Great ideas Rajesh and Puneet, range expansion and contraction like volatility is mean reversing meaning large rage begets small range and small range gives rise to large range. We can identify periods when ATR 10 is say less than 30% of ATR 50 and that will alert us about impending explosion in daily range and we can position ourself or even work on a system taking advantage and 38% of ATR 10 added to /subtracted from open breakout system with open + ATR 10 as target.

Look forward to various ideas from other friends…

Best Wishes,

Smart_trade

Hello Sir

This idea is entirely Puneet's, so no credit to me for that :).

I am sure Puneet will take your suggestions forward and something great will come out of it.

You are aware of my current preoccupations, so for me nothing beyond the Flow Methods for now.

Thanks & Regards

Rajesh

Yes Rajesh..dont close it.

Here is an idea u can test and let us know how it works (intraday system as such)

Take the ATR 10 days….mutiply it with a Fibonacci ratio of 0.382(can use a lower ratio of 0.28 also). Lets call this F. (Means if the ATR is 100….F is 38.2)

Now Next day Take the opening value of the market (Open value of first 5 min bar). Deduct this F from the Low and add F to Highs. There u get your Sell and buy points respectively. Buy/Sell only if they trigger beyond the first bar….not trading anything for the first 5 min.

Thereafter….book profits as per the system you have described above…..keeping stops at the opening bar high(in cae of Shorts) or Low(in case Long).

Logic of the above system is….if its going to hit your ATR target….its bound to pass through F…….

What say…..

Puneet

Great ideas Rajesh and Puneet, range expansion and contraction like volatility is mean reversing meaning large rage begets small range and small range gives rise to large range. We can identify periods when ATR 10 is say less than 30% of ATR 50 and that will alert us about impending explosion in daily range and we can position ourself or even work on a system taking advantage and 38% of ATR 10 added to /subtracted from open breakout system with open + ATR 10 as target.

Look forward to various ideas from other friends…

Best Wishes,

Smart_trade

]]>Seems you got the concept I presented upside down. I am sorry for the miss-communication, a lack on my part.

The point of booking profit at the range indicated by ATR 10 is that the probability of price going beyond that point is v v low.

It does not imply high probability of price going there. Hope am able to communicate it properly now.

Thanks

Rajesh

Well… I will answer any queries that come up regarding my use of the concept.

Thanks

]]>Thanks for your idea.

I have tested the use of average daily range, and am quite happy with its performance also using it in my intraday trading as mentioned above.

As for developing new system, I am really not in a position to take that up now.

But I am sure many will be quite interested in taking up the task.

Thanks

Rajesh

Here is an idea u can test and let us know how it works (intraday system as such)

Take the ATR 10 days….mutiply it with a Fibonacci ratio of 0.382(can use a lower ratio of 0.28 also). Lets call this F. (Means if the ATR is 100….F is 38.2)

Now Next day Take the opening value of the market (Open value of first 5 min bar). Deduct this F from the Low and add F to Highs. There u get your Sell and buy points respectively. Buy/Sell only if they trigger beyond the first bar….not trading anything for the first 5 min.

Thereafter….book profits as per the system you have described above…..keeping stops at the opening bar high(in cae of Shorts) or Low(in case Long).

Logic of the above system is….if its going to hit your ATR target….its bound to pass through F…….

What say…..

Puneet

]]>This is a lovely thread, i'm absolutely sure many people have many ideas swirling in their heads, a matter of time before more questions come up.

Thanks for posting all that information!

Regards,

MJ-

I request the forum moderators to please close this thread.

I have shared the concept as I found it useful and have nothing more to add to it for the time being.

Thanks and Regards

Rajesh

I believe the forum rules does not allow us to post AFL or codes of any kind. So plz edit your above post accordingly.

This is not an attempt to design a new system. The use of ATR is to just help us be aware of the daily range averages.

Having the level in mind while trading the intraday flow methods gives me a place to book the partial profits, nothing more to it.

I wish you success in your attempt to further refine and optimize it.

Thanks and Regards

Rajesh

PS: there is a small error in the code, will send you a PM

]]>Thanks removed it !

