Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

ATR Volatility Long Only Trading System

59 sec read

Yet another ATR Volatility based Long only Trading System. ATR Volatility system a mechanical strategy for higher time-frames Written by Tudor Marcelin – Art Invest. Just modified the actual trading system to support trailing stoploss based rather than channel based trading system and added back testing functionality. Tighter trailing stoploss and quicker exit and adaptive revising of trailing stoploss is the one key feature in this trading system especially when trading with higher timeframes.

Nifty Spot

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Indications
1)The green line indicates trailing stop for longs
2)The Red line indicates trailing stop for shorts
3)The Green Arrow indicates longs
4)The Red Arrow indicates shorts

Features
1)Trailing Stoploss based trading system
2)Buy/Sell Signal Added
3)Magnified Market Price at the right top corner
4)Backtesting futures added.

Recommended Timeframes
Preferably higher timeframes like 30min,hourly.etc. Perfectly suits for positional traders who intersted in Long and Exit strategies. And moreover it is a carryforward strategy and not a intra-day strategy though. But work pretty good in high volatile environment.

Backtest Results for Nifty Spot Since March 2009 to July 2014
backtesting

Equity Curve
ATR Volatility Trading System

Drawdown
ATR Volatility  Underwater Equity

Download Backtest report for ATR Volatility Long Only System. Backtesting done for 2 lots of Nifty with 100/leg brokerage included

Steps to Install
1)Download ATR Volatility System
2)Unzip ATR Volatility System.zip to local folder
3)Copy ATR Volatility System.afl file to \\program files\\amibroker\\formula\\basic folder
5)Open Amibroker and Open a New Blank Chart
6)Goto Charts->Basic Charts and apply/drag-and-drop the ATR Volatility System code into the blank chart
7)Bingo you are done. Now you will be able to see the ATR Volatility System indicator with Buy and Sell signals.

Compatibility
Amibroker 5.5 and above

Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

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19 Replies to “ATR Volatility Long Only Trading System”

  1. Can it be done using microsoft excel. If you can convert it to excel, would be great help for me.

  2. hi

    i t seems to be a very nice trading system.can you provide a ninja script for this?

    thanks
    sayantan

  3. hi

    what is the difference between max drawdown and drawdown?

    thanks
    sayantan

    1. Max Trade Drawdown talks about (Individual trade level) worst trade done by your trading system

      Max System Drawdown talks about the money you lost from the peak(Portfolio Level) due to sequence of bad trades and it is generally represented in percentage. For example 20% drawdown represents at some point of time your trading system lost 20% of the portfolio from the peak.

  4. Hi,

    Why I cannot see the results in a report in my amibroker?
    When I run an Analysis it comes up with zero trades.
    What am I doing wrong?

    Thanks in advance,

  5. Dear Rajendran.. It looks great.. How do I compile it for lower version of Amibroker. I use Amibroker 5.3 and for some reasons e.g. tooltip etc, I don’t plan to upgrade it.. Can you please help?

    SR..

  6. i wish to have an algo system based on atr volatility long only system excutable using amibroker .i wish to know the cost

  7. I am using Ami 5.20 . Copy paste of this formula reflect syntax error as “”Ln:.187 , Col:.17 , Error:30 Syntex error “” and cursor blinking at the end of last line ‘ _section_End (); ”
    Please guide.

  8. Many thanks for the code, I’m receiving 2 errors, variable ‘rv’ and ‘sv’ used without having been initialized.

  9. I also got response variable ‘rv’ and ‘sv’ used without having been initialized after running analysis.

    1. Make sure you are using the recent version of Amibroker or else you add the following codes to the program at the top

      rv = null;
      sv = null;

  10. says

    Today at 11:39 pm (4 minutes ago)

    Your comment is awaiting moderation.

    Sir I want to a simple afl for ncdex witch combination is ……….. 3 13 34 ema cross over super trend 2.5 x10 when 13 34 ema cross and candel close then signal generate up or down and find retresment is auto generated up /down 0 23 38 62 78 taraste 127.2 161.8 227.2 261.8 time frame daily / hourly ami broker 5.6 pl help me

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