TEC008Factor HubTechnical FactorsMedium
ATR Factor
Average true range sizes the noise; low-ATR names suit calmer strategies.
Formula
ATR = MA(max(H-L, |H-C(-1)|, |L-C(-1)|), 14)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.38%
Sharpe ratio
0.43
Max drawdown
-37.64%
Total return
103.80%
Cumulative performance（2016-09 … 2026-08）
2016 -12.3%2017 -16.8%2018 +4.2%2019 +17.6%2020 +47.3%2021 +13.0%2022 +29.8%2023 -4.9%2024 -13.5%2025 +13.1%2026 +13.3%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SMCI | Super Micro Computer | 0.092 |
| 2 | AMD | Advanced Micro Devices | 0.082 |
| 3 | NET | Cloudflare | 0.079 |
| 4 | MDB | MongoDB | 0.079 |
| 5 | GLW | Corning | 0.078 |
| 6 | MU | Micron Technology | 0.077 |
| 7 | DELL | Dell Technologies | 0.076 |
| 8 | TTD | The Trade Desk | 0.075 |
| 9 | KLAC | KLA | 0.073 |
| 10 | DDOG | Datadog | 0.068 |
| 11 | AMC | AMC Entertainment | 0.066 |
| 12 | MRVL | Marvell Technology | 0.066 |
| 13 | ZS | Zscaler | 0.064 |
| 14 | CRM | Salesforce | 0.062 |
| 15 | HPQ | HP | 0.056 |
| 16 | PLTR | Palantir | 0.056 |
| 17 | SNOW | Snowflake | 0.054 |
| 18 | RCL | Royal Caribbean | 0.054 |
| 19 | TPL | Texas Pacific Land | 0.053 |
| 20 | LRCX | Lam Research | 0.052 |
| 21 | AMAT | Applied Materials | 0.052 |
| 22 | NXPI | NXP Semiconductors | 0.052 |
| 23 | NOW | ServiceNow | 0.051 |
| 24 | ENTG | Entegris | 0.048 |
| 25 | LEN | Lennar | 0.048 |
| 26 | TSLA | Tesla | 0.048 |
| 27 | CRWD | CrowdStrike | 0.048 |
| 28 | WDAY | Workday | 0.047 |
| 29 | LII | Lennox International | 0.047 |
| 30 | MELI | MercadoLibre | 0.047 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.