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I use Ref (atr(), -1)
On 12/5/2009 9:04 PM, droskill wrote:
> I've got a system that uses the following for sizing:
>
> Size = -2 * BuyPrice/1.5 * ATR(7);
>
> Now this works great for backtesting - takes the buy price (the open in this case) and puts an ATR-based sizing to it that uses a max of 2% risk.
>
> But the issue I run into is that when it comes time to trade, if there has been any significant change in the ATR value (at the open), it can be difficult to calculate on the fly. Now, I can approximate this by using the ATR(7) from the prior day.
>
> So a general question - is anyone else using similar code and how do you deal with the ATR value changing on the open?
>
> Thanks!
>
>
>
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