ATR Filtered for NNFX trading. A classic Average True Range (ATR) indicator with a simple feature to filter out the spikes. The ATR value is the tool to determine your TP and SL on daily time-frame, specifically in the NNFX way of trading.
VP mentions in his podcast that when the ATR spikes up you have 2 options: 1. wait 14 candles for the ATR to normalize, 2. use the ATR value prior to the spike. ATR spikes are easy to spot (thus easy to exclude) for an itraday flash crash. On the other hand when volatility increases over several candles (as in the Covid-19 shock) it can be difficult to determine which ATR value to base your TP/SL on. In definition of standard deviation, 95.4% of the value will fall within the 2 sigma bands. Therefore the rest 4.6% can be filtered out as an extreme value (a spike).
The ATR in this indicator will plot the standard ATR value in normal condition, then when the ATR spike happens it will stay at the highest value at the point, when the ATR exceeded its 2 sigma band. The filtering will reset when the ATR comes back down below the extended highest value.
*Disclaimer: Use at your own risk. I am not a programmer, just another guy trying to beat this game. Let's go get it.
2 questions :
1/ would you be so kind to remind me where VP mentions this ? If this is in the main ATR video then I'm very surprised because I watched it many times and I never heard about this. So I guess it's somewhere else (or I lack attention :p).
2/ Can I include your trick in my tool ? I'll mention you in the source (see the link below)
Well 3 questions :
3/ Did you have the opportunity to test it against the classical ATR, and if yes did it improve your results ?
This ATR modification of yours is funny :)
2 questions :
1/ would you be so kind to remind me where VP mentions this ? If this is in the main ATR video then I'm very surprised because I watched it many times and I never heard about this. So I guess it's somewhere else (or I lack attention :p).
2/ Can I include your trick in my tool ? I'll mention you in the source (see the link below)
Well 3 questions :
3/ Did you have the opportunity to test it against the classical ATR, and if yes did it improve your results ?
Cheers.
have a look if you have time :
tradingview.com/script/faXhL0vl-NNFX-Baseline-Tool/