ATR Reversion

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.

Testing indicates an average annual return of about 133%. It performs best in the crypto market.

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.

Details

• 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