Average True Range (ATR)

[markd85]

	Quote:	Dogpile
	hi mark, I exited there for a few reasons. Exits are generally much more complicated than entries but the concepts I was thinking about included: 1. my strategy is generally to look to enter somewhere not too far away from VWAP and find an exit once it has moved a good distance away from VWAP. 2. note that there was a 400 tick buy divergence on the push to 1451.00 3. I was looking for a lower afternoon low --- you can see that this objective was met. net net, the market acheived my objective so I took the gain. waiting for the stop to get hit gives up too much IMO. attached is the buy divergence and a very simple indicator I wrote that marks a dotted line at VWAP +/- 10.00 pts... sometimes it goes less, sometimes more. hope that helps.

Hi Dogpile
Thanks for the chart, that was a very graceful exit.
Mark

[feb2865]

Just a quick question

Will Keltner channels work on this strategy??

Thanks

[Dogpile]

its very similar to a keltner channel trailing stop. keltner channel is based on a moving average and this method is based on just the last close + 3 ATR's.

but a 1-min KC (20 period, 2.5 ATR keltner channel) is another method that works pretty well.

[feb2865]

	Quote:	Dogpile
	its very similar to a keltner channel trailing stop. keltner channel is based on a moving average and this method is based on just the last close + 3 ATR's. but a 1-min KC (20 period, 2.5 ATR keltner channel) is another method that works pretty well.

Thanks Dog

So I assume , If I'm short for instance, that the upper band will be my mark for trailing stop rigth??

What would be a good setup for the bands on a five minutes charts? 10/1.5?

[Dogpile]

5-minutes is too wide, I think... you want a number that is wide enough only to keep you from getting stopped out on noise --- anything wider than that is too wide, IMO.

[JDS]

I realize this thread has been quiet for a while but was wondering if anyone has similar code that plots like the volatility stop.