ATR Reversion (Python)

ATR Reversion looks for sudden moves measured in multiples of Average True Range (ATR). When price surges beyond the ATR multiplier, the system expects a mean reversion. The strategy opens a trade opposite the direction of the spike and uses a moving average to judge momentum. Positions close on a moving-average crossover or when the volatility stop is hit.

• Entry Criteria: Price move exceeds AtrMultiplier times ATR.

• Long/Short: Both directions.

• Exit Criteria: Price crosses moving average or stop.

• Stops: Yes.

• Default Values:

• AtrPeriod = 14

• AtrMultiplier = 2.0m

• MAPeriod = 20

• StopLossPercent = 2.0m

• CandleType = TimeSpan.FromMinutes(5) [*]Filters:

• Category: Mean Reversion

• Direction: Both

• Indicators: ATR, MA

• Stops: Yes

• Complexity: Basic

• Timeframe: Intraday

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium