StockSharp.Strategies.0224_ATR_Mean_Reversion.py

ATR Mean Reversion Strategy (Python Version)

The ATR Mean Reversion strategy measures how far price travels away from a moving average relative to recent volatility. The Average True Range (ATR) provides an adaptive gauge so thresholds expand during active periods and contract when markets quiet down.

A long setup occurs when price closes below the moving average by more than Multiplier times the ATR. A short setup appears when price closes above the moving average by the same distance. Positions are exited once price returns to the moving average.

This technique is intended for short-term traders expecting prices to revert after excessive moves. The ATR-based stop keeps risk proportional to current market conditions.

Details

• Entry Criteria:
  • Long: Close < MA - Multiplier * ATR
  • Short: Close > MA + Multiplier * ATR
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit when close >= MA
  • Short: Exit when close <= MA
• Stops: Yes, stop-loss around 2*ATR by default.
• Default Values:
  • MaPeriod = 20
  • AtrPeriod = 14
  • Multiplier = 2.0m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: MA, ATR
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium