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There are no probabilities set in stone for ATR exits - statistics
will largely depend on the underlying volatility of the market being
tested.
The best solution here may be to do your own research by running an
exploration on your own data, with different ATR multiplier settings
for each exploration column.
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, "metastkuser" <andysmith_999@x
...> wrote:
> 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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