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Research method

ATR position sizing

ATR position sizing is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.

Output
Research filter
Input
Account equity, volatility, stop distance and exposure
Horizon
Before entry and throughout the position
Best use
Keep a loss or exposure decision bounded before a trade is placed.

Registry evidence level: replicated. This is a navigation record, not a performance claim.

  • Input: Account equity, volatility, stop distance and exposure.
  • Output: filter.
  • Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph3

How the method is built, and where it has been read

Depends on

Read in the archive24 of 48 readings

1988Constructing unsigned true range for directional modelsIndicators and filters1989Evaluate an always-in ATR breakout as one procedureTrend and mean reversion1989A close-only volatility reverse bound to average true rangeTrend and mean reversion1991Session-fitted bars and average-true-range risk boundsSystem design1992Variable lookback and average true range as a trend-filter constructionIndicators and filters1993Constructing skew-adjusted volatility stops and pyramid sizeStops and loss limits1993A shared harness for trend-filter constructionIndicators and filters1993A random-walk index that uses true range as its scaleIndicators and filters1998Finish a trend with a volatility trail, wave permission, and a slower-frame vetoTrend and mean reversion1999A trend filter that switches tactics and scales ATR targetsIndicators and filters1999Evaluating a long-only breakout system with a volatility stopEntry and exit rules2001Constructing an elastic volume-weighted average and volatility bandsIndicators and filters2001Filter higher lows with linear regression, then judge the exitEntry and exit rules2002Constructing volatility stops from average true range and parabolic SARStops and loss limits2003A Mechanical trading system is a maintained procedure, not only an entry triggerSystem design2004When a late trend bends: test the pause before sizing a reversalTrend and mean reversion2005Construction of a volatility-bounded long entryIndicators and filters2005Six-zone encoding of open, high, low, and closeIndicators and filters2006Normalized average true range as a pre-entry volatility boundIndicators and filters2006Percent-scale average true range for comparable rangeIndicators and filters2006Chandelier exits, ATR position sizing, and trailing stopsStops and loss limits2007Constructing a rule-based entry with Relative Strength Index and ATR position sizingEntry and exit rules2008Constructing a zero-lag TMA and heikin-ashi crossover as a complete rule setEntry and exit rules2010Use the session-range percent stop as a pre-trade filterStops and loss limits
This registry entry describes a research method. It is not investment advice and does not make a performance claim.