The Gain of the Year : 1-ATR

It may be surprising but the main profit I made this year isn't the +380% performance I achieved on stock indices the first five months. It lies in my stop loss system. Let me detail a bit further. I use so-called "Volatility stops" based on the daily Average True Range (ATR) technical indicator. Technically, the ATR is the exponential average of the daily range (high minus low) taking into account the opening gaps, in more "normal" words it measures the daily volatility in points for a given market. For instance as I write the ATR(14 days) of the EURUSD is at 0.0152, meaning the average daily move for the pair from high to low is of 152 pips.

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