ATR SL Finder

Category: volatility

Calculates dynamic Stop Loss levels based on the Average True Range (ATR) projected from the high and low of the current bar.

Formula

TR = max(High - Low, |High - Close_{prev}|, |Low - Close_{prev}|)  \nATR = \frac{1}{n} \sum_{i=0}^{n-1} TR_i  \nUpper = High + (ATR \times Multiplier)  \nLower = Low - (ATR \times Multiplier)

Inputs

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

See signal primitives and every published strategy that uses ATR SL Finder on WOBR StrategyVerse.