ATR-Adaptive Step Filtering for Moving Averages

Summary

This document describes a step-filtered moving average intended to reduce signals caused by small slope changes, especially in ranging markets. The average is held at its prior step level until its movement exceeds a required threshold; once the threshold is passed, the plotted value adjusts to the nearest qualifying level. The threshold is set as a percentage of Average True Range rather than a fixed number of pips.

Using ATR makes the step size responsive to market volatility and is presented as a way to make the filter more consistent across time frames, where a fixed pip threshold may behave differently. The method can be applied to simple, exponential, smoothed, and linear weighted moving averages, with color changes offered as potential signals. The document gives no parameter recommendations, tests, or performance evidence, and does not specify how to select the ATR percentage. It therefore describes an indicator construction and a possible signal use, not a validated trading strategy.

Key ideas

• The indicator suppresses small moving-average changes until they exceed a threshold.
• Its threshold is expressed as a percentage of ATR rather than a fixed pip distance.
• ATR scaling is intended to adapt the filter to volatility and time frame.
• The step logic is described for four common moving-average types.
• Color changes can be used as signals, but the document reports no testing or performance results.

Tags

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