Using ATR as hard stop

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Using ATR as hard stop

Postby rjay » Fri May 29, 2015 2:45 pm

When I enter a position I like the idea of using ATR as a hard stop. Say 3 * ATR(20). But the problem is that if have an exit rule of close < ($entryprice - atr(20) * 3) (I believe) that ATR figure is being recalculated every day meaning that my stop would actually be moved further away in the event of increased volatility.

That's not what I want - how can I reference the ATR(20) value on the entry date ? Would close < ($entryprice - ref(atr(20), -$daysheld) * 3) work ?
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Re: Using ATR as hard stop

Postby Overload » Fri May 29, 2015 5:13 pm

Yes, I believe your solution should work:

close < ($entryprice - ref(atr(20), -$daysheld) * 3)

Normally $daysheld is not allowed in formulas, but an enhancement was made to ref() to specifically allow it to be used in that formula. So, yes, I believe that should work.

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