Average True Range Pull Back

By 18 April, 2018Blogg, Futures, Stocks/ETF

Here, I used the Average True Range as a decision-making indicator to catch price relative movements to find a useful edge for both long and short sides. This is a very useful edge, especially for currencies. You can test this entry idea with different filters to further improve results.

 

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

Strategy Idea

1. When the Average true range of 85 days more than or equal to its 18 days,
buy next bar at the market.
2. If the above condition false then we sell short next bar at the market.
3. When today’s low is more than or equal to 10 days ago high,
then sell next bar at the market.
4. If today’s high lower than or equal to 10 days ago low,
then buy to cover next bar at the market.