Traders' Roundtable

I also put a pretty good effort into testing MAE and found it to have a negative effect on my system. The main premise that the so called "evolution of a trade" is shaped like the inverse of the letter "Z" tilted on its side is not correct. At least for a long term trend following system it does not ...

MT,

You said, "But what I’ve been saying is 1) the risk in each one is different and they should either be sized differently "

Why? I agree with what you wrote further down. "Risk of loss is proportional to ATR"

Also, you state "speed of price increases as ATR decreases"
I have to disagree ...

ATR tells us one thing, the volatility of the market over the last 7 or 10 or 22 or whatever number of days we want. Volatility is not a bad thing. We need volatility to be present to make a profit. I use ATR to tell me "How much?" and that is it. A $10 stock with a $5 ATR is no worse of than a $50 ...