Indicador ATR: ¿Qué es y cómo se usa en trading?

gracias , a veces me paso con lo escrito, y no me doy y cuenta que alguien lo escribe o lo copia.
pero bueno es encajar el articulo
Una media histórica de un rango tiene que relacionarse con algo mas

No sirve para dar señales de entrada y salida. sirve como mucho para medir la variabilidad durante un tiempo en relación a otro
Lo de la media exponencial, que por ejemplo se da a 14 días, es para estar dentro de la posición 14 días, como primera aproximación, como primera calibración.

si vas a estar 5 días y empleas el diario necesitas un ATR de 5 días, también como primera aproximación

En intradiario es inservible, para mi, porque durante el dia los precios adquieren muchas tipos de volatilidades según hora y operadores. Esas cosas que se copian son de un mercado de hace 40 años. En una semana se mueve hoy en dia la volatilidad y el volumen de seis meses de entonces.

Para los stops , deben combinarse, con un sistema de tamaños de apuesta, es decir se multiplica la media si es la media exponencial, ese valor que te da, con un sistema de tamaño de la apuesra.

Esto ya lo he explicado en el ultimo articulo de Tamaño de la apuesta 4. Se puede hacer en función de la cantidad que puedes soportar perder, es decir pones primero el stop en función del ATR y luego ves cuantos activos, que numero de acciones, no puedes pasar sin incurrir en un riesgo que no admitirías.

Pero también puedes aumentar el tamaño, por algun algoritmo tipo Kelly por lo bien o mal que lo estas haciendo y establecer otra relación con el ATR.

O puedes hacer lo que yo hago, pasar olímpicamente de cálculos de ATR y coger un numero barras y proyectarla gráficamente con el software que hay ahora hacia la dirección que vas a operar. Al escoger los rangos de un numero de barras, estas tomando como dato unos rangos, que no tienen que sr una media siempre. Pero operas con la variabilidad del mercado de ese momento, lo tienes presente para proyectarte en el futuro, luego si sales en una relación del % de esas cajas, estas haciendo lo mismo. Sin matemáticas ni cálculos. Pero hay que calibrarlo y buscar resultados optimos. Es importante sabe que se hace, y sobre todo que se busca, y que se necesita

No hay una formula, pero hay unas relaciones, unas utilidades, no sirve para todo, una calibración y sobre todo con eso y simulaciones que hagas, apountando datos en variantes puedes empezar a utilizarlo con algo de sentido.

L

De todos los comentarios que haces, quizás estos últimos que añades en ingles son los que más valor aportan ya que muestran aplicaciones del ATR. Como siempre escucho tus sugerencias de mejora y las tengo presente pero algunos adjetivos creo que sobran.
De todas formas puedo entender que tengas otra postura y te invito a que las comentes en un post en tu blog estaré encantado de leerte y en su caso aprender más.
Saludos

How to Use the Average True Range for short-term trading

Using the ATR to assess the price movement is a much better usage of the ATR. Having the ATR act as a profit target and stop loss mechanism is asking too much of the indicator.

Let's take another look at the 5-minute Apple chart when we combine both the ATR and price channels.

Price and Average True Range Spike
Price and Average True Range Spike

The same way stock prices will trade in clear trends, so can indicators such as the ATR. Notice in the intraday chart of Apple, both the ATR and stock price were in channels of sorts. The ATR was in a clear horizontal channel with low volatility, while Apple's stock price stayed in a clearly defined uptrend.

This combination of low volatility combined with a clear up trend let's you the trader know that the up move is measured and can be traded with high confidence.

Then just as the market lulls you to sleep, volatility will rear its ugly head to ruin the parade.

Again, I am not a user or believer of ATR as a standalone indicator for determining stop loss or profit targets when trading. However, one cannot deny the power of combining the ATR with price action to identify a likely change in trend.

Notice how the ATR and price both spike at the same time in the Apple chart. More importantly, notice how the price spikes right through the support line.

In every other touch point of the support line within the channel, the ATR remained in its tight horizontal trading range. As a trader, the violent break and ATR spike should have set off all types of alarms that the easy money was no longer available.

