Sub-Bar Entry Timing: Getting 0.3 ATR Better Prices
Sub-bar entry timing using order flow features that waits for pullbacks within signal bars, achieving 0.3 ATR better entry prices on average.
Why Bar Close Entries Leave Money on the Table
Most systematic strategies enter at bar close or bar open. L1 generates a signal on the M15 bar close, and the naive approach is to execute immediately. But within any 15-minute bar, price moves in both directions. S15 waits for a pullback within the signal bar before entering.
The system uses a limit order placed 0.3 ATR below current price for buy signals (above for sells). If the pullback does not materialize within 3 bars (45 minutes), the system enters at market. This patience produces 0.3 ATR better average entry prices.
Impact on Risk-Reward
0.3 ATR better entry does not sound like much. But when your stop is 1.5 ATR away, getting 0.3 ATR better entry means your stop is now effectively 1.8 ATR away with the same dollar risk. Or equivalently, you can tighten your stop by 0.3 ATR and improve your reward-to-risk ratio.
V7 uses the tighter-stop approach. The improved entry allows a 1.2 ATR stop instead of 1.5 ATR, which means more trades survive to reach their profit targets. Across the full backtest, better entry timing contributed approximately +22R, primarily through reduced stop-outs.
When Patience Costs You
The 45-minute patience window means some signals never fill. Approximately 15% of limit orders expire unfilled because the market moves away without pulling back. Some of those missed entries would have been winners. S15 accepts this trade-off because the 85% that do fill at better prices outperform the alternative of entering everything at market. The net effect is positive, but it requires accepting that you will occasionally watch a winning trade leave without you. For a system processing 4,505 trades, missing 15% is not a crisis. It is the cost of better average execution.