If you want a system that stands the test of time you need volatility adjusted inputs and outputs
This is a tricky one to achieve. Like all indicators your measure of volatility is a lagging one. One massive candle yesterday does not mean that we should suddenly have wide stops and limits today or different position size today as today’s candle can just as easily be the first candle in a run of low volatility after a one off candle of high volatility. If you extend your measure of volatility further back then you end up taking an average over a period and so you then have an indicator on an indicator and even more lag.
I have not found a good way to use volatility yet to adjust inputs and outputs. I have one strategy running on one index in demo for a few months now that is profitable and working as the back test did. It adjusts position size according to ATRP. I am loath to put it live as it is very market specific and fails badly on every other market.
