ATR

Concept

The ATR Position Manager calibrates stop-loss and take-profit distances to current market volatility using the Average True Range (ATR). Instead of fixed pip distances, levels expand in turbulent conditions and contract when the market is quiet, keeping risk proportional to the environment.

Idea

Volatile markets naturally require wider “breathing room,” while calm markets can be traded with tighter protection. By multiplying the ATR with configurable factors, this manager automatically scales SL/TP and the trailing stop so positions aren’t shaken out by noise in fast markets—and aren’t left too loose in slow ones. In your implementation, the trailing stop mirrors the initial stop logic, updating as new ATR values arrive.

Parameters adapted by the genetic algorithm

• ATR period (e.g., 14): balances responsiveness vs. stability.
• SL factor (e.g., 2.5× ATR): scales downside protection to volatility.
• TP factor (e.g., 5× ATR): sets risk–reward alignment relative to current range.

The Genetic Algorithm will evolve these values per symbol and timeframe — e.g., lengthening the ATR period or increasing the SL factor in whipsaw conditions, tightening them when markets are orderly.

Best suited for

Volatile or regime-changing markets where fixed stops get chopped—ATR sizing reduces premature exits.

Mixed conditions (quiet → volatile → quiet): position sizing adapts automatically.

Less impactful in very stable, low-volatility trends where simpler fixed distances often suffice.

Pros & trade-offs

✅ Volatility-aware protection; reduces noise-driven stop-outs

✅ Consistent behavior across symbols/timeframes with different typical ranges

⚠️ Wider stops in high volatility can reduce position R-multiple if TP isn’t scaled appropriately

⚠️ Very short ATR periods may overreact; very long periods may lag regime shifts