ATR-Scaled Parabolic SAR for Volatility-Adaptive Stops

Summary

This method adapts a Parabolic SAR trailing level using Average True Range (ATR). It identifies the current trend direction, tracks an extreme price point, and updates an acceleration factor using the standard start, increment, and maximum parameters. The SAR level then advances toward the trend’s extreme point by a step scaled by ATR. A price crossing the SAR level marks a trend change and provides a stop or reversal signal; entries can be set for a selected trend bar.

The intended benefit is a stop that responds to changing volatility, tightening more quickly as ATR grows. The document also cautions that an overly sensitive level can be breached prematurely and says ATR settings need testing. Parameters include a 14-period ATR and configurable acceleration values. Published settings describe a BTC/USDT futures test over roughly a month, but give no performance results. In the supplied implementation, ATR scales the SAR movement while the acceleration factor follows the usual fixed-increment rule; the code does not show ATR directly changing that factor. This distinction matters when reproducing or assessing the method.

Key ideas

• The method scales Parabolic SAR movement by ATR to reflect changing volatility.
• Trend direction and an extreme price point determine the trailing SAR level.
• Crossing the SAR level signals a trend switch, and entry timing can depend on the number of trend bars.
• The document warns that sensitive stops may be triggered prematurely and that ATR settings require testing.
• Published BTC/USDT futures settings provide no performance results.

Tags

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