ATR棘轮止损指标ATR Ratchet.doc

ATR棘轮止损指标
A New Exit Strategy - The ATR Ratchet By Chuck LeBeau
Recently I've been doing quite a bit of research on new systems for stock trading. The research is on behalf of a new hedge fund that will be starting later this year. The fund will be managed by Tan LeBeau LLC, pany that funded this research project. After some serious internal discussion about the advantages of keeping this new exit strategy pany secret, the LLC has graciously given me permission to share this discovery with our System Traders Club members. Here is a bit of background on how the new exit strategy came about.
In the process of testing various exit strategies for our stock trading systems we found that we needed a profit-taking exit that performed somewhat along the lines of the Parabolic SAR but that could be made more flexible and easier to code and apply. We found that the Parabolic was hard to use because it was often on the opposite side of the market from our trades or it was starting from a point that was too low for what we wanted. After spending a great deal of time with the Parabolic we decided it was not helpful for the particular systems we were creating. As an alternative to the Parabolic exit we decided to test some new exit ideas based on my extensive work and experience with the Average True Range. After a great deal of tinkering and experimentation we were pleased to learn tha