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.
- 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