Analysis Techniques & Strategies
|ATRLength||Numeric||10||The number of bars to include in the calculation of the average true range.|
|NumATRs||Numeric||3||Multiplier of the average true range, subtracted from the high of the position to determine the stop value.|
Long exit for use with any long position.
This strategy generates a stop order (to exit a long position) at the highest price since the entry of the trade minus NumATRs (Input) times the average true range over the last ATRLength (Input) bars. This stop value moves up (trails) as the trade progresses.
This is not a strict trailing stop because the stop can actually retrace if the average true range increases. Refer to the EL comments for more information.
Order Name: AtrLX, AtrLX-eb
Related Strategy: ATR Trailing SX
Related Function(s): AvgTrueRange