Apple managed to muster up one last push higher, before the stock had a swift sell off taking the stock back to the starting point of the preceding rally.

Someone could make the argument that of course Apple reversed; you could see how quickly the price moved down...no brainer. Well, yes and no. By having the pulse of Apple's volatility over the preceding weeks, you could see the magnitude of the move in terms of volatility that is otherwise unclear by only reviewing the price chart.

In Summary

The ATR is a powerful tool, which I use in both my day trading and swing trading activities. As you further explore the indicator, remember that the real power of the ATR is in its ability to judge the "frenzy" and the "calm" in a security.

To quickly recap, below are the key takeaways from this article:
1.Use the ATR to Gauge the risk of a trade prior to entering the position. If you like the slowness of IBM, you should not trade a $3 dollar biotech.
2.Do not use the ATR for placing stops and profit targets. Again, if you use the ATR to create a profit target right before a massive breakout, you will likely gain a fraction of the true profit potential.

To further explore the ATR, please test-drive your theories using the #1 Market Replay Tool - Tradingsim.com. In addition to the ATR, we have a host of other technical indicators and studies, which you can practice using in a stress free environment with real historical tick data to see what works best for your trading style.

How to Use the Average True Range Indicator

The average true range indicator is a volatility measure of a stock's performance. Below are the key ways traders use the indicator:
1.Gauging a stock's volatility
2.Stop Loss/Exiting a Trade

Gauging a stock's volatility

One of the greatest challenges for new traders is avoiding drawdowns on their account. Drawdowns are what kills a trader's ability to consistently earn over the long haul and creates enormous emotional pain and turmoil.

Drawdowns are a result of two factors: (1) over leverage and (2) extremely volatile stocks. One could argue that if you get number 1 right, the volatility is irrelevant; however, these two elements are not always mutually exclusive.

Early on in my trading career I would have the standard rule of I only want to use "x" amount of dollars or risk "x" amount of dollars per trade. The challenge I would face after entering the position is that the stock would move wildly in one direction or another in ways that I either did not anticipate or were not accustomed.

I quickly realized that I needed a common method for not only identifying great setups, but also a way to rate a stock's volatility.

To this aim, I began researching the average true range indicator.

The problem I had with the ATR is that the indicator's value was different for each stock. Higher priced stocks had higher ATRs versus the low priced momentum players.

In order to find a universal method for assessing the risk, I divided the ATR by the stock price to establish a ratio of the range relative to the stock's price. Using the above chart example, take the 14-period ATR divided by the closing price of Apple on the 5-minute chart (.42/$126.39) = .0033.

On the surface, this .0033 means absolutely nothing. Now, let us apply the same math to a more volatile stock.

ATR XOMA Chart
ATR XOMA Chart

XOMA has a stock price of $3.15 with an ATR of .04 which gives us a volatility ratio of (.04/$3.15) = .0126. .0126 is 3.84 times greater than .0033, which is the volatility ratio for Apple on the same 5-minute time frame. Therefore, a trader would need to give XOMA more wiggle room as the stock is likely to have greater percentage moves up and down.

Now that we've mastered basic arithmetic, let's walk through how to apply this to your trading regimen.

As you begin to analyze the volatility ratio of stocks, you will begin to identify the stocks that have just the right mix of volatility for your trading appetite. Meaning, over time you will identify the right mix of volatility that gives you the returns you want with just the right amount risk.

For you, your volatility range could be .012 - .02. Alternatively, you could be more conservative and want to only trade stocks with a volatility ratio of .0025 - .0050 on a 5-minute range.

The key thing to remember when determining which volatility ratio works best for your trading style is to stick to one time frame. You cannot evaluate the 5-minute volatility ratio and then compare that to a daily volatility ratio, even if it is the same stock. The common thread is the timeframe; otherwise, you are comparing apples to oranges.

Stop Loss/Exiting a Trade

The key to making money in the market is buying a stock for less than what you want to sell the stock. This is a basic concept, but easier said than done.

When attempting to identify a great entry point, a key indicator that a stock is likely in the process of going counter to the primary trend is a drop off in volatility. In theory, this equates to diminishing price movement, which implies that either the buying or the selling interest is tapering.

