Conditional Stop-Loss query

[sburtt]

Hi,

I was wondering if it is possible to program a stop-loss that activates only if volatility rises above a certain level. Basically I am running a strategy with the following stop-loss programmed in the Initialize() section: SetStopLoss("", CalculationMode.Ticks, stop, true);

This works fine, however I noticed that in low volatility days I am often stopped out despite no real trend talking place. Is it possible to apply a volatility filter so that the stop-loss is only activated when standard deviation is above a certain threshold? would this need to be programmed in the OnBarUpdate() section? If yes, would the following code make the trick?

  
       protected override void Initialize()
        {
            Add(PeriodType.Day, 1);
            CalculateOnBarClose = true;
            EntryHandling     =    EntryHandling.UniqueEntries;
            ExitOnClose = false;
        }
        protected override void OnBarUpdate()
        {
            [B]//Enter long condition with volatility filter[/B]
            if (CrossAbove(...)
                && ATR(BarsArray[1],atrlength)[0] >= 1.5)
            {
                EnterLong();
                SetStopLoss("", CalculationMode.Ticks, stop, true);
            }

           [B] //Enter long condition[/B]
            if (CrossAbove(...)
            {
                EnterLong();
            }