ATR - Is It Worth Anything As A Breakout Filter?
Posted: Mon Mar 25, 2019 3:06 pm
I'm currently conducting an optimization test on whether or not the ATR can filter out bad breakout trades due to low volatility.
My initial premise was that if the ATR is under 2 pips on 1 minute bars, that would be a good way to filter out trading during times of low volatility.
My suspicion is that low volatility makes for poor trading conditions, especially during break outs.
My thinking is that Instead of making trading hour filters, just let the ATR filter out the low volatility time periods.
Your thoughts???
I will post my results when I have them.
My initial premise was that if the ATR is under 2 pips on 1 minute bars, that would be a good way to filter out trading during times of low volatility.
My suspicion is that low volatility makes for poor trading conditions, especially during break outs.
My thinking is that Instead of making trading hour filters, just let the ATR filter out the low volatility time periods.
Your thoughts???
I will post my results when I have them.