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