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Limit Risk to Reward ratio doesn’t work when using ATR SL/TP?

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mikeyc

Customer, bbp_participant, community, 878 replies.

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5 years ago #114277

Hi,

 

Just a heads up, I was trying to generate some strategies with fixed 1:1 risk/reward, so I had Limit Risk Reward Ratio set to 1:1 with SL and TP required.  I was only allowing ATR based SL and TP (not fixed pips).

 

You would expect in this case that the SL and TP rules would be the same, however they generate different SL and TP rules:

 

e.g.

 

Stop Loss = (4.77 * ATR(1077)) pips

Profit Target = (4.77 * ATR(652)) pips

 

Clearly the SL and TP will not be same number number of pips as the ATR(1077) is not expected to always be the same as ATR(652) over time.

 

So if you are using ATR as the SL/TP means, the limit risk reward option will not be honoured.

 

What should happen I guess is the ATR(n) should be the same for both rules, and the multiplier should change depending on the risk/reward ratio. In my case the two rules should always be same if I want SL to equal TP.

 

@Mark – Any comment on this?

 

Regards,

 

Mike

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gentmat

Customer, bbp_participant, community, 234 replies.

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5 years ago #133223

what i do to pass that is .. create new strategy with 4 x atr sl and 4 atr tp 

or 2.5 x atr …

then i add generation by improve strategy

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