Portfolio Boss Documentation

Index ATR Spread Rule

 

 

This rule is similar to the “Index ATR Spread Filter”, but instead of excluding instruments that don't meet the threshold ATR Spread, it ranks the instruments top to bottom based on how large their ATR Spread is.

 

 

So, this rule is good to look for instruments that may give a bigger discount, or, to look for instruments that are closely aligned with an index. If you're trading Short Positions, this filter is good to find those instruments that are reversing toward the downtrend.

 


 

1.  The first parameter defines how to sort the instruments from top to bottom rank. 

 

 

“Highest” means the instrument that has the biggest ATR Spread will have the top rank, thus you're looking for instruments that give the biggest discount, or instruments that are deviating more from the index (e.g. the market condition is bad, so you want instruments that deviate from the market).

If you're trading Short Positions, “Highest” can be used to find instruments that are reversing toward the downtrend, provided the Index is in uptrend (use a Short Filter that defines an uptrending Index).

 

 

“Lowest” will give the top rank to the instrument that has the smallest ATR Spread, thus you're essentially looking for instruments that are closely aligned with the index.

 

 


 

2.  The second parameter defines the ATR period for both the instrument and the index.

 

 


 

3.  The third parameter defines what index to use, preferably this index is strongly correlated to your Portfolio.

 

 


 

4.  The fourth parameter defines the period to calculate the SMA (for both the instrument and index).

 

 


 

Note

 

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

 

 

 

 

 

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