UT Bot (Key-Value ATR Trailing Stop)

TL;DR. A stop a fixed number of ATRs (the key value) from the close. While the close stays on one side, the stop only tightens; when the close crosses it, the stop jumps to the other side. A buy is the close crossing above the stop, a sell the close crossing below.

#What it measures

• A volatility-sized stop. The distance from the close is the key value times Wilder's ATR, so the stop widens in fast markets and tightens in quiet ones.
• The trend's side. Direction is 1 while the close is above the stop and -1 while it is below.
• The moment the side changes. The signal output marks each cross of the stop.

#Formula

#Inputs in AlgoLift

#Outputs in AlgoLift

#How to read it

• Close above a rising stop: an up state. The stop follows price up and never loosens.
• A buy (+1): the close has crossed above the stop; the stop has jumped below price. A sell (-1) is the mirror.
• Frequent flips: the key value is small for this market's noise. Each flip is a reversal, so many flips mean many losing round trips.
• Stop far from price: a large key value or a volatile stretch. Fewer flips, larger give-back on each.

#Best in, worst in

Best in trending sessions, where a volatility-sized stop lets a trade run and the flip catches the turn.

Worst in tight ranges, where the close crosses a small stop back and forth. Raise the key value or gate it with a trend filter such as the Supertrend direction.

#Three setups

#1. Enter long on a buy flip

Wire Signal into a Comparison greater than 0 for the long Entry. Add the mirror (less than 0) for shorts if you want the strategy always in the market.

#2. Exit on the opposite flip

Enter with any rule, then exit a long through Set Exit Condition when Signal is less than 0. The stop follows the trade and closes it when the close crosses back.

#3. Filtered flips

AND the buy signal with a longer trend gate, for example the close above an EMA of 200 bars, so only flips in the direction of the larger trend trade.

#Common mistakes

• Treating the stop as an intrabar stop. The cross is judged on the bar's close. A wick through the stop is not a flip.
• Comparing Direction when you mean a flip. Direction holds for many bars; Signal is the one-bar event.
• Tuning the key value to the history. A key value that works only at 1.3 is fitted to the test (overfitting in trading). Sweep a range and look for a plateau.