ATR Stop Loss Indicator for NinjaTrader 8

What it does

• Both sides, always — A red line above price where a short would be stopped, a green line below where a long would be. You can see the cost of being wrong in either direction before you commit.
• It moves with the market — The distance is ATR × your multiplier — both the ATR length and the multiplier are settings (defaults 14 and 1.5) — recalculated every bar. A quiet session pulls the lines in; a violent one pushes them out.
• Four ways to average — RMA, SMA, EMA or WMA. RMA is the default and matches the standard ATR calculation, so it agrees with what other platforms show you.
• Optional price lines — Extend each level across the chart as a horizontal line, so you can see where it sits against earlier bars.
• Overlays your candles — Drawn on the price panel, not in a sub-panel, because a stop level only means anything next to price.

Why a fixed stop keeps getting hit

A twenty-pip stop is generous on a quiet morning and absurd during a rate decision. The market has no idea what number you picked; it moves as much as it moves. Traders who use the same distance every day get stopped out constantly in fast conditions and hold far too much risk in slow ones, and both feel like bad luck rather than a measurement error.

ATR — the average true range — is just the average distance price has covered per bar recently. Setting a stop as a multiple of it means the distance is quoted in the market's own units instead of yours.

At the default 1.5, the lines sit one and a half average bars away from price. A move that size is ordinary. A move past it is less ordinary. That is the entire claim, and it is a modest one.

What the two lines are

The red line above price is where a short would be stopped out. The green line below is where a long would be. Both are drawn at all times, whether or not you are in a trade, because the useful moment to look is before you commit.

Neither line is a signal. It does not say the trade is good, and it says nothing about direction. It reports one number: how far away a stop has to be to sit outside ordinary movement for this instrument, right now.

Choosing a multiplier

There is no correct value, and anyone who tells you 2.0 is the answer is guessing.

A larger multiplier gets knocked out less often but costs more when it is hit. A smaller one is cheaper per loss and hit far more frequently. Those two effects pull against each other, and which wins depends on the strategy you are running it against — not on the indicator.

The honest way to choose is to test it on your own approach and count the results, rather than adopting a number because it appears in a video.

Install

1. Download the zip. Do not unzip it — NinjaTrader imports the zip as it is.
2. In NinjaTrader: Tools → Import → NinjaScript Add-On…, then pick the zip.
3. Restart NinjaTrader.
4. Right-click a chart → Indicators…, find ATRStopLoss, and add it.

Settings