ATR Trailing Stop Bands Strategy [R] by rthomson
By rthomson
Performance Metrics
- Author: rthomson
- Symbol: BITSTAMP:BTCUSD
- Timeframe: 2 hours
- Net P&L: +55,244.06 USD (+55.28%)
- Win Rate: 56.6%
- Profit Factor: 3.544
- Max Drawdown: 5,591.13 USD (4.10%)
- Total Trades: 106
- Sharpe Ratio: 0.268
Description
Originally based on a script by HPotter for an ATR Trailing Stop, which itself was based on an article by Sylvain Vervoort, but I adapted it to add Bands, to add extra optional Wick Protection, and have now made it a Strategy. It's not great for entries/exits, but as a Trailing Stop that can let winners ride, it's great.