Portfolio Boss Documentation

ATR Distance Below SMA Rule

 

 

This rule ranks your instruments based on how far they have gone below their SMA.

So, it looks at how far the instrument's last closing price went below its SMA (the distance is measured by the instrument's Average True Range).

This is useful to rank instruments based on how likely they are to reverse toward the downtrend (good for Short Selling).

 

 

Or, if you're a firm believer in the “mean reversion theory”, that suggests price spikes or drops will eventually return to the long-standing average prices, you can use this filter to find those instruments. Thus you're entering positions on big discounts in the hope they'll go up again.

 

 


 

1.  The first parameter defines how to sort the instruments from top to bottom ranks. You can choose “Highest” or “Lowest” here.

 

 

“Highest” means the instrument that has gone the farthest below the SMA has the top rank. So essentially, you're looking for instruments that have the biggest discount. But beware, it could also mean you're looking for instruments that will reverse the trend.

“Lowest” means the instrument that has gone the shortest distance below the SMA (or the one that went highest above the SMA) has the top rank. So essentially, you're looking for instruments that are still going strong in the uptrend (or looking for a small discount).

 

 


 

2.  The second parameter defines how many days (or months) ago to look for the Average True Range.

 

 


 

3.  The third parameter defines the period for calculating the Simple Moving Average.

 

 


 

Note

 

Regarding “Offset” and “Weight” parameters, please refer to the guide about Ranking Panel.

 

 

 

 

 

 

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