Adaptive ATR for Session-Specific Volatility Analysis

Summary

This indicator adapts its Average True Range lookback to the portion of the trading session being evaluated. Depending on timeframe and settings, it can focus on regular market hours, after-hours activity, or current weekly data, with the calculation period changing as the session progresses. Options include time-frame multipliers, a time-zone offset, market open and close times, after-hours inclusion, and a choice between candle highs and lows or opens and closes for the range calculation.

It plots the period’s total price range, a standard-deviation-adjusted ATR, and an ATR averaged from samples drawn from early, middle, and recent portions of the evaluation window. The author suggests reading expansion as a widening range and comparing the two ATR lines as a view of changing volatility and possible trend or choppiness. These are interpretive heuristics, not tested signals: the document provides no backtest or performance evidence. Results depend on session settings, timeframe, and implementation, so the indicator requires market-specific calibration.

Key ideas

• The ATR lookback changes with the selected timeframe and progress through a session or week.
• Session hours, time-zone offset, and after-hours settings determine which price data are included.
• The indicator compares total range with relative and sampled ATR measures.
• The author interprets range expansion and ATR-line behavior as volatility and market-regime clues.
• These interpretations are not supported by reported backtests or performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.