ATR
AptarGroup, Inc.
stock NYSE

The biggest issue is ATR > $15. Absolute ATR heavily biases the screen toward expensive, highly volatile stocks.
A $15 ATR on a $100 stock is radically different from $15 on a $700 stock.
I recommend to use ATR as a percentage of price, perhaps with a range such as 2%–5%, depending on the strategy.

ATR is a good tool. it's not super effective in a news driven or headline risk environment... because the sudden increase in volatility easily breaks the boundaries, but it can help you consistently measure your trades objectively.

Recently I used Claude to help me setup filters to find stocks to do CSPs and Credit Spreads on. Here’s what we do:
PART 1 - SCREENING FILTERS
Run these filters before opening any chart. They eliminate structurally inadequate stocks at the source
No Earnings Within 30 Days
Earnings Date > 30 days from today
Price Above 20D EMA
Last Price > 20D EMA
Minimum Daily ATR
14D ATR > $15.00
IV Percentile
IV Pctl > 50%
Open Interest
OI > 500 per strike
Weighted Alpha
Wtd Alpha > +20
 
PART 2 - TECHNICAL FILTERS
Open the 30-minute chart with EMA9, EMA21, ATR 1D, RSI 14, and FRVP (150 rows, 30-day anchor) configured. All five must pass
Spot Above Both EMAs
Price > EMA9 AND Price > EMA21
RSI Range
45 < RSI < 75
Daily ATR Confirmation
ATR (1D, 14) > $15
Daily Movement
Day change between -0.8% and +5%
Volume Profile (POC)
Spot above POC with support below strike
 
What about you guys? Criticism is welcomed, the purpose here is to learn.

The ATR on these stocks is so high that just remember to have appropriate stops set

The general idea is to use ATR as a buffer on top of the structural stop. So for example if you have a swing low that can potentially defend a long, place a stop the ATR beyond that, so that you're also protected from unexpected variance within the current volatility.

yeah that flips it for me. i was using ATR as the thing that sets the distance when it should just be the sanity check on a distance the structure already gave me.
follow on that then, when the chart puts the stop somewhere and ATR says that distance is excessive, is that a size-down or a straight skip for you. like is "too wide" just a risk-adjustment or is it telling you the setup itself is bad right now

I think the issue is using ATR as the reason for the stop. The chart should determine the stop; ATR just tells you whether that distance is normal or excessive

do ATR stops actually mean anything or is it a fixed % stop with extra math?

The reason the fixed percent approach keeps failing is that a sudden move isn't an absolute number, it's relative to how much the thing normally moves. Two percent in an hour is nothing in a meme stock and an earthquake in a utility, so a static threshold either fires constantly on the volatile names or never on the calm ones. What actually works is normalizing by recent volatility. Compute a rolling standard deviation of returns over the last 20 or so bars, then flag any bar whose return is more than about 3 of those standard deviations. Or use ATR: flag when the current bar's range is more than 3 times the average true range. Same idea either way, the move gets measured in units of the instrument's own recent volatility instead of a hardcoded percent. Tell the AI exactly that, something like "flag bars where the return exceeds 3 rolling standard deviations of the last 20 returns," and it'll write it in one shot. The script was never the hard part, the definition was.

This is probably basic but are you using ATR and ADX to help filter chop?
ADX gate to determine chop conditions
ATR calculations using 50 EMA to determine a stocks real volatility since a 2% move on SPY isn't the same as a 2% move on GRRR or SMCI.
Also I tried trailing stops but I had too many issues with them on the timeframes I use (daily data)

I'd be careful not to over-engineer the solution before you've shown that the individual components have predictive value.
The assumption you're making is that combining multiple indicators into a single "direction" and "resistance to change" score will produce a better signal than the indicators themselves. That might be true or it might just produce a more complicated indicator with no additional edge.
If I were approaching this, I'd test each hypothesis independently:
* Does stronger buying pressure actually increase the probability of continuation?
* Does higher volume improve continuation?
* Does distance from support/resistance matter?
* Does ATR have any predictive value for continuation?
Only after you've quantified those effects would I start combining them into a model.
The best investment you can make early on is a good backtesting and validation process so you can quickly prove or disprove ideas before adding more complexity.
Your idea isn't crazy at all just needs to be treated as a series of testable hypotheses rather than assuming the overall model will work because the intuition makes sense.

The biggest issue is ATR > $15. Absolute ATR heavily biases the screen toward expensive, highly volatile stocks.
A $15 ATR on a $100 stock is radically different from $15 on a $700 stock.
I recommend to use ATR as a percentage of price, perhaps with a range such as 2%–5%, depending on the strategy.

ATR is a good tool. it's not super effective in a news driven or headline risk environment... because the sudden increase in volatility easily breaks the boundaries, but it can help you consistently measure your trades objectively.

Recently I used Claude to help me setup filters to find stocks to do CSPs and Credit Spreads on. Here’s what we do:
PART 1 - SCREENING FILTERS
Run these filters before opening any chart. They eliminate structurally inadequate stocks at the source
No Earnings Within 30 Days
Earnings Date > 30 days from today
Price Above 20D EMA
Last Price > 20D EMA
Minimum Daily ATR
14D ATR > $15.00
IV Percentile
IV Pctl > 50%
Open Interest
OI > 500 per strike
Weighted Alpha
Wtd Alpha > +20
 
PART 2 - TECHNICAL FILTERS
Open the 30-minute chart with EMA9, EMA21, ATR 1D, RSI 14, and FRVP (150 rows, 30-day anchor) configured. All five must pass
Spot Above Both EMAs
Price > EMA9 AND Price > EMA21
RSI Range
45 < RSI < 75
Daily ATR Confirmation
ATR (1D, 14) > $15
Daily Movement
Day change between -0.8% and +5%
Volume Profile (POC)
Spot above POC with support below strike
 
What about you guys? Criticism is welcomed, the purpose here is to learn.

The ATR on these stocks is so high that just remember to have appropriate stops set

The general idea is to use ATR as a buffer on top of the structural stop. So for example if you have a swing low that can potentially defend a long, place a stop the ATR beyond that, so that you're also protected from unexpected variance within the current volatility.

yeah that flips it for me. i was using ATR as the thing that sets the distance when it should just be the sanity check on a distance the structure already gave me.
follow on that then, when the chart puts the stop somewhere and ATR says that distance is excessive, is that a size-down or a straight skip for you. like is "too wide" just a risk-adjustment or is it telling you the setup itself is bad right now

I think the issue is using ATR as the reason for the stop. The chart should determine the stop; ATR just tells you whether that distance is normal or excessive

do ATR stops actually mean anything or is it a fixed % stop with extra math?

The reason the fixed percent approach keeps failing is that a sudden move isn't an absolute number, it's relative to how much the thing normally moves. Two percent in an hour is nothing in a meme stock and an earthquake in a utility, so a static threshold either fires constantly on the volatile names or never on the calm ones. What actually works is normalizing by recent volatility. Compute a rolling standard deviation of returns over the last 20 or so bars, then flag any bar whose return is more than about 3 of those standard deviations. Or use ATR: flag when the current bar's range is more than 3 times the average true range. Same idea either way, the move gets measured in units of the instrument's own recent volatility instead of a hardcoded percent. Tell the AI exactly that, something like "flag bars where the return exceeds 3 rolling standard deviations of the last 20 returns," and it'll write it in one shot. The script was never the hard part, the definition was.