Thanks Connor and very good question. The ATR risk I use is a worst case guide after I have my size. If stock had kept going down, my vwap would have been fully completed at better prices. I essentially use the ATR as a stop guide once I have my full position on as a mental road map for how much $ risk across all the different names
Okay that makes sense. Sort of like first 15 mins, price discovery phase, get position on and then you can gauge via time/ATR, is this behaving appropriately per thesis? Say 30 mins in, no lift, trading under VWAP, perhaps half to 1 ATR from open you might be exiting or derisking. Thanks again for reply.
Appreciate the share Austin, good read and v insightful. If I'm understanding your approach to risk & sizing correctly on this, wondering if you could pls share how you would have treated PLS trade if we drove lower early? Wouldn't VWAPing in first 15min with half ATR breach your risk if we flushed early and traded down instead? Or is this countered with consideration of gap, daily extension, etc?
Thanks Connor and very good question. The ATR risk I use is a worst case guide after I have my size. If stock had kept going down, my vwap would have been fully completed at better prices. I essentially use the ATR as a stop guide once I have my full position on as a mental road map for how much $ risk across all the different names
Okay that makes sense. Sort of like first 15 mins, price discovery phase, get position on and then you can gauge via time/ATR, is this behaving appropriately per thesis? Say 30 mins in, no lift, trading under VWAP, perhaps half to 1 ATR from open you might be exiting or derisking. Thanks again for reply.
you nailed it right there. Exactly that
Appreciate the share Austin, good read and v insightful. If I'm understanding your approach to risk & sizing correctly on this, wondering if you could pls share how you would have treated PLS trade if we drove lower early? Wouldn't VWAPing in first 15min with half ATR breach your risk if we flushed early and traded down instead? Or is this countered with consideration of gap, daily extension, etc?