The market for IWM closed at $83.06 which is today's entry price, the 8th time the robot likes this entry price to my knowledge. I actually entered at that price on July 20th and now my stop is $81.56. What I still don't understand is that if I doubled my position today, I would have 1/2 stop at $81.56 and 1/2 stop at a lower $81.38.

The answer I will get is presumably based on the IR of 3 because ATR is about 30 basis points lower today than it was on the day of purchase. I have been associated with a risk management co in my past life for 12 years and I would argue that ATR alone as a measure of risk is imperfect as the very short term historical risk of IWM may have dropped in 5 days but the real risk of the instrument has remained essentially the same. Thus whatever ATR (x) is being used is probably too short and perhaps there should also be a longer time frame used to arbitrage the evaluation of risk when we have the situation that I am describing.

This is none of my business but the quant in me believes the robot should be aware 'more human" :_)

Pierre Brodeur