All posts tagged with "True-Range".
To measure price movements, it’s essential to consider volatility. Daily returns alone lack meaning without context; only by analyzing recent price history can we understand the true significance of a price change.
What is the probability that a day’s True Range (TR) will exceed a given multiple of the Average True Range (ATR)? By analyzing ATR multipliers from 1x to 2x over five years of S&P 100 data, this study aims to identify the multiplier that best balances effective stop-loss placement with risk management and market volatility.
Risk management is key to successful trading, and stop-losses play a vital role in knowing when to exit. While there’s no one-size-fits-all level, using the Average True Range (ATR) allows for dynamic stops that adapt to market volatility.