Skip to main content
Track ATR position sizing
10 / 36
Search the archiveLibrary
Library

2005issue C021-12

Construction of a volatility-bounded long entry

The archive workflow times a 7-bar Relative Strength Index oversold window, then allows a long only at a stop-entry set two average true ranges above the 20-bar low. A trailing stop, a recent-low stop, and an ATR-offset target keep exposure inside those precomputed distances while the position is open.

  • A 7-bar Relative Strength Index must cross above 30 and remain valid for a 10-bar window before a volatility entry is allowed, so the oscillator is a timed filter rather than a standalone trigger.
  • The long stop-entry is the lowest low over 20 bars plus two times a 10-bar average true range, which places the trigger a volatility multiple above the recent range floor.
  • Weekly higher-high and higher-low sequences or a rising 34-week average of close select the pool, while daily ATR position sizing and Relative Strength Index rules place and manage the long.
  • Once a long is open, the working trailing stop is the running maximum of the 15-bar high minus two times the same 10-bar average true range, and the position can also leave at a 3-bar low stop or at a 13-bar exponential high plus two ATR.
Entries in this reading3 entries
Current trackATR position sizing43 readingsTrailing stop93 readingsRelative Strength Index188 readings

Weekly selection, daily placement

Candidate selection is split by horizon. Weekly higher-high and higher-low sequences or a rising 34-week average of close identify the pool. Daily ATR position sizing and Relative Strength Index rules place and manage the position.

Relative Strength Index as a timed filter

A 7-bar Relative Strength Index must cross above a 30 threshold and then remain valid for a limited subsequent window before a volatility entry is allowed. That window is 10 bars in the strategy inputs. The oscillator is a timed oversold filter rather than a standalone trigger.

A stop-entry above the range floor

A long entry is constructed as the lowest low over a 20-bar lookback plus two times a 10-bar average true range. The stop-entry price sits a volatility multiple above the recent range floor.

Trail, recent-low stop, and profit offset

A trailing protective level is constructed as the highest high over a 15-bar lookback minus two times the same 10-bar average true range. The working stop is the running maximum of that series while a long is open.

An initial protective stop is the lowest low of a short recent window. That window is 3 bars in the strategy inputs. A profit-taking level is an exponential average of high over 13 bars plus two times the 10-bar average true range.

Amgen daily close versus ATR profit taker and trail

Daily Amgen bars from early 2003 sit between an ATR-scaled profit taker above the highs and a ratcheting trailing stop below. The trail steps higher through the March advance, so the loss bound stays inside two average true ranges of recent closes before a fill is even managed. Values were read off the TradingSolutions price window with the JB volatility overlays, not from a printed table, and are approximate to the nearest half dollar.
Daily Amgen bars from early 2003 sit between an ATR-scaled profit taker above the highs and a ratcheting trailing stop below. The trail steps higher through the March advance, so the loss bound stays inside two average true ranges of recent closes before a fill is even managed. Values were read off the TradingSolutions price window with the JB volatility overlays, not from a printed table, and are approximate to the nearest half dollar.AMGN · daily · 2003-01-08T00:00:00.000Z to 2003-04-14T00:00:00.000Z

Digitized from the on-screen daily Amgen window (January–April 2003), not a numeric table. Source formulas: profit taker = 13-bar EMA of high plus two 10-bar ATRs; trailing stop = 15-bar highest of close minus two ATRs. Half-dollar rounding matches what the raster can support.

Trend, oscillator, and volatility together

A combined long filter requires a close above a 34-period average that is itself rising, a recent oversold Relative Strength Index reading, and a close above the 20-bar low plus two ATR. Trend, oscillator, and volatility conditions must all be true before entry.

Once a long is on, an exit is constructed when close crosses back below the ratcheted ATR trail, or at the recent-low stop, or at the ATR-offset profit target. Exposure remains bounded by precomputed volatility distances throughout the trade.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
10 of 36 in the ATR position sizing track
20051-2 pp.Next on ATR position sizingSix-zone encoding of open, high, low, and closeA zone-index from 0 through 5 locates any tested price against the prior high, the prior low, their midpoint, and a ten-period atr-offset.
All readings on this track · 36 readings
  1. 1988Constructing unsigned true range for directional models
  2. 1989Evaluate an always-in ATR breakout as one procedure
  3. 1992Variable lookback and average true range as a trend-filter construction
  4. 1993A random-walk index that uses true range as its scale
  5. 1993A shared harness for trend-filter construction
  6. 1998Finish a trend with a volatility trail, wave permission, and a slower-frame veto
  7. 1999A trend filter that switches tactics and scales ATR targets
  8. 2001Filter higher lows with linear regression, then judge the exit
  9. 2003A Mechanical trading system is a maintained procedure, not only an entry trigger
  10. 2005Construction of a volatility-bounded long entry
  11. 2005Six-zone encoding of open, high, low, and close
  12. 2006Normalized average true range as a pre-entry volatility bound
  13. 2006Chandelier exits, ATR position sizing, and trailing stops
  14. 2007Constructing a rule-based entry with Relative Strength Index and ATR position sizing
  15. 2008Constructing a zero-lag TMA and heikin-ashi crossover as a complete rule set
  16. 2010Use the session-range percent stop as a pre-trade filter
  17. 2011OCA exit groups, trailing limits, and ATR stops
  18. 2011ATR bands around support and resistance for stops and targets
  19. 2013Algorithmic head-and-shoulders construction with bounded exits
  20. 2013Constructing ATR-scaled swing pivots and linear-regression divergence
  21. 2013Constructing volatility bands from typical price
  22. 2014Constructing true-range contraction filters before expansion
  23. 2015Constructing touch plans from modified true range
  24. 2015One checklist for breakout entry and ATR risk
  25. 2015Percentage true-range construction for cross-market volatility filters
  26. 2015Construct a percentage true range for cross-market volatility
  27. 2015Percentage true range as a pre-entry exposure filter
  28. 2016Constructing ATR-filtered breakout entries
  29. 2017A dividend date as a pairs-trading classroom
  30. 2018Range-based volatility as a true-range construction
  31. 2018Moving average support and volatility-band construction
  32. 2018Construct a lifecycle breakout from compression
  33. 2018Pair the book first and let volatility or range set the size
  34. 2019Trend systems need a no-trade rule
  35. 2020Average true range as a shared unit for size, pairs, and stops
  36. 2020Volatility sizing and target-risk leverage as a pre-trade gate
By fieldIndicators and filters698 readingsBy year2005107 readings
All 43 readings tagged ATR position sizing
Also on ATR position sizing5 readings
2006Chandelier exits, ATR position sizing, and trailing stops2008Constructing a zero-lag TMA and heikin-ashi crossover as a complete rule set2011OCA exit groups, trailing limits, and ATR stops2013Algorithmic head-and-shoulders construction with bounded exits2016Constructing ATR-filtered breakout entries