Rgds, Nisha

]]>Values for Monday

]]>It is Current day of trading's (Today) value and Previous day of trading's (Yesterday) value we use right?

It is not Yestday's value and then today's value for projecting tomorrow's value right?

Hello Nisha

Let me post an example here, hope it will be clear then.

Lets say we want to look at the possible target zones for Monday.

Now after fridays close, we get the value for ATR-10 for nifty lets say it is 80 points.

So we assume that the current volatility will be same and we expect to get 80 points of range on Monday also

Lets say on Monday you are in a long trade and the Intraday Low made at that time is 2780, so we get the projected high as 2780 + 80 = 2860

Let me know if its not still clear

Thanks

Rajesh

Seems interesting….It is Current day of trading's (Today) value and Previous day of trading's (Yesterday) value we use right?

It is not Yestday's value and then today's value for projecting tomorrow's value right?

Thanks for clarification….

rgds, Nisha

]]>Ticker | ATR-10 | ATR-1 | Res_Hi | Sup_Lo |
---|---|---|---|---|

ABAN_MAR | 23.23 | 31.05 | 322.23 | 275.77 |

HDFC_MAR | 68.75 | 52.90 | 1417.85 | 1280.35 |

ICICI_MAR | 22.55 | 18.80 | 357.55 | 312.45 |

LT_MAR | 25.95 | 28.75 | 664.05 | 612.15 |

NIFTY_MAR | 84.09 | 75.00 | 2862.59 | 2694.41 |

RELIA_MAR | 56.84 | 56.70 | 1386.34 | 1272.66 |

SBIN_MAR | 40.06 | 26.00 | 999.06 | 918.94 |

I have included ATR 1 as it shows yesterdays range, also by comparing with ATR-10, we know if the volatility is increasing or decreasing.

The above are the levels based on last traded price. For intraday levels consider new high/lows that are being made.

Thanks

]]>Good to know you like it. One request plz call me rajesh

Thanks

Rajesh

LT approaching its current intraday target high @ 644.60

Regards

Rajesh

Just keep an eye on these values during intraday.

Low+ATR, and High-ATR

The above are close-/+ ATR

Thanks

Rajesh

Mostly using the stoploss value( riskpoints) as profit booking area.. will try to use this.. good learning.thx. ]]>

Finding it difficult to post here during market hours.

Will be updating Pre and Post markets.

Thanks

Rajesh

Ticker | ATR-10 | Res_Hi | Sup_Lo |
---|---|---|---|

ABAN_MAR | 24.32 | 307.82 | 259.18 |

HDFC_MAR | 71.65 | 1440.65 | 1297.35 |

HDIL_MAR | 4.85 | 74.90 | 65.20 |

ICICI_MAR | 23.36 | 347.86 | 301.14 |

JPASS_MAR | 4.38 | 78.53 | 69.77 |

LT_MAR | 25.49 | 644.54 | 593.56 |

NIFTY_MAR | 85.49 | 2840.49 | 2669.51 |

RELIA_MAR | 57.00 | 1357.40 | 1243.40 |

SBIN_MAR | 40.88 | 989.78 | 908.02 |

Intraday targets for Lows

RIL 1285

NF 2717

LT 603

ICICI Bank 315

HDFC Ltd 1314

ABAN 271

Based on current Hi - Lo

Nifty

Short Target - 2716

Long Target - 2840

Reliance

Short Target - 1284

Long Target - 1370

Thanks

Regards

Satyen

ATR values for todays projections

` ``Ticker ATR-10 ABAN 24.13 HDFC 74.27 HDIL 4.68 ICICIBANK 23.48 JPA 4.38 LT 26.44 NIFTY 86.74 RELIANCE 57.86 SBIN 39.83`

Great Posts Rajesh,

Will be watching the thread closely.

Gives a nice view on how one can utilize ATR for profit booking.

But won't that mean on big move days, we miss out the moves. Though we don't have too many of these days, but at end of the month they are big contributors to the profitability.

Kapil

Yes Kapil, we maybe booking early on days like that, but what I am worried about is the days where we get volatility flip on the other side, instead of Volatility burst, we get volatility compression no targets on those days :(

Regards

]]>Will be watching the thread closely.

