ATR SL Finder

Category: volatility

Calculates dynamic Stop Loss levels by projecting a multiplied Average True Range (ATR) above the high and below the low of the current candle.

Formula

TR = max(High - Low, |High - Close[1]|, |Low - Close[1]|)\nSMA_{TR} = \frac{1}{N} \sum_{i=0}^{N-1} TR_i\nUpper = High + (SMA_{TR} \times Multiplier)\nLower = Low - (SMA_{TR} \times Multiplier)

Inputs

• Length (default: 14)
• Multiplier (default: 1.5)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.