Developing IntraDay Strategies Using ATR for Risk

[Scataphagos]

Mine also: when I enter a trade, it's on the basis of the price moving in "my direction" pretty quickly; if it doesn't, I want to be taken out at low cost.

Ditto that!

 

[Laissez Faire]

Thank you Laissez Faire for response.

What do you mean by "during the exact time period you're interested in trading" ?

Thanks

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.

 

[SimpleMeLike]

If you're trading the opening range, you need to consider the opening range only and
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.

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.

 

[shatteredx]

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.

 

[fordewind]

Auto trading is gambling so the variables are just.

 

[SimpleMeLike]

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.

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.

Thanks

 

[SimpleMeLike]

Forget the money.Look at this from logical point of view.
You are in the business where score is kept by catching even small trends.How far will these trends move and how long is as important as putting stop loss.Whipsaws that will get you.What is out there that reduces whipsaw?Perhaps stop loss below certain number in given time period derived from measure volatility as this is a variable that changes as markets are dynamic.Only then you can build betting progression that will carry you to positive expectancy.
Loss is a loss.This is why stops correctly placed are critical as whipsaw after whipsaw and another will happen and this will put your account in uncertain territory.

Thank you Van_der_Voort_4. I appreciate your response.

You wrote a good response that is simple to understand.

Breakeven trades are also important,they lower drawdown and free money and less time spend in a trade which in turn reduces risk.

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.

Tests prove that trailing stops are the worst and do not give positive expectancy,

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

The major problem is the more you learn the more difficult it becomes,unlike everything else you study to educate yourself.

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

Thanks for your post.

 

[shatteredx]

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.

Thanks

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.