ATR Percentile Regimes for Volatility-Based Strategy Filters

Summary

This indicator classifies volatility as compression, normal, or expansion by ranking the current Average True Range against its values over a lookback window. Percentile ranks make the thresholds relative to recent conditions rather than fixed ATR levels, which allows the classification to adapt across symbols and timeframes. The chart can shade the regimes, display the current label, and issue alerts when a closed bar begins a different regime.

The document suggests using compression as a condition for preparing breakout systems, expansion as a context for trend continuation and wider stops, and compression or normal conditions as potentially safer for mean reversion. These are proposed uses, not demonstrated results. The indicator exposes the percentile and regime code to Expert Advisors, while a forming bar can change with price; alerts are based on closed bars. No backtest, parameter comparison, or evidence that the suggested regime associations improve performance is supplied.

Key ideas

• ATR is ranked against a rolling lookback window to classify relative volatility.
• Low, middle, and high percentile bands represent compression, normal, and expansion regimes.
• The regimes can serve as filters for breakout, trend continuation, or mean-reversion strategies.
• Expert Advisors can access the percentile and regime code, while alerts use closed bars.
• The document provides suggested applications but no performance validation.

Tags

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