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DJones
05-31-2013, 02:34 PM
What does ATR, limitATR stand for?

Thanks
Pascal
05-31-2013, 03:28 PM
What does ATR, limitATR stand for?

Thanks

ATR means "Average True Range" (You might Google this term)
It is a volatility measure.

limitATR is a parameter of the model. When the ATR is higher than the limitATR, then short trades are authorized. Otherwise, it is better not to short. This condition is met today.



Pascal
DJones
05-31-2013, 03:47 PM
.

When the ATR is higher than the limitATR, then short trades are authorized. Otherwise, it is better not to short. This condition is met today.
Pascal

"This condition" meaning it is better not to short today even though the MF touched the overbought level. Yes?
Pascal
05-31-2013, 03:50 PM
"This condition" meaning it is better not to short today even though the MF touched the overbought level. Yes?

This condition is met today and hence, the model will turn short when the short signal is confirmed, which it is not as of now. It indeed has reversed above the short level and the probability to have a short signal before the close is now lower than 10%.


Pascal