Gives a nice view on how one can utilize ATR for profit booking.

But won't that mean on big move days, we miss out the moves. Though we don't have too many of these days, but at end of the month they are big contributors to the profitability.

Kapil

]]>If you checkout yesterdays Nifty data (Friday the 13), it prints exactly your situation.

We need to take these days in stride, luckly yesterday Nifty (also other scrips) opened right above these projected values.

As we had gapup day we would use Yesterdays Close (Thursday, 12/03) adding ATR to it projected the Highs, but Nifty opened above it.

Again on friday these levels acted as support but we need to verify this aspect.

Regards

Rajesh

When the volatility keeps getting lesser and lesser … ( you can say ATR keeps getting smaller ), we are entering a narrow range bound market.

Hence the targets will keep getting smaller and smaller… this is when we will get a breakout. The longer the delay the violent the breakout …

So need to keep special eye on that breakout…

How do you think this can be managed… :)

Regards,

Prasun

Feels Like old Times, was it so looooog ago :)

Ok heres a example that did not fit so well.

Todays Nifty, Again a Long Trade.

Intraday Low was 2697 which was less than yesterdays close so we take it as low value.

ATR(10) for nifty daily chart is 87.08 ~ 87

So our High projection would be 2697 + 87 = 2784, I know we missed it by 4 points :(

Over to you guys

Regards

Rajesh

The 10 days daily ATR for reliance was 57.49 ~ 57.50

Lets say we took a long (in the direction of the 60Min Flow) for entry levels we will ask MJ to chip in he's the expert on that method :)

The Intraday low at the time of Long entry was 1270 also it is less than yesterdays close so our projection of probable highs or profit booking point will be

1270 + 57.5 = 1327.5, coincidently reliance did an High of 1329.

We will need loads of backtesting and eyeballing to get this thing working.

Hope something will come out of this, otherwise we will find out one more thing that does not work.

So truely Win-Win for us, What Say?

Regards

Rajesh

Keep it up…and do keep posting live examples.

Thanks,

Puneet

]]>Thanks MJ, Kapil & Saint Sir for your comments.

We start with an assumption that todays range will be equal to the 10 days ATR (at a later stage we will also consider a margin of +/- 10%). Its a simple two step process.

Case 1: We are in a intraday Long Trade:

Step 01: Take the Lower value between Todays intraday Low or Yestrday's Close (in case of gapup Yesterday's Close maybe < Todays Lows).

Step 02: Add the Daily ATR(10) to the above and this will be the Projected High for the Day, we can now look to book profits in the vicinity of this value

Case 2: We are in a intraday Short Trade:

Step 01: Take the Higher value between Todays intraday High or Yestrday's Close (in case of gapdown Yesterday's Close maybe > Todays Highs) .

Step 02: Substract the Daily ATR(10) from the above and this will be the Projected Low for the Day, we can now look to book profits in the vicinity of this value

Now for the reliance example, it looks like a best fit case so will try to get one more example :)

Regards

Rajesh

Hello Friends

We all believe that the price moves in a trend.

But does the intraday volatility (noise) also exibit the same.

Does the range in which price moves follows a pattern?

Maybe not, its as random as it gets :)

But the average range or ATR does follow a pattern of ebb n flow i.e. it trends

Can we use this to decide the expected range for the day?

Its not perfect (what is) but can we interpolate this range to get expected Highs and Lows for the day?

I will use reliance (today's data) as an example to explain the concept in my next post.

Regards

Rajesh

Excellent Rajesh………looking fwd to it.Great stuff.

Saint

]]>Looking forward to valuable information.

Kapil

]]>MJ-

]]>We all believe that the price moves in a trend.

But does the intraday volatility (noise) also exibit the same.

Does the range in which price moves follows a pattern?

Maybe not, its as random as it gets :)

But the average range or ATR does follow a pattern of ebb n flow i.e. it trends

Can we use this to decide the expected range for the day?

Its not perfect (what is) but can we interpolate this range to get expected Highs and Lows for the day?

I will use reliance (today's data) as an example to explain the concept in my next post.

Regards

Rajesh