ATR Extension Breakout Study — TradingTimeMachine.com
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ATR Extension Breakout Study

SMA  ·  ATR Multiplier  ·  Holding Period  ·  Forward Returns vs Random Entry
25 YRS · NASDAQ 100 · NON-SURVIVORSHIP BIAS
Step 1 — Select Moving Average Period
Step 2 — Select ATR Extension Multiplier
High Frequency — thousands of triggers per year
Medium Frequency — hundreds to low thousands per year
Low Frequency — rare setups, interpret with context
Step 3 — Select Holding Period
120 days
5 days 75 days 150 days
Results
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Profit Factor
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$ won per $ lost
Win Rate
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% of trades profitable
Avg Winner
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avg winning trade
Avg Loser
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avg losing trade
Signal vs Random Entry Baseline
ATR Extension Signal
Profit Factor
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Win Rate
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Avg Winner
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Avg Loser
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Random Entry Baseline
Profit Factor
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Win Rate
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Avg Winner
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Avg Loser
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PF advantage
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WR advantage
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Winner edge
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Loser edge
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Universe: Nasdaq 100 constituents · 25 years · non-survivorship bias corrected · daily bars via WealthData · tested in Wealth-Lab
Entry: first close above SMA + (ATR × multiplier) · ATR period: 14 day standard default · Exit: fixed holding period · one position per symbol · no market filter
Baseline: random entry in any Nasdaq 100 constituent at the same holding period · same universe and time period
Raw research data. Not a trading system. Past results do not guarantee future performance.
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Research by TradingTimeMachine.com  ·  backtest.substack.com  ·  Universe: Nasdaq 100 · 25 years · non-survivorship bias corrected · tested in Wealth-Lab using WealthData
This is raw research data. Not a trading system. Past results do not guarantee future performance.