Thursday, February 11, 2010

Average True Range and its effect to various simple systems – PART II

If you revisit my post from 21. January 2010. you may find how five different trend-following swing systems (3 different time-frames) performed during lower market volatility periods, which were defined by 5-day & 10-day ATR.

As we did get some volatility recently (5-day ATR was for total of two days above the mean value – on February 5th and February 8th, 2010) and as several systems I follow have started to perform again closer to their historical averages, I’ve decided to post updated version of the table that was shared in original post.

Trade with trend.


Mekan said...

ATR above the "mean" - please explain.

Alsi Trader said...

Hello Mekan.

At the Close on February 5th and February 8th, 2010 5-day ATR had value greater than mean (average) for 5-day ATR values which I record on daily basis with data from year 2000.

Hope this helps.