Super ATR Volatility
Last updated
Last updated
The Super ATR Volatility Strategy identifies key opportunities in the market by analyzing volatility patterns and price trends. It combines an assessment of volatility changes with trend confirmation to signal optimal entry and exit points.
This strategy is highly effective during periods of increased market uncertainty and fluctuating prices. It uses ATR (Average True Range) as the core indicator, adjusting position sizing to manage risk based on market conditions.
The results illustrate the monthly and annual returns of the Super ATR Volatility Strategy tailored for various asset classes, each designed to reflect the unique characteristics of the indices they track. We used leveraged ETFs to track these indices, but the strategy can be applied across various asset classes.
This strategy has shown significant results across multiple indices, including Nasdaq, S&P 500, and Russell 2000. The strategy is well-suited for trend following and capturing momentum of indices. We have powerful filtering systems and a detailed dashboard for better user experience, as illustrated by the charts below.
Let’s dive into how to use this strategy effectively and explore the functionality of each feature in the user interface menu once you've added the strategy to your chart. This guide will help you understand each setting, empowering you to make the most out of the strategy's capabilities.
Start Filter: Select the start date and time for the backtesting period. This allows you to define when you want your strategy to begin calculating results. Click on the calendar icon to pick your desired start date and adjust the time to fine-tune the beginning of your test period.
End Filter: Choose the end date and time for the backtesting period. Setting an end date allows you to limit your testing to a specific timeframe, which is useful for analyzing performance over particular market conditions. Use the calendar icon to select the date and set the time for more precision
Trade Direction: Select whether the strategy will focus on Long, Short, or Both directions. This determines the type of trade the strategy will prioritize.
Length of ATR (fast) for Diversion Test: Set the period for the fast Average True Range (ATR) calculation. This fast ATR value is used to detect quick changes in volatility, helping identify potential trade entry points.
Length of ATR (slow) for Diversion Test: Define the period for the slow ATR calculation. The slow ATR offers a broader view of volatility and is useful for spotting longer-term trends. The combination of fast and slow ATRs helps in assessing price diversions.
Confidence Interval: Choose the confidence level for this strategy's statistical tests. A higher confidence interval (e.g., 99%) reduces the likelihood of false signals but may lead to fewer trades. This setting helps tailor the strategy’s risk tolerance.
Length of Drift: Set the period for tracking the "drift" or trend direction. This parameter helps the strategy identify and confirm trend continuations, assisting in filtering out false signals.
Enable EMA Filter: Check this box to activate the EMA (Exponential Moving Average) filter. When enabled, the strategy will consider both short and long EMA values to refine entry and exit signals, helping filter out noise and improving accuracy in trend identification.
EMA Filter for Short: Set the EMA period used specifically for short trades. This value will determine the sensitivity of the EMA to market movements when the strategy is looking to enter or exit short positions. Higher values provide smoother trends, while lower values are more responsive to recent price changes.
EMA Filter for Long: Set the EMA period used for long trades. Similar to the short filter, this value controls the EMA’s responsiveness for long positions. Choose a period that aligns with your desired sensitivity to price movements for long trades.
EMA Source: Select the data point used to calculate the EMA. Options typically include Close, Open, High, or Low prices. By default, the close price is often used, but you can adjust this depending on your preference for price tracking.
Enable RSI Filter: Check this box to activate the RSI (Relative Strength Index) filter. Enabling this filter allows the strategy to use RSI levels as a condition for entering trades, adding an additional layer of control based on market momentum.
Higher Band RSI: Set the upper RSI threshold. The strategy will not enter new trades if the RSI is above this level, helping to avoid entries in overbought conditions. This can prevent long entries when the market may be losing momentum.
Lower Band RSI: Set the lower RSI threshold. The strategy will avoid entering trades if the RSI is below this level, avoiding entries in oversold conditions. This setting helps prevent taking short positions when the market is potentially about to reverse upward.
RSI Timeframe: Choose the timeframe used for calculating the RSI. This setting defines how often the RSI is recalculated, allowing you to tailor the indicator sensitivity to match different market conditions. Typical options include 1 day, 4 hours, or 1 hour.
