StockSharp.Strategies.0084_ATR_Exhaustion.py

ATR Exhaustion Strategy (Python Version)

A sudden surge in Average True Range indicates expanding volatility that can quickly fade. This strategy looks for ATR readings that spike above a moving average by a configurable multiplier. When coupled with a reversal candle it aims to capture the subsequent contraction.

Testing indicates an average annual return of about 139%. It performs best in the stocks market.

Each bar updates ATR and its own average. If ATR exceeds the average by the multiplier and the candle closes opposite the prior move, a trade is opened. The stop-loss uses an ATR multiple as well, anchoring risk to current volatility levels.

Positions typically rely on the stop for exit, seeking a swift retracement after the volatility burst subsides.

Details

• Entry Criteria: ATR spike above average with reversal candle.
• Long/Short: Both.
• Exit Criteria: Stop-loss.
• Stops: Yes, ATR based.
• Default Values:
  • AtrPeriod = 14
  • AtrAvgPeriod = 20
  • AtrMultiplier = 1.5
  • MaPeriod = 20
  • StopLoss = 2%
  • CandleType = 5 minute
• Filters:
  • Category: Reversal
  • Direction: Both
  • Indicators: ATR, MA
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium