Adaptive High-Low Range as a Gap-Insensitive ATR Variant

Summary

This note describes an adaptive range indicator for MetaTrader 4. Although presented as an ATR variant, it averages each bar’s high-to-low range rather than true range, which also accounts for gaps from the prior close. Its measure therefore focuses on the bar’s effective intraday range and does not include gap movement.

The distinction matters when interpreting volatility: the indicator can report a different value from conventional ATR when prices gap between bars. The document gives no formula for how the adaptation changes the averaging period or sensitivity, and it provides no performance tests or trading rules. It is best understood as a brief description of an indicator’s measurement choice, not evidence that it improves signals or risk estimates.

Key ideas

• The indicator adapts an average range calculation for MetaTrader 4.
• It uses each bar’s high-to-low range instead of conventional true range.
• Because it omits gaps from the prior bar, its volatility measure can differ from ATR.
• The document does not explain the adaptation method or provide strategy results.

Tags

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