RSI Source: Select the price data used to calculate the RSI, such as Close, Open, High, or Low prices. The default is usually set to the closing price, but this can be adjusted based on your preferred price action analysis
Enable MACD Filter: Toggle this option to activate the MACD (Moving Average Convergence Divergence) filter, adding an additional condition for entering trades based on MACD signals. When enabled, the MACD filter can be used to confirm or adjust trade entries based on trend direction.
MACD Conditions: Choose between two MACD conditions:
MACD: This setting uses the traditional MACD signal, where an upward crossover of the MACD line above the signal line indicates bullish momentum. Selecting "MACD" helps to filter entries that align with a positive trend in the asset.
Inverse MACD: This setting uses the inverse MACD signal, where a downward crossover of the MACD line below the signal line can indicate a bearish trend. The inverse MACD filter can be useful for identifying potential reversals or for staying in trades longer when a downtrend is ongoing, even if short-term conditions suggest otherwise.
MACD Timeframe: Set the timeframe for the MACD calculation. Choosing a higher timeframe allows you to capture the broader trend, while a lower timeframe reflects shorter-term movements. This flexibility lets you adjust the MACD filter based on whether you want to follow a long-term or short-term trend.
The MACD filter is a versatile tool in the strategy, offering options to either confirm positive momentum through the traditional MACD setting or detect downward trends with the inverse MACD. It helps optimize entry points by aligning trades with the prevailing market trend, reducing entries during unfavorable conditions.
Enable Linear Regression Filter: Toggle this option to apply a Linear Regression filter to your strategy. This filter helps smooth out price data and can provide an additional layer of trend confirmation based on the linear regression line.
Linear Regression: Set the period length for the Linear Regression calculation. A longer period (e.g., 50 or more) generally captures the broader trend, while a shorter period (e.g., 10-20) may reflect more immediate price changes. Adjust this value based on the type of trend you want to capture in your strategy.
Enable HMA Average Filter: This option allows you to apply the Hull Moving Average (HMA) filter to your strategy. When enabled, the HMA filter screens signals based on the specified HMA settings, filtering out trades that don’t align with the defined trend criteria.
HMA Average: Set the HMA period here. This value determines the responsiveness of the HMA line. A higher value (e.g., 350) captures longer-term trends, while a lower value will be more reactive to short-term movements.
Hull Moving Average (HMA) Long and Short: Choose the directional filtering of the HMA. When set to "Short," only short positions will be filtered; "Long" applies the filter only to long positions; selecting "Both" filters signals in both directions. Specifically, this filter will exclude signals that fall below the HMA window for long trades and those above the window for short trades, ensuring trades align with the desired trend direction.
T3 Average: Toggle this option to enable the T3 Average filter, which is another smoothing indicator that can reduce noise in price data and highlight trends effectively.
T3 Average Length: Specify the length for the T3 calculation here. Longer lengths will make the T3 line smoother and more trend-oriented, while shorter lengths are more reactive to price fluctuations.
Enable ADX Filter: This option allows you to filter trades based on trend strength using the ADX indicator. When enabled, the strategy will only generate trade signals if the ADX value meets the specified criteria, helping to avoid trades in weak or non-trending market conditions.
DI Length: Set the length of the directional movement index (DI) used in the ADX calculation. A shorter DI length (e.g., 7) is more sensitive to recent price changes, while a longer DI length smooths out short-term fluctuations.
ADX Smoothing: Specify the smoothing period for the ADX calculation. Higher values add more smoothing, reducing sensitivity to rapid trend changes and focusing on more sustained trends.
ADX Threshold: Define the minimum ADX level required for the strategy to take trades. For example, setting the threshold at 23 means that trades will only be executed when the ADX is above this level, indicating a strong trend.
ADX Timeframe: Select the timeframe for the ADX filter. This determines the interval at which the ADX calculation is applied (e.g., 1 day).
Enable Time-Of-Day Window: Check this option if you want the strategy to be active only during a specific time period each day. This is useful for traders who wish to limit trades to certain market hours.
Select Local Time Zone: Choose the time zone relevant to your trading. This will ensure that the specified time window aligns with the correct market hours in your local time.
Time Filter: Set the start and end times for the trading window. For example, if you set the time filter from 07:00 to 09:00, the strategy will only look for trade opportunities within this time frame. This can help focus the strategy on high-volatility periods or specific market sessions.
This section allows you to configure your exit conditions, stop loss, take profit, and target parameters to manage risk effectively.
