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