ATR position sizing · TradersWeek

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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.

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

Often reviewed together

Trend filter4 readings

Often reviewed together

Trailing stop4 readings

Often reviewed together

Average Directional Index4 readings

Read in the archive4 readings

1989A close-only volatility reverse bound to average true rangeTrend and mean reversion 1993Constructing skew-adjusted volatility stops and pyramid sizeStops and loss limits 1999Evaluating a long-only breakout system with a volatility stopEntry and exit rules 2002Constructing volatility stops from average true range and parabolic SARStops and loss limits

This registry entry describes a research method. It is not investment advice and does not make a performance claim.