Entry and Exit Conditions: Select the preferred criteria for initiating and closing trades. Options include:
ATR, SL/TP, Direction Change: Combines ATR-based trailing stop loss, fixed stop loss/take profit, and direction change for versatile exit strategies.
ATR: Use the Average True Range (ATR) as a trailing stop mechanism.
SL/TP: Employ traditional Stop Loss and Take Profit percentages.
Direction Change: Exits the trade based on directional trend changes.
ATR Multiplier for Trailing Stop Loss: Sets the multiplier for ATR when using it as a trailing stop. A higher multiplier gives trades more room, while a lower multiplier tightens the stop.
Length of ATR for Trailing Stop Loss: Defines the period over which ATR is calculated for the trailing stop loss, adding flexibility to the stop distance.
ATR First Level Profit (Long/Short): The initial profit target based on ATR for both long and short positions, allowing for incremental profit-taking.
Stop Loss (%) for Long/Short: Sets a fixed percentage stop loss for long and short trades, limiting the maximum loss per position.
Take Profit (%) for Long/Short: Defines a fixed percentage for taking profit, locking in gains when the price reaches this level.
The Dashboards section provides an overview of your strategy's performance and allows you to customize the display settings.
Dashboard Size: Select the preferred size for your dashboard display. Options include:
Small: Compact view, suitable for limited screen space.
Medium: Balanced view for a moderate amount of detail.
Large: Full view with the maximum amount of information displayed.
Performance Summary: Enable this option to display an overall summary of your strategy’s performance, including key metrics such as net profit, drawdown, and win rate.
Monthly Performance: Enable this option to display the monthly breakdown of performance, allowing you to view how the strategy has performed each month.
These options provide a flexible way to monitor and analyze your strategy's effectiveness and can be adjusted to suit your information preferences.
The Properties panel allows you to customize the core trading parameters for the FomoCross Momentum Strategy. Here’s a breakdown of each setting:
Initial Capital: Set the starting capital for the backtest. This is the amount the strategy will use to simulate trades.
Base Currency: Select the base currency for calculations and reporting. By default, it’s set to your account's currency.
Order Size: Specify the size of each order, either as a fixed amount or as a percentage of the account’s equity.
Pyramiding: Define the maximum number of orders that can be layered or "pyramided" in the same direction (long or short) before new entries are restricted.
Commission: Enter the commission rate, either as a fixed amount or a percentage. This will affect the backtest results by deducting this rate per trade.
Verify Price for Limit Orders: Set the maximum number of ticks away from the target price at which a limit order will still be executed.
Slippage: Define slippage in ticks, representing the expected difference between the desired entry/exit price and the actual execution price.
Margin for Long/Short Positions: Specify the margin requirements as a percentage for both long and short trades. This simulates leveraged trading conditions.
Recalculate: Choose when to recalculate the strategy during the backtest. Options include:
After order is filled: Recalculates only after each order execution.
On every tick: Recalculates on each market tick for more precision.
Fill Orders:
Using Bar Magnifier: Provides higher accuracy by evaluating each bar’s intraday data.
On bar close: Executes trades only at the close of each bar.
Using standard OHLC: Uses the open, high, low, close prices of each bar for order execution.
This panel helps you simulate real-world trading conditions by adjusting key parameters, making your backtest results more reliable and tailored to your strategy requirements.
The sThe strategy uses ATR (Average True Range) as the core metric to detect significant price volatility, allowing it to identify optimal entry and exit points based on market conditions. This ensures that traders capitalize on volatility spikes while reducing risk exposure during calmer periods.
To protect gains during volatile market swings, the strategy uses a trailing stop-loss based on the ATR indicator. This ensures that profits are locked in as the market moves in the trader’s favor while minimizing losses if the trend reverses.
The strategy integrates a secondary trend confirmation filter, ensuring that volatility-based entries align with broader market trends. This helps avoid false signals and provides traders with higher confidence in trade direction.
TrTraders can fine-tune the ATR period, position sizing parameters, and stop-loss rules to suit their trading style, allowing them to adapt the strategy to different market environments and asset classes.
Trade entry and exit points are clearly marked on the chart with easy-to-read markers, making it simple to follow and execute trades. The visual component enhances the user experience, providing clarity and ease of use for traders at all skill levels.
