Using ATR for NQ Stops and Targets

John9999 said:
I guess I need to add some more to this... for me I NEED STRUCTURE, I NEED RULES, any discretionary stop or exit just does not work for me. We all have to find strategies that fit with out personality. For now, I am going with 2X ATR for exit. Yes, I will miss the occasional monster move and I have to live with that. I have back tested it and it works. No it is not perfect, nothing is.
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John9999,

Good point. Nothing is perfect and you have find what fits your personality. Stick to your fixed stops and profit targets if that is what you are comfortable with. I would stick to 2X ATR as well. That should be a wide enough stop loss.
 
Profit taking exits is not the problem, it's how they relate to your stops, right? You need pretty high accuracy to make 2:1 work. That is why many systems (imho) have stops many multiples of the profit target, which is what @fan27 most likely suggesting(I assume). It works, but the draw downs become excessive and difficult to recover from. That's what makes intra-day strategies difficult ... You simply run out of time needed to recover ... Like an option nearing expiration. I would shut down strategy if it's not profitable "enough" after the first hour or at least reduce size.
 
qlai said:
That is why many systems (imho) have stops many multiples of the profit target, which is what @fan27 most likely suggesting(I assume).
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The stop is the same size or slightly larger than the profit target in most systems I have. As with anything, do your own testing to see what works for you.
 
For equities, determining stops and targets intraday with a combination of ATR and market structure has worked well for me for awhile now. This approach accounts for volatility and support / resistance in the form of pivots and bases. ATR considers gaps for its calculation, but if you are only trading intraday and are only interested in tradeable volatility then just simply averaging range over x periods would suffice.
 
okay here's a new twist.... let's say I enter trade and ATR is 10... so I set stop at 10 target at 20..... then say 15 mins later.. ATR has dropped to 7... I guess I have to adjust my stop and target to 7 & 14.. does this sound right?

and yes,,, should ATR increase during trade then I adjust the numbers larger as well??
 
John9999 said:
I guess I need to add some more to this... for me I NEED STRUCTURE, I NEED RULES, any discretionary stop or exit just does not work for me. We all have to find strategies that fit with out personality. For now, I am going with 2X ATR for exit. Yes, I will miss the occasional monster move and I have to live with that. I have back tested it and it works. No it is not perfect, nothing is.
More...
qlai said:
Profit taking exits is not the problem, it's how they relate to your stops, right? You need pretty high accuracy to make 2:1 work. That is why many systems (imho) have stops many multiples of the profit target, which is what @fan27 most likely suggesting(I assume). It works, but the draw downs become excessive and difficult to recover from. That's what makes intra-day strategies difficult ... You simply run out of time needed to recover ... Like an option nearing expiration. I would shut down strategy if it's not profitable "enough" after the first hour or at least reduce size.
More...

You need to be clever in the way you fragment and analyze the ATR, and how you size/leverage the trades within that model. Daytrading (legally) is no place for a slouch. If you're looking for a chart to tell you something, find another hobby. Context is fine, but structure and rules are still required, and that means data and numbers.

Here is a time-series momentum model displaying six month performance of leveraged trade variations (of one trade a day) within a simulation matrix, considering only key metrics. It doesn't need to be any more complicated.
Capture.PNG
 
digitalnomad said:
Here is a time-series momentum model displaying six month performance of leveraged trade variations (of one trade a day) within a simulation matrix, considering only key metrics. It doesn't need to be any more complicated.
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Lol ... Plenty complicated for simple me :)
 
I don't use stop at all trading mini es or mini naz nd I use a lot of straight mkt orders to get in and out. mkt orders pusht eh market in your direction. If evereyone used less limits and mroe marekt orders we could be PROACTIVE and move the market. same can be doen with stops to enter the market. or MIT orders to enter. anyone noticed the FLIPPER in teh nasdaw mini? he turns into a momentum igniter also at certain times.
 
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