A stock's typical daily trading range in dollars — Quantustik uses a close-only 14-day estimate — for setting volatility-scaled stop-losses and take-profit levels.
The classic Wilder true-range formula takes the largest of today's high-low, today's high minus yesterday's close, or yesterday's close minus today's low, so it captures overnight gaps. Quantustik computes a close-only estimate over the trailing 14 trading days instead — the average absolute day-over-day closing-price change — which still captures gaps, since a close-to-close move includes any gap, without needing separately cached intraday highs and lows.
A one-size-fits-all stop like "sell if it drops 5%" treats a quiet utility stock and a volatile small-cap identically, even though the small-cap can easily swing 5% in a single ordinary session while the utility rarely does. A stop set at 2x ATR below entry adapts automatically: it gives the volatile stock more room so normal noise doesn't stop the trade out, and keeps the quiet stock's stop tight because it doesn't need the extra room.
Live example unavailable right now — see any ticker page's swing-trade plan for a current ATR reading.
Quantustik's swing-signal entry plans use ATR to size both the stop-loss and the take-profit distance from the planned entry price, rather than a static percentage target. A wider ATR generally means a wider stop and a smaller position size for the same dollar-risk budget, tying back into Kelly-based position sizing.
A flat percentage treats a quiet stock and a volatile one identically; an ATR-based stop adapts to each stock's actual typical daily range, giving volatile names more room and quiet ones a tighter stop.
It means placing the stop two Average-True-Range units below the entry price, so the stop distance scales with how much the stock normally moves in a day.
ATR is expressed in price dollars over a short trailing window, making it practical for today's stop/target levels; sigma is typically annualised and used for forecasting a probability band's width over a longer horizon.
AAPL analysis shows this metric in context, or browse all S&P 500 tickers.
Educational research only — not investment advice.