ALMA Session Trading with ATR Risk Sizing

Summary

This script describes a session-filtered trading strategy built around the Arnaud Legoux Moving Average (ALMA). It enters long when price is above the baseline and short when below, subject to selected London and New York trading windows. An optional TTM Squeeze filter can gate entries. Position quantity is calculated from account equity, a chosen risk percentage, and an ATR-based stop distance; the listed settings target a two-to-one reward-to-risk ratio.

The source sets commission and slippage assumptions, but the document includes no strategy report or performance figures, so these settings do not establish profitability. The excerpt ends partway through the exit instructions, preventing a complete review of stop and target implementation. Session timestamps are tied to the Europe/London timezone, and the chosen windows and parameters would need market-specific evaluation. The script is a configurable framework, not evidence that ALMA or the session filter produces an edge.

Key ideas

• Price relative to ALMA determines the long or short directional condition.
• Entries are limited to configurable London and New York sessions, with an optional squeeze filter.
• ATR-based stop distance and a risk-per-trade setting determine position quantity.
• The script specifies commission and slippage assumptions but supplies no backtest results.
• The excerpt is truncated during the exit logic, limiting review of how orders are closed.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.