The ATR is an essential element in the NNFX strategy. As well as the commonly used simple ATR, the NNFX Algo Tester includes three further ATRs: FILTERED, FIXED, and ADAPTIVE. You can also use any other CUSTOM ATR indicator of your choice. You can download the included indicators or consult their default parameters below.
The FILTERED ATR will filter out extreme events that affect the ATR value, such as the flash crash of January 3, 2019. Extreme events are those that create candles whose size is greater than the "STANDARD DEVIATION MULTIPLIER" * Standard deviation (sigma σ) + the average ATR. The average ATR is calculated for the number of candles placed in the input "SAMPLE SIZE". If an extreme event is detected, the candle size value is replaced by the average ATR on that candle, thus creating the filtered ATR line. Keep in mind that to use filtered ATR you need to have a good history of data, at least higher than the "SAMPLE SIZE“ value.
If you want to always use the same ATR value, you can choose the FIXED ATR option. In that case, you must indicate the value in pips that will be used during the test.
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