ATRTS (futures)

The Average True Range (ATR) indicator measures volatility in the price of a security. It was developed by J. Welles Wilder Jr. and introduced in his 1978 book, "New Concepts in Technical Trading Systems." The ATR calculation takes into account the high, low, and closing prices for a given period, typically 14 days, to generate an average range of price movement.

Traders can use ATR to determine the level of risk associated with a particular trade. When the ATR value is high, it suggests that the security is experiencing greater fluctuations in price, indicating higher volatility and potential risk. Conversely, a low ATR value indicates lower price movement and less potential risk.

By using ATR to set trailing stops, traders can automate their buy and sell signals based on changes in volatility. To calculate the upper and lower limits using ATR, you can use the configurable ATRX multiplier. The resulting values are known as ATR short and ATR long, respectively. Traders can then use these limits to determine when to enter or exit a trade based on changes in volatility. ATR does not provide information about price direction, it is strongly recommended to use an additional momentum indicator like RSI.

How to work with it

This page explains how futures trading operates with the ATRTS method. The triggers for trades differ slightly from those used in spot trading.

Gunbot opens a single position, either long or short, and closes it when the target is met. If the stop is triggered before closing the trade at a profit, Gunbot will place a stop order at a loss. After closing a position, Gunbot will seek to open a new long or short position. Make sure you comprehend these procedures before using Gunbot for futures trading with the ATRTS method.

Using the configurable ATRX multiplier for ATR, a lower and upper trailing stop are calculated.

• The lower limit, called ATR short, is calculated by substracting the result of ATRX from next rounds bid.
• The upper limit, called ATR long, is calculated by adding the result of ATRX to next rounds ask.

Buy method conditions

A long position is opened when the ask price crosses over ATR long value from the previous round.

Sell method conditions

A short position is opened when the bid price crosses under ATR short value from the previous round.

Conditions to close

A position is closed when the desired ROE is reached.

Conditions to stop

A position is closed at loss when its stop is reached.

ATRTS strategy settings (futures)

Long Settings

Label	Config Parameter	Default Value	Detailed Description
Buy enabled	BUY_ENABLED	true	When enabled, this setting allows you to place buy or long orders in your trading strategy. This can be toggled on or off based on your trading needs.

Short Settings

Label	Config Parameter	Default Value	Detailed Description
Sell enabled	SELL_ENABLED	true	This setting allows you to place sell or short orders. You can enable or disable this feature depending on your trading approach.

Indicators

Label	Config Parameter	Default Value	Detailed Description
Period	PERIOD	15	The period parameter specifies the \"size\" of the candlesticks, in minutes, used for indicator calculations. Ensure you select a value supported by your exchange platform. The default setting is 15 minutes, which is typically suited for short to medium-term trading analysis.
ATRx	ATRX	0.5	The ATRx value is a multiplier used in calculating the ATRTS trade limits. It adjusts how the Average True Range (ATR) affects the trade signal thresholds. A higher multiplier increases the range, potentially leading to fewer, but possibly safer trades. The default value is set at 0.5, providing a balanced approach to range calculation.
ATR period	ATR_PERIOD	14	This setting determines the number of candles used to calculate the Average True Range (ATR), a measure of market volatility. The default is set to 14 candles, which is a common standard for many trading strategies that aim to gauge short to medium-term market trends.