Multi-Timeframe Failure Signals with ATR-Based Position Sizing

Summary

This intraday strategy detects failure patterns and inside bars on a configurable higher signal timeframe, then supports two entry modes. It can enter when price breaks the higher-timeframe signal bar, or use that break to establish directional bias and wait for a lower-timeframe signal bar to break. Optional filters govern signal types, directional matching, bias expiry, and prior-day high or low bias.

Stops may reference prior bars or signal bars, with a minimum stop distance, an optional maximum risk distance, and a target set as a multiple of stop distance. Contract quantity is calculated from the signal timeframe's ATR and point value to approximate a dollar target for a one-ATR favorable move, subject to a maximum size. The script also restricts chart and signal timeframes, draws day-set reference levels, and forces positions flat near the end of the regular session. The document provides source code but no measured results; sizing, fills, and performance depend on instrument specifications and execution assumptions.

Key ideas

• Failure patterns and inside bars on a higher timeframe establish potential directional signals.
• Entries can use the higher-timeframe break directly or wait for a lower-timeframe signal break.
• Stop placement is configurable, and take-profit distance scales with stop distance.
• Position size uses signal-timeframe ATR and point value to target a configurable dollar move, capped by a contract limit.
• The strategy includes prior-day bias options and an end-of-session flat rule, but supplies no performance results.

Tags

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