Skip to main content
Track ATR position sizing
11 / 36
Search the archiveLibrary
Library

2005issue C071-2

Six-zone encoding of open, high, low, and close

A location function maps each tested price onto six ordered zones of the prior range, using the prior high, the prior low, their midpoint, and a ten-period atr-offset. Open, high, low, and close become one four-digit pattern-code, which is then counted against a next-bar close-versus-open baseline.

  • A 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.
  • The pattern-code is the four-digit number written from the open, high, low, and close zone indexes in that order.
  • A code-match is true only when a price occupies the same zone-index that a chosen digit requires. A full four-price match adds one occurrence and classifies the following bar in the next-bar-close-open-split.
  • Occurrence share is the matched count divided by the bar index. Display text restates each digit as a verbal location, and a chart marker is drawn only when the live pattern-code equals the selected input.
Entries in this reading2 entries
Current trackATR position sizing44 readingsPattern recognition49 readings

From four prices to one code

A location function maps any tested price onto six ordered bins. Those bins are bounded by the prior high, the prior low, the midpoint of those two prices, and a ten-period atr-offset.

A recognition routine then concatenates the open, high, low, and close bins into one four-digit pattern-code. Later counting uses that pattern-code as the object that is matched and compared.

Six ordered zones

The lowest bin is everything below the prior low minus the ten-period atr-offset. The highest bin is everything above the prior high plus the same atr-offset.

The four interior bins split the prior range at its midpoint and place the two remaining bins in the collars between each extreme and its atr-offset. Each tested price receives one zone-index from 0 through 5 under that same six-zone rule.

Pattern-code and code-match

The pattern-code is formed by writing the zone indexes of the open, high, low, and close in that order. A matcher returns true only when a price and a supplied bin number satisfy the same six-zone rule. That test is the code-match.

When open, high, low, and close all match a chosen pattern-code, counters add one occurrence and classify the following bar as close above open, close below open, or unchanged.

Occurrence share and the next-bar split

Occurrence share is the matched count divided by the bar index. The three next-bar close-open outcomes are percentages of that count. Together those three shares are the next-bar-close-open-split.

The live bar is omitted from that split when a new match has just printed, so the following close-versus-open outcome is not assumed before it exists.

Verbal locations and the live marker

Display text restates each digit as a verbal location against the prior range and the average-true-range bands. A chart marker is drawn only when the live pattern-code equals the selected input.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
11 of 36 in the ATR position sizing track
20061-7 pp.Next on ATR position sizingNormalized average true range as a pre-entry volatility boundNormalized average true range is average true range divided by closing price and multiplied by 100, so the same volatility input can be compared across instruments before a position is sized.
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 filters708 readingsBy year2005108 readings
All 44 readings tagged ATR position sizing
Also on ATR position sizing5 readings
1988Constructing unsigned true range for directional models1989A close-only volatility reverse bound to average true range1989Evaluate an always-in ATR breakout as one procedure1992Variable lookback and average true range as a trend-filter construction1993Constructing skew-adjusted volatility stops and pyramid size