Strategy graveyard / ATR pullback
Verdict: doesn't work Tested liveLive paper record 1 Sep 2026 to 7 Oct 2026. Updated 13 Oct 2026.
Short answer: no. Four versions of an ATR pullback strategy took 55 paper trades on same-day SPX options between 1 Sep and 7 Oct, and lost $7,580. Only 19 of the 55 trades made money.
The split inside those numbers is the interesting part. When SPX had stretched up and the strategy bet on a pullback, it made +$3,740 on 30 trades. When SPX had stretched down and it bought the dip, it won 3 of 25 and lost $11,320. And unlike most of the strategies here, it lost on the index chart too, so the option costs weren't the main problem.
Running P&L by session. Red: all versions together. Grey: each version on its own. Paper trades bought at the real ask and sold at the real bid.
ATR, the Average True Range, is the average size of a day's move over recent sessions, including any overnight gaps. It's a way of saying "how far does this market usually travel in a day?" without picking a fixed number of points.
A pullback strategy built on it waits for the index to stretch a meaningful fraction of that daily range away from where it opened, then looks for the move to pause, and bets on a pullback back toward the open. It's mean reversion with the distance scaled to how volatile the market has been.
The 3-minute version was retired on 7 September, after a longer study showed short pauses tested worst. Its three trades stay in the record.
| Version | Trades | Won | Index points | Net |
|---|---|---|---|---|
| 3-minute pause, before 10:30 (retired 7 Sep) | 3 | 1 | -10.8 | -$340 |
| 5-minute pause, before 10:30 | 21 | 7 | -54.4 | -$3,430 |
| 8-minute pause, before 11:30 | 16 | 6 | -14.9 | -$1,670 |
| 8-minute pause, exits on the index | 15 | 5 | -31.8 | -$2,140 |
| All versions | 55 | 19 | -111.9 | -$7,580 |
"Index points" is what the trades made on the SPX chart, before the option. It's negative: the pullback mostly didn't come.
Quite possibly. I tested the version of ATR pullback described above, with settings I thought were fair, and it didn't work. That doesn't prove every version fails. I may have picked the wrong settings, the wrong market or timeframe, or missed a filter that experienced traders take for granted. Many strategies also depend on judgement that a set of fixed rules can't capture.
If you trade ATR pullback and it works for you, I'd genuinely like to hear how. Tell me the chart and timeframe, what counts as a setup, any filters, where you get in, where your stop and target go, and when you get out. I'll test your version on the same data, the same way, and publish the result here, whichever way it comes out.
A long-history test, on several years of data rather than a month, where the pause genuinely separates pullbacks from continuations, on the downside as well as the upside. A version that only fades rallies is tempting after these results, but that's choosing the rule after seeing the answer, so it would need to prove itself on data it hasn't seen.
When the index stretches a set fraction of its average daily range (ATR) away from the open and then pauses, you bet on a pullback toward the open.
Average True Range: the average size of a day's move, including gaps, over recent sessions. It scales a rule to how volatile the market has been.
With a stop and target the same size, it needed to win half its trades. It won a third. Fading rallies made money; buying dips lost three times as much.
Longer pauses tested better in the backtest, and the live versions used them. The 8-minute versions still lost.
This page records my own testing. It isn't financial advice. Same-day options can go to zero within minutes.