average true range band signals? vs ATR Trailing stops?

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iceman
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average true range band signals? vs ATR Trailing stops?

Postby iceman » 15 May 2011

I read an article saying ATR band signals over comes some of the weaknesses of ATR trailing stops. Does anybody know where there is an available signal for the ATR Band signals for MC, to test out this theory?

Or has anybody tried this out already, and can give some feed back?

Thanks

Ron

Spaceant
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Re: average true range band signals? vs ATR Trailing stops?

Postby Spaceant » 16 May 2011

I read an article saying ATR band signals over comes some of the weaknesses of ATR trailing stops. Does anybody know where there is an available signal for the ATR Band signals for MC, to test out this theory?

Or has anybody tried this out already, and can give some feed back?

Thanks

Ron

Ron,

What article did you read?


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TJ
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Re: average true range band signals? vs ATR Trailing stops?

Postby TJ » 17 May 2011

ATR bands are basically Keltner Channels.

You can find the code in the PLE.

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furytrader
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Re: average true range band signals? vs ATR Trailing stops?

Postby furytrader » 17 May 2011

That's right - a Keltner channel is simply a band equal to the ATR multiplied by a multiplier above and below the moving average.

If you wanted to exit a long position using the lower keltner channel as a stop, you would use:

If MarketPosition = 1 Then Sell Next Bar At KeltnerChannel(C,20,-1.5) STOP;

The KeltnerChannel keyword is defined as:

KeltnerChannel(Price To Follow, Length of Lookback for moving average and ATR, Multiples of ATR)

So when you write KeltnerChannel(C,20,-1.5),

We're calculating the price that is 1.5 x the 20 period ATR BELOW the 20 period moving average of the close.

If you wanted to calculate the KeltnerChannel above the MA (for example, to get out of a short position on a stop), you'd use 1.5, instead of -1.5.

Hope this helps.


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