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 **2ATR** 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