ATR Trailing Stop

A trailing stop based on Average True Range to keep trades in a trend.

Usage

Use as a dynamic trailing stop that widens in volatile markets and tightens in calm ones, automatically adjusting stop distance to current market conditions.

Background

ATR Trailing Stop uses Average True Range to set a stop distance that scales with market volatility. During high-volatility regimes the stop moves further from price to avoid premature exit; during low-volatility regimes it tightens to lock in more profit. It is one of the most robust mechanical stop methods in systematic trading.

Parameters

• period (default: 10): ATR period
• multiplier (default: 3.0): ATR Multiplier

Formula

[ Stop = P_{high} - (Multiplier \times ATR) ]

Source