ATR Channel Breakouts with Trend Filtering and Risk-Based Sizing
Summary
This strategy uses prior price channels to enter breakouts and a long-term simple moving average to filter direction. Long trades require price above the trend average and a breakout above the entry channel; optional shorts use the opposite relationship. Positions are limited to one at a time. The script includes an initial protective stop set as an ATR multiple of the signal close, with optional ATR trailing stops that only tighten.
Position size targets a chosen percentage of account equity at risk if the initial stop is hit, subject to a maximum exposure cap. Channel exits close longs on a break below the prior low channel and shorts on a break above the prior high channel. A displayed reward-to-risk projection is only a chart aid and is not an exit target. The excerpt provides configuration details, including default channel, average, and ATR lengths, but is truncated before the complete source and gives no backtest results. Risk targets can be exceeded by fees, slippage, or gaps, and sizing may be reduced by the exposure cap.
Key ideas
- Entry channels identify upside and downside price breakouts.
- A long-term simple moving average filters long and short trade direction.
- Initial stop distance is set using an ATR multiple, with optional ratcheting trails.
- Position size targets account risk while an exposure cap limits notional size.
- Projected reward zones are visual aids; channel rules or protective stops trigger exits.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.