So, how do we use the average true indicator as an early sign that the stock is likely going to have a change in trend, so we know where to execute a stop loss to exit a trade?

For newbie traders, this explanation will get a bit muddy, but do the best you can to stay with me.

The below chart is of Apple from the time period of late April through early May. Apple had a nice run up from $125 through $134, only to retreat down through $125.

Looking at the ATR, do you have an idea of where to place the average true range stop loss?

ATR Apple Example
ATR Apple Example

In simple terms, you will apply a multiplier to the ATR value to determine your profit and stop loss values. The key of course is making sure your multiplier for the target price is greater than the stop loss, so over a series of trades you have a greater likelihood of turning a profit.

In the Apple example above you would take the ATR value of .29 and then apply for example a 3x multiplier for your target and 1x for your average true range stop. This would provide you a target price of (.29 *3) + $126.47 = $127.34. Conversely, the average true range stop loss for this trade would be $125.6.

On paper, this makes a lot of sense. For every dollar you risk, you can make up to 3 times in profits. Following this model, you could have more losing trades than winners and still be in the black.

However, as I evaluate the use of applying this average true range exit strategy, I see a number of flaws.

For starters, applying a multiplier to the average true range during a dull trading period will limit you in the potential gains as your profit targets are relative to the most recent trading volatility.

In terms of stop loss, if a stock is in a whipsaw-trading period, then you will likely be stopped out due to the tight price action.

If you could only use the ATR to determine when to get in and out of trades wouldn't life be grand? In reality, you will need additional confirmation for what the ATR is telling you and what better confirmation than price?

si alguien se entera de algo que pone ahí y como aplicarlo, que tendría su merito, porque falta todo lo importante, es seguro que le vab a dar por todos lados, como se ponga a multiplicar o disminuir los tamaños de los stops , por lo que salga la media exponencial de un numero de días.

Vamos no tendra ni un 5% de posibilidades de acertar donde se deben poner los stops

Excelente articulo, hoy mas que nunca la operativa debe basarse en el análisis técnico, basta observar un gráfico para darse cuenta a simple vista que tiene comportamientos extraños en determinados niveles
Hoy por ejemplo, el Dax llegado a 12.715 retrocede, algo pasa en esa zona, otra cosa es que seamos capaces de identificarlo y además utilicemos los indicadores adecuados y que deben ser filtrados por la experiencia

Se opera en el articulo como una media. es todo lo que se dice
que en realidad esa es su definición, la media de los rangos.average es media.
Pero no tiene por que ser exponencial
se trata de calibrar eso, de calibrar en función de que. De saber para que se puede usar, que yo creo que para casi nada como relación directa de me da señal entro o salgo.
Y lo del factor para colocar los tops no se hace con una media.

Vamos un desastre

Todo el articulo es una disparate.

Primero el ATR es una medida de algo. Si queremos con una sola medida hacer algo, tendriamos que irnos a su equiparacion con el rango. Tendriamos que irnos a los Markets profile y verlo como una base de distribuciones uniformes,puesto en vertical sobre el grafico, entre ellas la campana de Gauss. Pero como el articulo no va por ahi, vamos al articulo.

Una medida de algo, solo es eso, una medida. Con eso no se hace nada, no sirve para nada. La desviación tipica de una distribución historica , no es la variabilidad o la volatilidad. Es la relación entre medidas lo que nos da un instrumento para operar. Es decir una vez dicho como se mide, lo importante es decir , como se pueden relacionar entre si distintas medidas y como aplicar eso en nuestra operativa.

Eso es justo lo que falta en el articulo

No hay nada de eso.

Luego ya todo es indigerible, porque claro, hay al menos que yo conozca e 5 tipos de diferentes relaciones de medidas s. Y en el articulo todo esto es ATR, con mayusculas. Lo mismo sirve para darle el numero 2 de prenombre y multiplicarlo, que sale de por ahi y sirve para los stops, como sirve para momentum , regresion a la media y no se que mas . El ATR, SIRVE PARA TODO.

Un saludo