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1) Does anyone have any statistical data that relates the number of
ATRs used in a volatility-based stop strategy (like the chandelier
exit,...), the lookback period of the ATR and the probability of being
stopped out?
2) What about the number of ATRs to the standard deviation of the
stock price?
The only datapoint I have is: Stop loss based on 1 ATR(15) will be
stopped out 40% of the time within the next day.
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