ditto that!
    #31     Dec 31, 2017
    Xela likes this.
  2. If you're trading the opening range, you need to consider the opening range only and not the range during other times of the day. As an example.

    I think you need more than simply an ATR of course, but it is of course an improvement beyond not using such measures in the first place. :)
    #32     Dec 31, 2017
    SimpleMeLike likes this.
  3. Hello Laissez Faire and thanks for response.

    Good comment and now I understand. Considering I only intraday trade from market open 8:00am to 3:15pm, this would make sense with to use ATR with small period to range of recent price action.
    #33     Dec 31, 2017
  4. I did some backtesting several months ago pitting an ATR-based stop and profit target vs a fixed money stop and profit target. I tested GC, CL, ES, LE and several others.

    My results showed that there wasn't much difference between them (the fixed money stop/target was actually slightly better).

    I threw out the spreadsheets so I don't have the data anymore to back that up, so believe it or not. The data I used was minute data from 2009 to 2015.
    #34     Jan 1, 2018
    SimpleMeLike likes this.
  5. Auto trading is gambling so the variables are just.
    #35     Jan 1, 2018
  6. Hello shatteredx

    Thank you for sharing your analysis.

    I am interested in how you designed an ATR profit target. Did you use something like 3xATR as your profit target or some other method? I would like to do an anlysis as well.

    #36     Jan 1, 2018
  7. Thank you Van_der_Voort_4. I appreciate your response.

    You wrote a good response that is simple to understand.

    I also programmed and back tested breakeven exit methods and, it does reduce drawdown. I can use this strategy to post results if you or anyone like to see.

    I also programmed and back tested trailing stop exit methods and, I can use this strategy to post results if you or anyone like to see. The static trailing stop was based on my own (pulled a number from the sky:)) risk vs reward and its not dynamic. I know better now. lol

    You are right about this part for sure. It is alot of learning but better to know, then not know.

    Thanks for your post.
    Last edited: Jan 1, 2018
    #37     Jan 1, 2018
  8. Yes that's pretty much what I did. I think used a 5 day ATR lookback and then optimized multiples from 0.01 to ??.00x using my in-sample data to see what a best case scenario for both profit targets would be (fixed money vs ATR multiple).

    I probably should've used a 30 or 60 day ATR but I don't think it would've changed much.

    This was part of a swing trading system (trades lasted 3 days on average) so I guess a day trading system like yours would be different.
    #38     Jan 3, 2018
    SimpleMeLike likes this.